4 papers · 1 filter
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 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…
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…
Cooperation, Correlation and Competition in Ergodic N-player Games and Mean-field Games of Singular Controls: A Case Study
Federico Cannerozzi, Giorgio Ferrari
We consider a class of -player games and mean-field games of singular controls with ergodic performance criterion, providing a benchmark case for irreversible investment games f…