一、讲座主题：Ambiguous Impulse Control

二、主讲人：罗雨雷

罗雨雷，香港大学经管学院经济学教授，博士毕业于普林斯顿大学。主要研究方向是宏观经济学，信息经济学，货币理论与政策。在American Economic Jouranl: Macroeconomics, Journal of Economic Theory, Management Science, Economic Journal, Journal of International Economics, Journal of European Economic Association, Review of Economic Dynamics, Journal of Economic Dynamics and Control等国际顶尖或一流期刊发表二十多篇文章。

三、主要内容：

In this paper, we develop a stochastic impulse control model with intermittent and lumpy adjustments when the decision maker (DM) faces Knightian uncertainty due to ambiguity aversion (or model uncertainty due to a preference for robustness). We show the optimality and uniqueness of the solutions to the robust impulse control problems for three stochas tic processes: (i) the geometric Brownian motion (GBM), (ii) the Ornstein—Uhlenbeck (OU)Process, and (iii) the arithmetic Brownian motion (ABM). We then quantitatively examine the implications of Knightian uncertainty on the optimal barries under the three driving processes in the target zone model and the cash management/inventory model, and find that the width of the inaction region is decreasing with the degree of ambiguity in the GBM case, while it is increasing with the degree ambiguity aversion in the OU and ABM cases. Finally, we briefly compare the implications of model uncertainty with that of state uncertainty (SU) and parameter uncertainty (PU)

四、时间：2022年12月09日14:00-15:30

五、地点：腾讯会议418-501-010 密码：1209