A mathematical model and the optimal strategy in the transactions between one bank and the central bank

Proceedings of the Romanian Academy Series A-Mathematics Physics Technical Sciences Information Science

Elena-Cristina CANEPA¹ 

关键词: Brownian motion with drift;    Double Skorokhod formula;    optimal control;    barrier strategy.;   

DOI  :  

学科分类：计算机科学（综合）

来源: Editura Academiei Romane

【 摘 要 】

We present a new mathematical model, based on stochastic control, for an economyformed by one bank and the Central Bank. In comparison to [6], the model allows for transactions tobe discounted at different rates. We formulate and solve the bank problem of finding the optimalstrategy when the underlying process is modeled by a Brownian motion with drift. We extend themodel to involve the bank’s asset size. In comparison to [1] and [3], we obtain that the optimal upperbarrier for selling is a linear function of the asset size. As a consequence, using the double Skorokhodformula, the net purchase amount turns to be linear in the asset size.

【 授权许可】

Unknown