10 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…
Constructing a Nanopipette-based DNA Electro-Mechanical Device
Cengiz J. Khan, Oliver J. Irving, Rand A. Al-Waqfi +2
Solid-state nanopore and nanopipette sensors are powerful devices for the detection, quantification and structural analysis of biopolymers such as DNA and proteins, especially in c…
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…
Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise
Giorgio Ferrari, Anna Pajola
We study a mean-field game of optimal stopping and investigate the existence of strong solutions via a connection with the Bank-El Karoui's representation problem. Under certain co…
Partial regularity of semiconvex viscosity supersolutions to fully nonlinear elliptic HJB equations and applications to stochastic control
Salvatore Federico, Giorgio Ferrari, Mauro Rosestolato
In this note, we demonstrate that a locally semiconvex viscosity supersolution to a possibly degenerate fully nonlinear elliptic Hamilton-Jacobi-Bellman (HJB) equation is different…
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…
Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces
Salvatore Federico, Giorgio Ferrari, Frank Riedel +1
We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial mod…
Existence and uniqueness results for a mean-field game of optimal investment
Alessandro Calvia, Salvatore Federico, Giorgio Ferrari +1
We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and…
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…
Irreversible reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost
Salvatore Federico, Giorgio Ferrari, Maria-Laura Torrente
We propose a model in which, in exchange to the payment of a fixed transaction cost, an insurance company can choose the retention level as well as the time at which subscribing a…