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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.
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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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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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21031
Jodi Dianetti, Giorgio Ferrari PDF
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 |
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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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20094
Giorgio Ferrari, Hanwu Li, Frank Riedel PDF
Optimal consumption with intertemporal substitution under Knightian uncertainty Published: Advances in Applied Probability 54, no. 4 (2022), 1222–1251 |
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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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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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20036
Giorgio Ferrari, Hanwu Li, Frank Riedel PDF
A Knightian irreversible investment problem Published: Journal of Mathematical Analysis and Applications 507 (2022), 125744, 1–39 |
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20007
L’ubomír Baňas, Giorgio Ferrari, Tsiry Avisoa Randrianasolo PDF
Numerical approximation of the value of a stochastic differential game with asymmetric information 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 |
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19100
Torben Koch, Tiziano Vargiolu PDF
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 |
