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math.OC2018
An Optimal Extraction Problem with Price Impact
Giorgio Ferrari, Torben Koch
A price-maker company extracts an exhaustible commodity from a reservoir, and sells it instantaneously in the spot market. In absence of any actions of the company, the commodity's…
math.OC2018
Optimal Control of Debt-to-GDP Ratio in an N-state Regime Switching Economy
Giorgio Ferrari, Neofytos Rodosthenous
We solve an infinite time-horizon bounded-variation stochastic control problem with regime switching between states. This is motivated by the problem of a government that wants…