healthcare investment 1mortality risk 1optimal consumption 1optimal stopping 1portfolio choice 1stochastic control 1
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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.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…
math.OC2024
Uncertainty over Uncertainty in Environmental Policy Adoption: Bayesian Learning of Unpredictable Socioeconomic Costs
Matteo Basei, Giorgio Ferrari, Neofytos Rodosthenous
The socioeconomic impact of pollution naturally comes with uncertainty due to, e.g., current new technological developments in emissions' abatement or demographic changes. On top o…