28 citations · 117 across the 37 of their papers we have counts for
4 papers · 1 filter
On the Optimal Management of Public Debt: a Singular Stochastic Control Problem
Giorgio Ferrari
Consider the problem of a government that wants to reduce the debt-to-GDP (gross domestic product) ratio of a country. The government aims at choosing a debt reduction policy which…
Optimal Entry to an Irreversible Investment Plan with Non Convex Costs
Tiziano De Angelis, Giorgio Ferrari, Randall Martyr +1
A problem of optimally purchasing electricity at a real-valued spot price (that is, with potentially negative cost) has been recently addressed in De Angelis, Ferrari and Moriarty…
On an Optimal Extraction Problem with Regime Switching
Giorgio Ferrari, Shuzhen Yang
This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction prob…
Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
Tiziano De Angelis, Giorgio Ferrari
In this paper we establish a new connection between a class of 2-player nonzero-sum games of optimal stopping and certain -player nonzero-sum games of singular control. We show…