4 papers · 1 filter
Stationary Mean-Field Games of Singular Control under Knightian Uncertainty
Giorgio Ferrari, Ioannis Tzouanas
In this work, we study a class of stationary mean-field games of singular stochastic control under model uncertainty. The representative agent adjusts the dynamics of an Itô diffu…
On the Singular Control of a Diffusion and its Running Infimum or Supremum
Giorgio Ferrari, Neofytos Rodosthenous
We study a class of singular stochastic control problems for a one-dimensional diffusion in which the performance criterion to be optimised depends explicitly on the running in…
Robust Ergodic Control of Jump-Diffusion Systems under Drift and Intensity Uncertainty
Abel Azze, Bernardo D'Auria, Giorgio Ferrari
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both t…
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…