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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:

19071 Salvatore Federico, Giorgio Ferrari, Patrick Schuhmann PDF

A Model for the Optimal Management of Inflation

Project: C4

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A Model for the Optimal Management of Inflation


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

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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

To appear: Proceedings of the AMS - American Mathematical Society (2019)

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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
To appear: Proceedings of the AMS - American Mathematical Society (2019)

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

On a Class of Infinite-Dimensional Singular Stochastic Control Problems

Project: B1, C3, C4

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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

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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

19001 Jodi Dianetti, Giorgio Ferrari PDF

Nonzero-sum submodular monotone-follower games: existence and approximation of Nash equilibria

Project: C4

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Nonzero-sum submodular monotone-follower games: existence and approximation of Nash equilibria


Authors: Jodi Dianetti, Giorgio Ferrari Projects: C4
Submission Date: 02.01.2019 Submitter: Frank Riedel
Download: PDF Link: 19001

18058 Giorgio Ferrari, Torben Koch PDF

An optimal extraction problem with price impact

Project: C4

To appear: Forthcoming on Applied Mathematics and Optimization (2019)

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An optimal extraction problem with price impact


Authors: Giorgio Ferrari, Torben Koch Projects: C4
Submission Date: 04.12.2018 Submitter: Frank Riedel
Download: PDF Link: 18058
To appear: Forthcoming on Applied Mathematics and Optimization (2019)

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: Frank Riedel
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: Frank Riedel
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

Published: Mathematics of Operations Research 44, no. 2 (2019), 512-531

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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: Frank Riedel
Download: PDF Link: 18018
Published: Mathematics of Operations Research 44, no. 2 (2019), 512-531



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