On the Existence and Uniqueness of a Central Bank Intervention Policy in a Levy Market
University of Texas at Dallas - Naveen Jindal School of Management
April 22, 2012
We study a central bank intervention problem in the foreign exchange market driven by a jump diffusion (Levy) process. The optimal intervention bands are derived using impulse control theory. We also prove the existence and the uniqueness of our central bank intervention policy.
Number of Pages in PDF File: 17
Keywords: Impulse Control Theory, Optimal Central Bank Intervention, Levy Processes, Quasi-variational Inequality
JEL Classification: E58working papers series
Date posted: April 23, 2012
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