3 citations · 3 across the 7 of their papers we have counts for
19 papers
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…
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…
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…
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…