3 papers
math.OC2026
Existence and uniqueness results for a mean-field game of optimal investment
Alessandro Calvia, Salvatore Federico, Giorgio Ferrari +1
We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and…
math.OC2026
Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces
Salvatore Federico, Giorgio Ferrari, Frank Riedel +1
We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial mod…
math.OC2025
Partial regularity of semiconvex viscosity supersolutions to fully nonlinear elliptic HJB equations and applications to stochastic control
Salvatore Federico, Giorgio Ferrari, Mauro Rosestolato
In this note, we demonstrate that a locally semiconvex viscosity supersolution to a possibly degenerate fully nonlinear elliptic Hamilton-Jacobi-Bellman (HJB) equation is different…