28 citations · 117 across the 37 of their papers we have counts for
6 papers · 1 filter
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…
Optimal Reduction of Public Debt under Partial Observation of the Economic Growth
Giorgia Callegaro, Claudia Ceci, Giorgio Ferrari
We consider a government that aims at reducing the debt-to-gross domestic product (GDP) ratio of a country. The government observes the level of the debt-to-GDP ratio and an indica…