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math.OC2026
Integral equations for the optimal boundary surface of a mean-field game of capacity expansion
Tiziano De Angelis, Giulia Livieri, Maddalena Ghio
We prove that the optimal boundary surface that splits the action and inaction regions in a mean-field game of capacity expansion studied in (Campi et al.,\ Ann.\ Appl.\ Probab.,\…
math.OC2026
A class of stochastic control problems with state constraints
Tiziano De Angelis, Erik Ekström
We obtain a probabilistic solution to linear-quadratic optimal control problems with state constraints. Given a closed set , a diffusi…