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 | Enthalten in: | JOURNAL OF ECONOMIC DYNAMICS & CONTROL | Band: | 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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geprüft am 07.06.2024
