8 citations · 11 across the 15 of their papers we have counts for
15 papers
Latent Fragility and Clustered Withdrawals in Dynamic Banks Runs
Jodi Dianetti, Giorgio Ferrari, Yunzhi Hu +1
Using a mean-field game framework, we study a dynamic model of bank runs in which more withdrawals raise the risk of bank failure. Even though depositors receive gradual and idiosy…
Reinforcement Learning in Real Option Models
Jodi Dianetti, Giorgio Ferrari, Renyuan Xu
We investigate an entropy-regularized reinforcement learning (RL) approach to optimal stopping problems motivated by real option models. Classical stopping rules are strict and non…
Entropy Regularization in Mean-Field Games of Optimal Stopping
Jodi Dianetti, Roxana Dumitrescu, Giorgio Ferrari +1
We study mean-field games of optimal stopping (OS-MFGs) and introduce an entropy-regularized framework to enable learning-based solution methods. By utilizing randomized stopping t…
Pasting of Equilibria and Donsker-type Results for Mean Field Games
Jodi Dianetti, Max Nendel, Ludovic Tangpi +1
This paper studies the relation between equilibria in single-period, discrete-time and continuous-time mean field game models. First, for single-period mean field games, we establi…
Exploratory Optimal Stopping: A Singular Control Formulation
Jodi Dianetti, Giorgio Ferrari, Renyuan Xu
This paper explores continuous-time and state-space optimal stopping problems from a reinforcement learning perspective. We begin by formulating the stopping problem using randomiz…
Optimal consumption and investment under relative performance criteria with Epstein-Zin utility
Jodi Dianetti, Frank Riedel, Lorenzo Stanca
We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive…
Multiple equilibria in mean-field game models for large oligopolies with strategic complementarities
Jodi Dianetti, Salvatore Federico, Giorgio Ferrari +1
We consider continuous-time mean-field stochastic games with strategic complementarities. The interaction between the representative productive firm and the population of rivals co…
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…
Linear-quadratic-singular stochastic differential games and applications
Jodi Dianetti
We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential…
Strong solutions to submodular mean field games with common noise and related McKean-Vlasov FBSDEs
Jodi Dianetti
This paper studies multidimensional mean field games with common noise and the related system of McKean-Vlasov forward-backward stochastic differential equations deriving from the…
A unifying framework for submodular mean field games
Jodi Dianetti, Giorgio Ferrari, Markus Fischer +1
We provide an abstract framework for submodular mean field games and identify verifiable sufficient conditions that allow to prove existence and approximation of strong mean field…
Stationary Discounted and Ergodic Mean Field Games of Singular Control
Haoyang Cao, Jodi Dianetti, Giorgio Ferrari
We study stationary mean field games with singular controls in which the representative player interacts with a long-time weighted average of the population through a discounted an…
Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
Jodi Dianetti, Giorgio Ferrari
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimizatio…
Submodular Mean Field Games: Existence and Approximation of Solutions
Jodi Dianetti, Giorgio Ferrari, Markus Fischer +1
We study mean field games with scalar It{ô}-type dynamics and costs that are submodular with respect to a suitable order relation on the state and measure space. The submodularity…
Nonzero-Sum Submodular Monotone-Follower Games: Existence and Approximation of Nash Equilibria
Jodi Dianetti, Giorgio Ferrari
We consider a class of N-player stochastic games of multi-dimensional singular control, in which each player faces a minimization problem of monotone-follower type with submodular…