Date of Award
2009
Document Type
Thesis
Publication Status
Version of Record
Submission Date
October 2026
Abstract
We generalize the theory of stochastic impulse control of jump diffusions introduced by Oksendal and Sulem (2004) with milder assumptions. In particular, we assume that the original process is affected by the interventions. We also generalize the optimal central bank intervention problem including market reaction introduced by Moreno (2007), allowing the exchange rate dynamic to follow a jump diffusion process. We furthermore generalize the approximation theory of stochastic impulse control problems by a sequence of iterated optimal stopping problems which is also introduced in Oksendal and Sulem (2004). We develop new results which allow us to reduce a given impulse control problem to a sequence of iterated optimal stopping problems even though the original process is affected by interventions.
Extent
xi, 139 p. : ill.
Recommended Citation
Perera, Sandun C., "Stochastic optimal impulse control of jump diffusions with application to exchange rate" (2009). Electronic Theses and Dissertations 2000 - 2009. 1785.
https://digitalcommons.fau.edu/etd_general_5/1785
Identifier
FADT3174308
Comments
by Sandun C. Perera.|Thesis (Ph.D.)--Florida Atlantic University, 2009.|Includes bibliography.|Electronic reproduction. Boca Raton, Fla., 2009. Mode of access: World Wide Web.|by Sandun C. Perera.