A Knightian irreversible investment problem

In this paper, we study an irreversible investment problem under Knightian uncertainty. a general framework, in which uncertainty is modeled through set of multiple priors, prove existence and uniqueness the optimal plan, derive necessary sufficient conditions for optimality. This allows us to construct policy terms solution stochastic backward equation worst-case scenario. time-homogeneous setting – where risk driven by geometric Brownian motion realized so-called “κ-ignorance” are able provide explicit form plan.