1 citations · 1 across the 6 of their papers we have counts for
6 papers
Robust Ergodic Control of Jump-Diffusion Systems under Drift and Intensity Uncertainty
Abel Azze, Bernardo D'Auria, Giorgio Ferrari
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both t…
Reinforcement Learning in Real Option Models
Jodi Dianetti, Giorgio Ferrari, Renyuan Xu
We investigate an entropy-regularized reinforcement learning (RL) approach to optimal stopping problems motivated by real option models. Classical stopping rules are strict and non…
Stationary Mean-Field Games of Singular Control under Knightian Uncertainty
Giorgio Ferrari, Ioannis Tzouanas
In this work, we study a class of stationary mean-field games of singular stochastic control under model uncertainty. The representative agent adjusts the dynamics of an Itô diffus…
On the Singular Control of a Diffusion and its Running Infimum or Supremum
Giorgio Ferrari, Neofytos Rodosthenous
We study a class of singular stochastic control problems for a one-dimensional diffusion in which the performance criterion to be optimised depends explicitly on the running in…
A Stationary Equilibrium Model of Green Technology Adoption with Endogenous Carbon Price
Felix Dammann, Giorgio Ferrari
This paper proposes and analyzes a stationary equilibrium model for a competitive industry which endogenously determines the carbon price necessary to achieve a given emission targ…
Singular Control in a Cash Management Model with Ambiguity
Arnon Archankul, Giorgio Ferrari, Tobias Hellmann +1
We consider a singular control model of cash reserve management, driven by a diffusion under ambiguity. The manager is assumed to have maxmin preferences over a set of priors chara…