Prof. David Perry received a grant from the prestigious ISF

Prof. David Perry, chairman of the Dept. of Technological Engineering and Management at HIT received a grant from the ISF – the special bi-national program Israel-China.

This study presents a general pattern of cash management models, viewed as a combination of impulse and drift controls. This pattern can be applied to broad types of controllers such as central banks, insurance companies, and spot market managers and individual money holders.
Generalizing classical approaches, the model represents this process by a superposition of a Brownian motion and a compound Poisson process, sometimes controlled by two-sided target-trigger policies.

The problem is composed of two phases. The first phase is the performance analysis in which the relevant functional are found. The second phase is the type of control. The study applies the (natural) hysteretic control. That is, we apply an optimization, based on numerical work or simulation, in accordance with two disciplines; the discounted discipline and the long run average (LRA) discipline. On the one hand, the LRA is a special case of the discounted regime, but the intricateness of models analyzed under the LRA can be extended beyond those of models analyzed via the discounted disciplines. For phase-type distributions for the upward and downward jumps, for some specific models, we are able to determine all pertinent cost functional explicitly. In particular, under the LRA discipline, 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.
 

Posted: 06/11/2019