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A generalized impulse control model of cash management

✍ Scribed by Avner Bar-Ilan; David Perry; Wolfgang Stadje

Publisher: Elsevier Science
Year: 2004
Tongue: English
Weight: 332 KB
Volume: 28
Category: Article
ISSN: 0165-1889
DOI: 10.1016/s0165-1889(03)00064-2

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✦ Synopsis

This paper presents a general model of cash management, viewed as an impulse control problem for a stochastic money ow 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.

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