A generalized impulse control model of cash management

DC FieldValueLanguage
dc.contributor.authorBar-Ilan, A
dc.contributor.authorPerry, D
dc.contributor.authorStadje, W
dc.date.accessioned2021-12-23T16:09:12Z-
dc.date.available2021-12-23T16:09:12Z-
dc.date.issued2004
dc.identifier.issn01651889
dc.identifier.urihttps://osnascholar.ub.uni-osnabrueck.de/handle/unios/8666-
dc.description.abstractThis 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.
dc.language.isoen
dc.publisherELSEVIER SCIENCE BV
dc.relation.ispartofJOURNAL OF ECONOMIC DYNAMICS & CONTROL
dc.subjectBrownian motion
dc.subjectBROWNIAN-MOTION
dc.subjectBusiness & Economics
dc.subjectcash management
dc.subjectcompound Poisson process
dc.subjectcost functionals
dc.subjectCUSTOMERS
dc.subjectEconomics
dc.subjectINVENTORY MODEL
dc.subjectLAGS
dc.subjectMONEY
dc.subjectOPTIMAL INTERNATIONAL RESERVES
dc.subjectoptional sampling
dc.subjectRISK
dc.subjectsuperposition
dc.subjectSYSTEM
dc.subjecttarget-trigger control
dc.subjectTRANSACTIONS DEMAND
dc.titleA generalized impulse control model of cash management
dc.typejournal article
dc.identifier.doi10.1016/S0165-1889(03)00064-2
dc.identifier.isiISI:000186915800001
dc.description.volume28
dc.description.issue6
dc.description.startpage1013
dc.description.endpage1033
dc.publisher.placePO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS
dcterms.isPartOf.abbreviationJ. Econ. Dyn. Control
crisitem.author.deptFB 06 - Mathematik/Informatik-
crisitem.author.deptidfb06-
crisitem.author.parentorgUniversität Osnabrück-
crisitem.author.netidStWo325-
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