28 citations · 117 across the 37 of their papers we have counts for
4 papers · 1 filter
On the Singular Control of Exchange Rates
Giorgio Ferrari, Tiziano Vargiolu
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign cu…
On a Class of Singular Stochastic Control Problems for Reflected Diffusions
Giorgio Ferrari
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of inf…
A note on a new existence result for reflected BSDEs with interconnected obstacles
Tiziano De Angelis, Giorgio Ferrari, Saïd Hamadène
In this note we prove existence of a solution to a system of Markovian BSDEs with interconnected obstacles. A key feature of our system, and the main novelty of this paper, is that…
On a Strategic Model of Pollution Control
Giorgio Ferrari, Torben Koch
This paper proposes a strategic model of pollution control. A firm, representative of the productive sector of a country, aims at maximizing its profits by expanding its production…