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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.
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |