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


Principal Investigator(s)
Giorgio Ferrari

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:

18058 Giorgio Ferrari, Torben Koch PDF

An optimal extraction problem with price impact

Project: C4

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An optimal extraction problem with price impact


Authors: Giorgio Ferrari, Torben Koch Projects: C4
Submission Date: 04.12.2018 Submitter:
Download: PDF Link: 18058

18039 Giorgio Ferrari, Neofytos Rodosthenous PDF

Optimal management of debt-to-GDP ratio with regime-switching interest rate

Project: C4

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Optimal management of debt-to-GDP ratio with regime-switching interest rate


Authors: Giorgio Ferrari, Neofytos Rodosthenous Projects: C4
Submission Date: 06.08.2018 Submitter:
Download: PDF Link: 18039

18019 Giorgio Ferrari PDF

On the Optimal Management of Public Debt: a Singular Stochastic Control Problem

Project: C4

Published: SIAM Journal on Control and Optimization 56, no. 3 (2018), 2036–2073

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On the Optimal Management of Public Debt: a Singular Stochastic Control Problem


Authors: Giorgio Ferrari Projects: C4
Submission Date: 14.05.2018 Submitter:
Download: PDF Link: 18019
Published: SIAM Journal on Control and Optimization 56, no. 3 (2018), 2036–2073

18018 Tiziano De Angelis, Giorgio Ferrari, John Moriarty PDF

A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Non Convex Costs

Project: C4

To appear: Mathematics of Operations Research (2018)

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A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Non Convex Costs


Authors: Tiziano De Angelis, Giorgio Ferrari, John Moriarty Projects: C4
Submission Date: 14.05.2018 Submitter:
Download: PDF Link: 18018
To appear: Mathematics of Operations Research (2018)

18017 Tiziano De Angelis, Giorgio Ferrari, John Moriarty PDF

Nash Equilibria of Threshold Type for Two-player Nonzero-sum Games of Stopping

Project: C4

Published: The Annals of Applied Probability 28, no. 1 (2018), 112-147

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Nash Equilibria of Threshold Type for Two-player Nonzero-sum Games of Stopping


Authors: Tiziano De Angelis, Giorgio Ferrari, John Moriarty Projects: C4
Submission Date: 14.05.2018 Submitter:
Download: PDF Link: 18017
Published: The Annals of Applied Probability 28, no. 1 (2018), 112-147

18011 Giorgio Ferrari, Patrick Schuhmann PDF

An optimal dividend problem with capital injections over a finite horizon

Project: C4

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An optimal dividend problem with capital injections over a finite horizon


Authors: Giorgio Ferrari, Patrick Schuhmann Projects: C4
Submission Date: 13.04.2018 Submitter:
Download: PDF Link: 18011

18003 Jan-Henrik Steg, Jacco Thijssen PDF

Quick or Persistent? On the Feedback Effects between First and Second-Mover Advantages in a Stochastic Investment Game

Project: C4

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Quick or Persistent? On the Feedback Effects between First and Second-Mover Advantages in a Stochastic Investment Game


Authors: Jan-Henrik Steg, Jacco Thijssen Projects: C4
Submission Date: 16.01.2018 Submitter:
Download: PDF Link: 18003

17037 Tiziano De Angelis, Giorgio Ferrari PDF

Stochastic nonzero-sum games: a new connection between singular control and optimal stopping

Project: C4

Published: Advances in Applied Probability 50, no. 2 (2018), 347–372

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Stochastic nonzero-sum games: a new connection between singular control and optimal stopping


Authors: Tiziano De Angelis, Giorgio Ferrari Projects: C4
Submission Date: 12.12.2017 Submitter:
Download: PDF Link: 17037
Published: Advances in Applied Probability 50, no. 2 (2018), 347–372

17036 Giorgio Ferrari, Tiziano Vargiolu PDF

On the Singular Control of Exchange Rates

Project: C4

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On the Singular Control of Exchange Rates


Authors: Giorgio Ferrari, Tiziano Vargiolu Projects: C4
Submission Date: 07.12.2017 Submitter:
Download: PDF Link: 17036

17026 Giorgio Ferrari PDF

On a Class of Singular Stochastic Control Problems for Reflected Diffusions

Project: C4

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On a Class of Singular Stochastic Control Problems for Reflected Diffusions


Authors: Giorgio Ferrari Projects: C4
Submission Date: 10.11.2017 Submitter:
Download: PDF Link: 17026



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