Deep impulse control: application to interest rate intervention
提出一个深度学习框架解决多变量随机过程的脉冲控制问题，用于估计央行通过利率干预来稳定通胀，帮助小银行或保险公司预测和压力测试央行干预带来的潜在损失。
We propose a deep learning framework for impulse control problems involving multivariate stochastic processes, which can be controllable or uncontrollable.We use this framework to estimate central bank interventions on the (controllable) interest rate to stabilize the (uncontrollable) inflation rate, where the two rates are correlated and cointegrated.This method is useful for small banks or insurance companies with high exposure to Treasury securities to predict and stress-test their potential losses from central bank interventions.We also study the mathematical properties of the proposed framework.