A generalized impulse control model of cash management

Autor(en): Bar-Ilan, A
Perry, D
Stadje, W 
Stichwörter: Brownian motion; BROWNIAN-MOTION; Business & Economics; cash management; compound Poisson process; cost functionals; CUSTOMERS; Economics; INVENTORY MODEL; LAGS; MONEY; OPTIMAL INTERNATIONAL RESERVES; optional sampling; RISK; superposition; SYSTEM; target-trigger control; TRANSACTIONS DEMAND
Erscheinungsdatum: 2004
Herausgeber: ELSEVIER SCIENCE BV
Journal: JOURNAL OF ECONOMIC DYNAMICS & CONTROL
Volumen: 28
Ausgabe: 6
Startseite: 1013
Seitenende: 1033
Zusammenfassung: 
This paper presents a general model of cash management, viewed as an impulse control problem for a stochastic money flow process. Generalizing classical approaches, we represent this process by a superposition of a Brownian motion and a compound Poisson process, controlled by two-sided target-trigger policies. For phase-type distributions for the upward and downward jumps we determine all pertinent cost functionals explicitly. Moreover, the controlled process is studied in steady state. The closed-form results can be used to determine optimal values for the target and trigger values numerically. (C) 2003 Elsevier B.V. All rights reserved.
ISSN: 01651889
DOI: 10.1016/S0165-1889(03)00064-2

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