Robust Impulse Control Of G Diffusion Processes

Download or read book Robust Impulse Control of G-Diffusion Processes written by Chi Seng Pun and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper establishes a general analytical framework for the impulse controls of the diffusion processes driven by multidimensional G-Brownian motion. We propose new G-quasi-variational inequalities (G-QVI) and we provide a verification theorem to link a classical (smooth) solution of the G-QVI with the value function for the impulse control problem of our interest. When the intervention penalty is piecewise linear, we adopt an ansatz of a band policy for the optimal impulse control such that the G-QVI is converted to a nonlinear second-order partial differential equation with free boundaries. For which, we provide a constructive way to solve in an application of our framework to robust mean-reverting inventory control subject to ambiguous volatility.