8 papers · 1 filter
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…