A generalized impulse control model of cash management

By Avner Bar-Ilan, D. Perry, W. Stadje. 2004

63 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c8f7626713572bfc12482f485386da5eb4399224

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In Finance

1. Jim G. Dai
2. Dacheng Yao

Citations in the corpus

• Capital Supply Uncertainty, Cash Holdings, and Investment (2014, unknown): “Second, unlike prior contributions in which liquid assets holdings may be subject to jumps (see e.g. Alvarez and Lippi (2009, 2012) or Bar-Ilan, Perry, and Stadje (2004)), our paper provides a complete characterization of optimal decision rules.”
• Brownian Inventory Models with Convex Holding Cost, Part 1: Average-Optimal Controls (2013, background): “In [11] and [56], the authors studied impulse control problems when the driving process is a Levy process.”