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Generalized Common Model Control

โœ Scribed by Bingjun Guo; Jinshou Yu


Book ID
102806651
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
501 KB
Volume
83
Category
Article
ISSN
0008-4034

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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