Strongly quasivariational inequalities for fuzzy mappings

1996 ◽  
Vol 78 (3) ◽  
pp. 381-386 ◽  
Author(s):  
Gue Myung Lee ◽  
Do Sang Kim ◽  
Byung Soo Lee
Keyword(s):  
Quasivariational Inequalities

scholarly journals Optimal Foreign Exchange Rate Intervention in Lévy Markets

2014 ◽  
Vol 2014 ◽  
pp. 1-8 ◽  
Author(s):  
Masimba Aspinas Mutakaya ◽  
Eriyoti Chikodza ◽  
Edward T. Chiyaka
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Impulse Control ◽  
Value Function ◽  
Quasivariational Inequalities ◽  
Expected Number ◽  
A Value ◽  
The Exchange Rate ◽  
Intervention Costs ◽  
Exchange Rate Intervention

This paper considers an exchange rate problem in Lévy markets, where the Central Bank has to intervene. We assume that, in the absence of control, the exchange rate evolves according to Brownian motion with a jump component. The Central Bank is allowed to intervene in order to keep the exchange rate as close as possible to a prespecified target value. The interventions by the Central Bank are associated with costs. We present the situation as an impulse control problem, where the objective of the bank is to minimize the intervention costs. In particular, the paper extends the model by Huang, 2009, to incorporate a jump component. We formulate and prove an optimal verification theorem for the impulse control. We then propose an impulse control and construct a value function and then verify that they solve the quasivariational inequalities. Our results suggest that if the expected number of jumps is high the Central Bank will intervene more frequently and with large intervention amounts hence the intervention costs will be high.

Parabolic PDEs with hysteresis and quasivariational inequalities

1998 ◽  
Vol 34 (5) ◽  
pp. 665-686 ◽  
Author(s):  
N. Kenmochi ◽  
T. Koyama ◽  
G.H. Meyer
Keyword(s):  
Quasivariational Inequalities ◽  
Parabolic Pdes
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