# A generalized impulse control model of cash management

@article{BarIlan2004AGI, title={A generalized impulse control model of cash management}, author={Avner Bar-Ilan and David Perry and Wolfgang Stadje}, journal={Journal of Economic Dynamics and Control}, year={2004}, volume={28}, pages={1013-1033} }

## 63 Citations

Optimal Impulse Control for Cash Management with Double Exponential Jump Diffusion Processes

- Mathematics
- 2018

We consider a cash management problem where the cash demand is assumed to be double exponential jump-diffusion processes. We formulate a model minimizing the sum of the transaction and…

Optimal cash management using impulse control

- Mathematics
- 2010

We consider the impulse control of Levy processes under the infinite horizon, discounted cost criterion. Our motivating example is the cash management problem in which a controller is charged a fixed…

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

- MathematicsEur. J. Oper. Res.
- 2009

Optimal Cash Management Problem for Compound Poisson Processes with Two-Sided Jumps

- Mathematics
- 2017

This paper presents a continuous time cash management problem where the uncontrolled money stock follows a compound poisson process with two-sided jumps and negative drift. The main goal is to…

Optimal Dividend Control in Presence of Downside Risk

- Mathematics, Economics
- 2007

We analyze the determination of a value maximizing dividend policy for a broad class of cash flow processes modelled as spectrally negative jump diffusions. We extend previous results based on…

Essays on optimal stopping and control of Markov processes

- Economics
- 2007

We consider the determination of an optimal dividend policy in the presence of cash flow uncertainty and transaction costs. We state a set of weak conditions under which the optimal dividend policy…

Optimal Impulse Control for Cash Management with Two Sources of Short-term Funds

- Business
- 2009

Many firms face a problem of managing cash balances to maximize the availability of cash for investment and to avoid the risk of insolvency. In this paper, we consider a cash man- agement model in…

A class of solvable stochastic dividend optimization problems: on the general impact of flexibility on valuation

- Business
- 2006

Summary.We consider the determination of an optimal dividend policy in the presence of cash flow uncertainty and transaction costs. We state a set of weak conditions under which the optimal dividend…

Optimal Consumption of a Generalized Geometric Brownian Motion with Fixed and Variable Intervention Costs

- Economics, Mathematics
- 2013

We consider the problem of maximizing expected lifetime utility from consumption of a generalized geometric Brownian motion in the presence of controlling costs with a fixed component. Under general…

International Reserve Management: A Drift-Switching Reflected Jump-Diffusion Model

- Business
- 2016

We study the cost of shocks, i.e., jump risk, with respect to reserve management when the reserve process is formulated as a drift switching jump-diffusion with a reflecting barrier at 0. Inspired by…

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