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Project C4.1: Stochastic games of singular control and games of stopping


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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 games of SSC and games of OS. In particular, we aim at investigating if there exists a connection between certain games of SSC and suitable nonzero-sum games of OS that is consistent with the link OS-SSC observed in single-agent optimization problems. Moreover, we will consider zero-sum games of OS with incomplete information, SSC problems with multi-dimensional controls and games involving impulse controls. For the latter two topics, possible relations with questions of OS will also be explored.


Recent Preprints:

21041 Alessandro Calvia, Giorgio Ferrari PDF

Nonlinear filtering of partially observed systems arising in singular stochastic optimal control

Project: C4

Published: Applied Mathematics and Optimization 85 (2022), article number 12, 1–43

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Nonlinear filtering of partially observed systems arising in singular stochastic optimal control


Authors: Alessandro Calvia, Giorgio Ferrari Projects: C4
Submission Date: 10.06.2021 Submitter: Frank Riedel
Download: PDF Link: 21041
Published: Applied Mathematics and Optimization 85 (2022), article number 12, 1–43

21040 Haoyang Cao, Jodi Dianetti, Giorgio Ferrari PDF

Stationary discounted and ergodic mean field games of singular control

Project: C4

Published: Mathematics of Operations Research 48, no. 4 (2023), 1871–1898

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Stationary discounted and ergodic mean field games of singular control


Authors: Haoyang Cao, Jodi Dianetti, Giorgio Ferrari Projects: C4
Submission Date: 14.05.2021 Submitter: Frank Riedel
Download: PDF Link: 21040
Published: Mathematics of Operations Research 48, no. 4 (2023), 1871–1898

21031 Jodi Dianetti, Giorgio Ferrari PDF

Multidimensional singular control and related Skorokhod problem: Sufficient conditions for the characterization of optimal controls

Project: C4

Published: Stochastic Processes and their Applications 162 (2023), 547–592

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Multidimensional singular control and related Skorokhod problem: Sufficient conditions for the characterization of optimal controls


Authors: Jodi Dianetti, Giorgio Ferrari Projects: C4
Submission Date: 16.03.2021 Submitter: Frank Riedel
Download: PDF Link: 21031
Published: Stochastic Processes and their Applications 162 (2023), 547–592

21026 Salvatore Federico, Giorgio Ferrari, Neofytos Rodosthenous PDF

Two-sided singular control of an inventory with unknown demand trend

Project: C4

Published: SIAM Journal on Control and Optimization 61, no. 5 (2023), 3076–3101

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Two-sided singular control of an inventory with unknown demand trend


Authors: Salvatore Federico, Giorgio Ferrari, Neofytos Rodosthenous Projects: C4
Submission Date: 22.02.2021 Submitter: Frank Riedel
Download: PDF Link: 21026
Published: SIAM Journal on Control and Optimization 61, no. 5 (2023), 3076–3101

20094 Giorgio Ferrari, Hanwu Li, Frank Riedel PDF

Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty

Project: C3, C4

Published: Advances in Applied Probability 54, no. 4 (2022), 1222–1251

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Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty


Authors: Giorgio Ferrari, Hanwu Li, Frank Riedel Projects: C3, C4
Submission Date: 25.08.2020 Submitter: Herbert Dawid
Download: PDF Link: 20094
Published: Advances in Applied Probability 54, no. 4 (2022), 1222–1251

20057 Salvatore Federico, Giorgio Ferrari, Patrick Schuhmann PDF

Singular control of the drift of a Brownian system

Project: C4

Published: Applied Mathematics and Optimization 84 (2021), 561–590

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Singular control of the drift of a Brownian system


Authors: Salvatore Federico, Giorgio Ferrari, Patrick Schuhmann Projects: C4
Submission Date: 24.05.2020 Submitter: Frank Riedel
Download: PDF Link: 20057
Published: Applied Mathematics and Optimization 84 (2021), 561–590

20056 Elena Bandini, Tiziano De Angelis, Giorgio Ferrari, Fausto Gozzi PDF

Optimal dividend payout under stochastic discounting

Project: C4

Published: Mathematical Finance 32 (2022), 627–677

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Optimal dividend payout under stochastic discounting


Authors: Elena Bandini, Tiziano De Angelis, Giorgio Ferrari, Fausto Gozzi Projects: C4
Submission Date: 24.05.2020 Submitter: Frank Riedel
Download: PDF Link: 20056
Published: Mathematical Finance 32 (2022), 627–677

20036 Giorgio Ferrari, Hanwu Li, Frank Riedel PDF

A knightian irreversible investment problem

Project: C3, C4

Published: Journal of Mathematical Analysis and Applications 507 (2022), 125744, 1–39

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A knightian irreversible investment problem


Authors: Giorgio Ferrari, Hanwu Li, Frank Riedel Projects: C3, C4
Submission Date: 06.04.2020 Submitter: Herbert Dawid
Download: PDF Link: 20036
Published: Journal of Mathematical Analysis and Applications 507 (2022), 125744, 1–39

20007 L’ubomír Baňas, Giorgio Ferrari, Tsiry Avisoa Randrianasolo PDF

Numerical approximation of the value of a stochastic differential game with asymmetric information

Project: B3, C4

Published: SIAM Journal on Control and Optimization 59, no. 2 (2021), 1109-1135

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Numerical approximation of the value of a stochastic differential game with asymmetric information


Authors: L’ubomír Baňas, Giorgio Ferrari, Tsiry Avisoa Randrianasolo Projects: B3, C4
Submission Date: 01.01.2020 Submitter: Frank Riedel
Download: PDF Link: 20007
Published: SIAM Journal on Control and Optimization 59, no. 2 (2021), 1109-1135

19100 Torben Koch, Tiziano Vargiolu PDF

Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem

Project: C4

Published: SIAM Journal of Control and Optimization 59, no. 4 (2021), 3068–3095

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Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem


Authors: Torben Koch, Tiziano Vargiolu Projects: C4
Submission Date: 11.11.2019 Submitter: Frank Riedel
Download: PDF Link: 19100
Published: SIAM Journal of Control and Optimization 59, no. 4 (2021), 3068–3095


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