• Title of article

    Optimal impulse control for a multidimensional cash management system with generalized cost functions

  • Author/Authors

    Stefano Baccarin، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2009
  • Pages
    9
  • From page
    198
  • To page
    206
  • Abstract
    We consider the optimal control of a multidimensional cash management system where the cash balances fluctuate as a homogeneous diffusion process in RnRn. We formulate the model as an impulse control problem on an unbounded domain with unbounded cost functions. Under general assumptions we characterize the value function as a weak solution of a quasi-variational inequality in a weighted Sobolev space and we show the existence of an optimal policy. Moreover we prove the local uniform convergence of a finite element scheme to compute numerically the value function and the optimal cost. We compute the solution of the model in two-dimensions with linear and distance cost functions, showing what are the shapes of the optimal policies in these two simple cases. Finally our third numerical experiment computes the solution in the realistic case of the cash concentration of two bank accounts made by a centralized treasury.
  • Keywords
    Finite element method , Quasi-variational inequalities , Finance , Cash management , Impulse control
  • Journal title
    European Journal of Operational Research
  • Serial Year
    2009
  • Journal title
    European Journal of Operational Research
  • Record number

    1313642