汇率的混合经典脉冲控制——非对称因素和多边关系因素  

Mixed Classical and Impulse Control of Exchange Rate-Asymmetric Factor and Multilateral Relation Factor

作　　者：赵卫花[1] 秦成林[1] 李华[2] 

机构地区：[1]上海大学理学院,上海200436 [2]交通银行,上海200051

出　　处：《上海大学学报（自然科学版）》2002年第6期557-561,共5页Journal of Shanghai University:Natural Science Edition

基　　金：交通银行基金托管部(514522)资助项目

摘　　要：该文在AbelCadenillast与FernandoZapatero关于汇率控制的基本框架下,对汇率的混合经典-脉冲控制模型作了改进.其一是考虑了汇率变化对多边关系所产生的不同影响;其二是考虑到汇率高于或低于目标时对经济造成的影响是非对称的;其三是考虑到较高的利率与较低的利率对经济的影响也是非对称的.文章对新模型进行了分析,得出了求简单控制策略的非线性常微分方程,并对其中只考虑随机脉冲控制的情况导出了解析解的形式,给出了充分性的条件.We consider the extended model of mixed classical and impulse control of exchange rate based on the model of Abel Cadenillas and Fernando Zapatero. First we consider different influences of changes in exchange rate on the multilateral relations. Secondly, we consider the asymmetric influence of exchange rate on economics when exchange rate is higher or lower than the target. Thirdly, we consider the different influence of interest rate on the economics when the interest rate is higher or lower than its target. Detailed analysis of the new model results in four nonlinear differential equations for simple control strategies and analytical solutions when the stochastic impulse control is used.

关 键 词：非对称因素 多边关系因素 汇率 混合经典脉冲控制 拟变分不等式 随机微分方程 停时 

分 类 号：F830.46[经济管理—金融学]