healthcare investment 1mortality risk 1optimal consumption 1optimal stopping 1portfolio choice 1stochastic control 1
From the 1 of 3 linked papers with an AI index.
3 papers
math.OC2026
On a Merton Problem with Irreversible Healthcare Investment
Giorgio Ferrari, Shihao Zhu
The paper develops a dynamic model that jointly determines optimal consumption, portfolio allocation, and the timing of irreversible healthcare investment, using a stochastic contr…
math.PR2026
Continuous Differentiability of the Value Function for Infinite-Dimensional Finite-Horizon Optimal Stopping and Related Variational Inequalities
Gabriele Bolli, Giorgio Ferrari
This paper studies finite-horizon optimal stopping problems for semilinear stochastic evolution equations in real, separable Hilbert spaces, together with their associated paraboli…
math.OC2024
Ergodic Mean-Field Games of Singular Control with Regime-Switching (Extended Version)
Jodi Dianetti, Giorgio Ferrari, Ioannis Tzouanas
This paper studies a class of stationary mean-field games of singular stochastic control with regime-switching. The representative agent adjusts the dynamics of a Markov-modulated…