主讲人：罗雨雷 教授 香港大学

主持人：罗俊 副院长 9499www威尼斯

时间：2022年8月5日（周五）9:00

地点：

线下：9499www威尼斯（6号学院楼）210会议室

线上：腾讯会议ID 488-267-305

讲座主题：

Ambiguous Impulse Control

【内容摘要】

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 stochastic 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).

【主讲人简介】

罗雨雷教授现执教于香港大学，2005年获得普林斯顿大学经济学博士学位（师从2011年诺贝尔经济学奖获得者Christopher A. Sims教授等顶尖经济学家），主要研究方向是理论宏观、货币理论与政策。罗雨雷教授近年来已在经济与管理学的顶尖国际期刊发表25篇高水平论文（另有多篇工作论文在审），包括经济学顶尖期刊美国经济评论的子刊American Economic Journal: Macroeconomics、管理学顶尖期刊Management Science、理论经济学顶尖期刊Journal of Economic Theory、宏观经济学顶尖期刊The Brookings Economic Journal of Macroeconomics、Review of Economic Dynamics、Journal of Economic Dynamics and Control、国际经济学顶尖期刊Journal of International Economics、货币经济学的顶尖期刊Journal of Money, Credit and Banking以及欧洲经济学会会刊Journal of the European Economic Association、European Economic Review等。