Menu
Contact | A-Z
img

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:

19024 Torben Koch PDF

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

Project: C4

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

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

19001 Jodi Dianetti, Giorgio Ferrari PDF

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

Project: C4

X

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

X

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

18039 Giorgio Ferrari, Neofytos Rodosthenous PDF

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

Project: C4

X

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

X

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

To appear: Mathematics of Operations Research (2018)

X

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
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

X

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: Frank Riedel
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

X

An optimal dividend problem with capital injections over a finite horizon


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



Back
© 2017–2019 Sonderforschungbereich 1283 | Privacy Policy