A generalized impulse control model of cash management

Avner Bar-Ilan, David Perry, Wolfgang Stadje

Research output: Contribution to journalArticlepeer-review


This paper presents a general model of cash management, viewed as an impulse control problem for a stochastic money flow process. Generalizing classical approaches, we represent this process by a superposition of a Brownian motion and a compound Poisson process, controlled by two-sided target-trigger policies. For phase-type distributions for the upward and downward jumps we determine all pertinent cost functionals explicitly. Moreover, the controlled process is studied in steady state. The closed-form results can be used to determine optimal values for the target and trigger values numerically.

Original languageEnglish
Pages (from-to)1013-1033
Number of pages21
JournalJournal of Economic Dynamics and Control
Issue number6
StatePublished - Mar 2004


  • Brownian motion
  • Cash management
  • Compound Poisson process
  • Cost functionals
  • Optional sampling
  • Superposition
  • Target-trigger control

ASJC Scopus subject areas

  • Economics and Econometrics
  • Control and Optimization
  • Applied Mathematics


Dive into the research topics of 'A generalized impulse control model of cash management'. Together they form a unique fingerprint.

Cite this