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arXiv · 1410.7490

Cash Management and Control Band Policies for Spectrally One-sided Levy Processes

Kazutoshi Yamazaki
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Abstract

We study the control band policy arising in the context of cash balance management. A policy is specified by four parameters (d,D,U,u). The controller pushes the process up to D as soon as it goes below d and pushes down to U as soon as it goes above u, while he does not intervene whenever it is within the set (d, u). We focus on the case when the underlying process is a spectrally one-sided Levy process and obtain the expected fixed and proportional controlling costs as well as the holding costs under the band policy.

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Kazutoshi Yamazaki. 2014-10-28. Cash Management and Control Band Policies for Spectrally One-sided Levy Processes. https://arxiv.org/abs/1410.7490

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