Menu
Contact | A-Z
img

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


Principal Investigator(s)
Giorgio Ferrari
Visitor(s)
Currently no visitors.

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:

20057 Salvatore Federico, Giorgio Ferrari, Patrick Schuhmann PDF

Singular control of the drift of a Brownian system

Project: C4

X

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

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

Optimal dividend payout under stochastic discounting

Project: C4

X

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

20036 Giorgio Ferrari, Hanwu Li, Frank Riedel PDF

A knightian irreversible investment problem

Project: C3, C4

X

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

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

X

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

19100 Torben Koch, Tiziano Vargiolu PDF

Optimal installation of solar panels with price impact: a solvable singular stochastic control problem

Project: C4

X

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

19071 Salvatore Federico, Giorgio Ferrari, Patrick Schuhmann PDF

A singular stochastic control problem with interconnected dynamics

Project: C4

X

A singular stochastic control problem with interconnected dynamics


Authors: Salvatore Federico, Giorgio Ferrari, Patrick Schuhmann Projects: C4
Submission Date: 26.09.2019 Submitter: Frank Riedel
Download: PDF Link: 19071

19065 Jodi Dianetti, Giorgio Ferrari, Markus Fischer, Max Nendel PDF

Submodular mean field games: existence and approximation of solutions

Project: C4, C5

X

Submodular mean field games: existence and approximation of solutions


Authors: Jodi Dianetti, Giorgio Ferrari, Markus Fischer, Max Nendel Projects: C4, C5
Submission Date: 18.08.2019 Submitter: Herbert Dawid
Download: PDF Link: 19065

19024 Torben Koch PDF

Universal bounds and monotonicity properties of ratios of Hermite and parabolic cylinder functions

Project: C4

Published: Proceedings of the AMS - American Mathematical Society 148, no. 5 (2020), 2149-2155

X

Universal bounds and monotonicity properties of ratios of Hermite and parabolic cylinder functions


Authors: Torben Koch Projects: C4
Submission Date: 22.05.2019 Submitter: Frank Riedel
Download: PDF Link: 19024
Published: Proceedings of the AMS - American Mathematical Society 148, no. 5 (2020), 2149-2155

19014 Salvatore Federico, Giorgio Ferrari, Frank Riedel, Michael Röckner PDF

On a Class of Infinite-Dimensional Singular Stochastic Control Problems

Project: B1, C3, C4

X

On a Class of Infinite-Dimensional Singular Stochastic Control Problems


Authors: Salvatore Federico, Giorgio Ferrari, Frank Riedel, Michael Röckner Projects: B1, C3, C4
Submission Date: 26.04.2019 Submitter: Herbert Dawid
Download: PDF Link: 19014

19002 Giorgia Callegaro, Claudia Ceci, Giorgio Ferrari PDF

Optimal reduction of public debt under partial observation of the economic growth

Project: C4

X

Optimal reduction of public debt under partial observation of the economic growth


Authors: Giorgia Callegaro, Claudia Ceci, Giorgio Ferrari Projects: C4
Submission Date: 29.01.2019 Submitter: Frank Riedel
Download: PDF Link: 19002



Back
© 2017–2019 Sonderforschungbereich 1283 | Privacy Policy