Prof. Dr. Giorgio Ferrari

Contact-Details:

eMail: ed.dlefeleib-inu irarref.oigroig

Recent Preprints


25010	On the singular control of a diffusion and its running infimum or supremum	PDF
25006	Partial regularity of semiconvex viscosity supersolutions to fully nonlinear elliptic HJB equations and applications to stochastic control	PDF
24054	Exploratory optimal stopping: A singular control formulation	PDF
24043	Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces	PDF
24027	Cooperation, correlation and competition in ergodic n-player games and mean-field games of singular controls: a case study	PDF
24022	A mean-field model of optimal investment	PDF
24019	A stationary equilibrium model of green technology adoption with endogenous carbon price	PDF
23076	Striking the balance: Life insurance timing and asset allocation in financial planning	PDF
23075	Numerical approximation of Dynkin games with asymmetric information	PDF
23074	Optimal retirement choice under age-dependent force of mortality	PDF
23067	Singular control in a cash management model with ambiguity	PDF
23062	Irreversible reinsurance: minimization of capital injections in presence of a fixed cost	PDF
23053	Ergodic mean-field games of singular control with regime-switching	PDF
23030	A stationary mean-field equilibrium model of irreversible investment in a two-regime economy	PDF
23029	Uncertainty over uncertainty in environmental policy adoption: Baysian learning of unpredictable socioeconomic costs	PDF
22075	Consumption decision, portfolio choice and healthcare irreversible investment	PDF
22027	Optimal execution with multiplicative price impact and incomplete information on the return	PDF
22020	A unifying framework for submodular mean field games	PDF
21059	Optimal dividends under Markov-modulated bankruptcy level	PDF
21041	Nonlinear filtering of partially observed systems arising in singular stochastic optimal control	PDF
21040	Stationary discounted and ergodic mean field games of singular control	PDF
21031	Multidimensional singular control and related Skorokhod problem: Sufficient conditions for the characterization of optimal controls	PDF
21030	On an irreversible investment problem with two-factor uncertainty	PDF
21026	Two-sided singular control of an inventory with unknown demand trend	PDF
20094	Optimal consumption with intertemporal substitution under Knightian uncertainty	PDF
20057	Singular control of the drift of a Brownian system	PDF
20056	Optimal dividend payout under stochastic discounting	PDF
20036	A Knightian irreversible investment problem	PDF
20007	Numerical approximation of the value of a stochastic differential game with asymmetric information	PDF
19071	A singular stochastic control problem with interconnected dynamics	PDF
19065	Submodular mean field games: existence and approximation of solutions	PDF
19014	On a class of infinite-dimensional singular stochastic control problems	PDF
19002	Optimal reduction of public debt under partial observation of the economic growth	PDF
19001	Nonzero-sum submodular monotone follower games: existence and approximation of Nash equilibria	PDF
18058	An optimal extraction problem with price impact	PDF
18039	Optimal control of debt-to-GDP ratio in an $\textit{N}$-State regime switching economy	PDF
18019	On the optimal management of public debt: a singular stochastic control problem	PDF
18018	A solvable two-dimensional degenerate singular stochastic control problem with non convex costs	PDF
18011	An optimal dividend problem with capital injections over a finite horizon	PDF
17037	Stochastic nonzero-sum games: a new connection between singular control and optimal stopping	PDF
17036	On the singular control of exchange rates	PDF
17026	On a class of singular stochastic control problems for reflected diffusions	PDF
17025	A note on a new existence result for reflected BSDEs with interconnected obstacles	PDF
17003	On an optimal extraction problem with regime switching	PDF
17002	On a strategic model of pollution control	PDF

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