2 papers
q-fin.RM2025
Singular Control in a Cash Management Model with Ambiguity
Arnon Archankul, Giorgio Ferrari, Tobias Hellmann +1
We consider a singular control model of cash reserve management, driven by a diffusion under ambiguity. The manager is assumed to have maxmin preferences over a set of priors chara…
math.OC2025
Singular Control in Inventory Management with Smooth Ambiguity
Arnon Archankul, Jacco J. J. Thijssen
We consider singular control in inventory management under Knightian uncertainty, where decision makers have a smooth ambiguity preference over Gaussian-generated priors. We demons…