4 papers
On Mean-field Singular Stochastic Control Problems
Andrea Amato, Federico Cannerozzi, Giorgio Ferrari
We study a class of mean-field control (MFC) problems with singular controls over a finite horizon, allowing for general dependence of the cost functional on the measure argument.…
Optimal Coarse Correlated Equilibria in Mean Field Games: Linear Programming and No-Regret Learning
Luciano Campi, Federico Cannerozzi, Ioannis Tzouanas
We introduce optimal coarse correlated equilibria for continuous-time mean field games. A coarse correlated equilibrium is a randomized recommendation scheme from which no player c…
Stationary Mean-Field singular control of an Ornstein-Uhlenbeck process
Federico Cannerozzi
Motivated by continuous-time optimal inventory management, we study a class of stationary mean-field control problems with singular controls. The dynamics are modeled by a mean-rev…
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…