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math.OC2025
Optimal Policy Characterization for a Class of Multi-Dimensional Ergodic Singular Stochastic Control Problems
Alessandro Calvia, Federico Cannerozzi, Giorgio Ferrari
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal o…
q-fin.MF2025
Short-rate models with stochastic discontinuities: a PDE approach
Alessandro Calvia, Marzia De Donno, Chiara Guardasoni +1
With the reform of interest rate benchmarks, interbank offered rates (IBORs) like LIBOR have been replaced by risk-free rates (RFRs), such as the Secured Overnight Financing Rate (…