2 papers
math.OC2026
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.…
math.OC2026
Optimal Consumption and Portfolio Choice with No-Borrowing Constraint in the Kim-Omberg Model: The Complete Market Case
Giorgio Ferrari, Tim Niclas Schütz
In this paper, we study an intertemporal utility maximization problem in which an investor chooses consumption and portfolio strategies in the presence of a stochastic factor and a…