28 citations · 117 across the 37 of their papers we have counts for
49 papers
Continuous Differentiability of the Value Function for Infinite-Dimensional Finite-Horizon Optimal Stopping and Related Variational Inequalities
Gabriele Bolli, Giorgio Ferrari
This paper studies finite-horizon optimal stopping problems for semilinear stochastic evolution equations in real, separable Hilbert spaces, together with their associated paraboli…
Ergodic Mean-Field Games of Singular Control with Regime-Switching (Extended Version)
Jodi Dianetti, Giorgio Ferrari, Ioannis Tzouanas
This paper studies a class of stationary mean-field games of singular stochastic control with regime-switching. The representative agent adjusts the dynamics of a Markov-modulated…
A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy
René Aid, Matteo Basei, Giorgio Ferrari
We consider a mean-field model of firms competing à la Cournot on a commodity market, where the commodity price is given in terms of a power inverse demand function of the industry…
Uncertainty over Uncertainty in Environmental Policy Adoption: Bayesian Learning of Unpredictable Socioeconomic Costs
Matteo Basei, Giorgio Ferrari, Neofytos Rodosthenous
The socioeconomic impact of pollution naturally comes with uncertainty due to, e.g., current new technological developments in emissions' abatement or demographic changes. On top o…
On a Merton Problem with Irreversible Healthcare Investment
Giorgio Ferrari, Shihao Zhu
We propose a tractable dynamic framework for the joint determination of optimal consumption, portfolio choice, and irreversible healthcare investment. Our model is based on Merton'…
Optimal Vaccination in a SIRS Epidemic Model
Salvatore Federico, Giorgio Ferrari, Maria-Laura Torrente
We propose and solve an optimal vaccination problem within a deterministic compartmental model of SIRS type: the immunized population can become susceptible again, e.g.\ because of…
Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return
Felix Dammann, Giorgio Ferrari
We study an optimal liquidation problem with multiplicative price impact in which the trend of the asset's price is an unobservable Bernoulli random variable. The investor aims at…
A unifying framework for submodular mean field games
Jodi Dianetti, Giorgio Ferrari, Markus Fischer +1
We provide an abstract framework for submodular mean field games and identify verifiable sufficient conditions that allow to prove existence and approximation of strong mean field…
Optimal Dividends under Markov-Modulated Bankruptcy Level
Giorgio Ferrari, Patrick Schuhmann, Shihao Zhu
This paper proposes and studies an optimal dividend problem in which a two-state regime-switching environment affects the dynamics of the company's cash surplus and, as a novel fea…
Nonlinear Filtering of Partially Observed Systems arising in Singular Stochastic Optimal Control
Alessandro Calvia, Giorgio Ferrari
This paper deals with a nonlinear filtering problem in which a multi-dimensional signal process is additively affected by a process whose components have paths of bounded varia…
Stationary Discounted and Ergodic Mean Field Games of Singular Control
Haoyang Cao, Jodi Dianetti, Giorgio Ferrari
We study stationary mean field games with singular controls in which the representative player interacts with a long-time weighted average of the population through a discounted an…
Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
Jodi Dianetti, Giorgio Ferrari
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimizatio…
On an Irreversible Investment Problem with Two-Factor Uncertainty
Felix Dammann, Giorgio Ferrari
We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The company has the opportunity to invest into a production plant c…
Two-sided Singular Control of an Inventory with Unknown Demand Trend (Extended Version)
Salvatore Federico, Giorgio Ferrari, Neofytos Rodosthenous
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brown…
Optimal switch from a fossil-fueled to an electric vehicle
Paolo Falbo, Giorgio Ferrari, Giorgio Rizzini +1
In this paper we propose and solve a real options model for the optimal adoption of an electric vehicle. A policymaker promotes the abeyance of fossil-fueled vehicles through an in…
Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty
Giorgio Ferrari, Hanwu Li, Frank Riedel
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent's preferences exhibit local intertemporal substitution. We also allow…
Taming the spread of an epidemics by lockdown policies
Salvatore Federico, Giorgio Ferrari
We study the problem of a policymaker who aims at taming the spread of an epidemic while minimizing its associated social costs. The main feature of our model lies in the fact that…
Optimal Dividend Payout under Stochastic Discounting
Elena Bandini, Tiziano De Angelis, Giorgio Ferrari +1
Adopting a probabilistic approach we determine the optimal dividend payout policy of a firm whose surplus process follows a controlled arithmetic Brownian motion and whose cash-flo…
A Knightian Irreversible Investment Problem
Giorgio Ferrari, Hanwu Li, Frank Riedel
In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in which Knightian uncertainty is modeled through a set of multiple…
Numerical approximation of the value of a stochastic differential game with asymmetric information
Ľubomír Baňas, Giorgio Ferrari, Tsiry A. Randrianasolo
We consider a convexity constrained Hamilton-Jacobi-Bellman-type obstacle problem for the value function of a zero-sum differential game with asymmetric information. We propose a c…
A Singular Stochastic Control Problem with Interconnected Dynamics
Salvatore Federico, Giorgio Ferrari, Patrick Schuhmann
In this paper we study a Markovian two-dimensional bounded-variation stochastic control problem whose state process consists of a diffusive mean-reverting component and of a purely…
Submodular Mean Field Games: Existence and Approximation of Solutions
Jodi Dianetti, Giorgio Ferrari, Markus Fischer +1
We study mean field games with scalar It{ô}-type dynamics and costs that are submodular with respect to a suitable order relation on the state and measure space. The submodularity…
On a Class of Infinite-Dimensional Singular Stochastic Control Problems
Salvatore Federico, Giorgio Ferrari, Frank Riedel +1
We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evo…
Nonzero-Sum Submodular Monotone-Follower Games: Existence and Approximation of Nash Equilibria
Jodi Dianetti, Giorgio Ferrari
We consider a class of N-player stochastic games of multi-dimensional singular control, in which each player faces a minimization problem of monotone-follower type with submodular…