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Project C4: Stochastic games of singular control and games of stopping


Principal Investigator(s)
Giorgio Ferrari
Visitor(s)
Currently no visitors.

Summary:

Problems of singular stochastic control (SSC) and optimal stopping (OS) arise frequently in Economics and Finance. Examples of applications are capacity choice, optimal management of storage systems, entry/exit problems, and fair pricing of American options. In this project, we study N-player and mean-field games of SSC, as well as multi-dimensional SSC problems. In particular, we aim at proving existence and approximation results for Nash and mean-field equilibria in stochastic games of SSC, and at providing a thorough analysis of certain multi-dimensional SSC problems via the study of the geometry of their state space and the delicate construction of their optimal control rules. The connection of these problems to questions of OS will be explored and exploited.


Recent Preprints:

25010 Giorgio Ferrari, Neofytos Rodosthenous PDF

On the Singular Control of a Diffusion and Its Running Infimum or Supremum

Project: C4

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On the Singular Control of a Diffusion and Its Running Infimum or Supremum


Authors: Giorgio Ferrari, Neofytos Rodosthenous Projects: C4
Submission Date: 10.02.2025 Submitter: Frank Riedel
Download: PDF Link: 25010

25006 Salvatore Federico, Giorgio Ferrari, Mauro Rosestolato PDF

Partial regularity of semiconvex viscosity supersolutions to fully nonlinear elliptic HJB equations and applications to stochastic control

Project: C4

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Partial regularity of semiconvex viscosity supersolutions to fully nonlinear elliptic HJB equations and applications to stochastic control


Authors: Salvatore Federico, Giorgio Ferrari, Mauro Rosestolato Projects: C4
Submission Date: 30.01.2025 Submitter: Frank Riedel
Download: PDF Link: 25006

24090 Jodi Dianetti, Max Nendel, Ludovic Tangpi, Shichun Wang PDF

Pasting of equilibria and Donsker-type results for mean field games

Project: C4, C7

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Pasting of equilibria and Donsker-type results for mean field games


Authors: Jodi Dianetti, Max Nendel, Ludovic Tangpi, Shichun Wang Projects: C4, C7
Submission Date: 14.11.2024 Submitter: Frank Riedel
Download: PDF Link: 24090

24054 Jodi Dianetti, Giorgio Ferrari, Renyuan Xu PDF

Exploratory optimal stopping: A singular control formulation

Project: C4

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Exploratory optimal stopping: A singular control formulation


Authors: Jodi Dianetti, Giorgio Ferrari, Renyuan Xu Projects: C4
Submission Date: 21.08.2024 Submitter: Frank Riedel
Download: PDF Link: 24054

24043 Salvatore Federico, Giorgio Ferrari, Frank Riedel, Michael Röckner PDF

Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces

Project: B1, C3, C4

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Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces


Authors: Salvatore Federico, Giorgio Ferrari, Frank Riedel, Michael Röckner Projects: B1, C3, C4
Submission Date: 11.06.2024 Submitter: Max Nendel
Download: PDF Link: 24043

24027 Federico Cannerozzi, Giorgio Ferrari PDF

Cooperation, correlation and competition in ergodic n-player games and mean-field games of singular controls: a case study

Project: C4

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Cooperation, correlation and competition in ergodic n-player games and mean-field games of singular controls: a case study


Authors: Federico Cannerozzi, Giorgio Ferrari Projects: C4
Submission Date: 24.04.2024 Submitter: Frank Riedel
Download: PDF Link: 24027

24022 Alessandro Calvia, Salvatore Federico, Giorgio Ferrari, Fausto Gozzi PDF

A mean-field model of optimal investment

Project: C4

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A mean-field model of optimal investment


Authors: Alessandro Calvia, Salvatore Federico, Giorgio Ferrari, Fausto Gozzi Projects: C4
Submission Date: 05.04.2024 Submitter: Frank Riedel
Download: PDF Link: 24022

24019 Felix Dammann, Giorgio Ferrari PDF

A stationary equilibrium model of green technology adoption with endogenous carbon price

Project: C4

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A stationary equilibrium model of green technology adoption with endogenous carbon price


Authors: Felix Dammann, Giorgio Ferrari Projects: C4
Submission Date: 27.02.2024 Submitter: Herbert Dawid
Download: PDF Link: 24019

24014 Jodi Dianetti, Frank Riedel, Lorenzo Maria Stanca PDF

Optimal consumption and investment under relative performance criteria with Epstein-Zin utility

Project: C3, C4, C5

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Optimal consumption and investment under relative performance criteria with Epstein-Zin utility


Authors: Jodi Dianetti, Frank Riedel, Lorenzo Maria Stanca Projects: C3, C4, C5
Submission Date: 12.02.2024 Submitter: Herbert Dawid
Download: PDF Link: 24014

23076 An Chen, Giorgio Ferrari, Shihao Zhu PDF

Striking the balance: Life insurance timing and asset allocation in financial planning

Project: C4

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Striking the balance: Life insurance timing and asset allocation in financial planning


Authors: An Chen, Giorgio Ferrari, Shihao Zhu Projects: C4
Submission Date: 07.12.2023 Submitter: Frank Riedel
Download: PDF Link: 23076


All Publications of this Project


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