28 citations · 117 across the 37 of their papers we have counts for
6 papers · 1 filter
Optimal Dividends under Markov-Modulated Bankruptcy Level
Giorgio Ferrari, Patrick Schuhmann, Shihao Zhu
This paper proposes and studies an optimal dividend problem in which a two-state regime-switching environment affects the dynamics of the company's cash surplus and, as a novel fea…
Nonlinear Filtering of Partially Observed Systems arising in Singular Stochastic Optimal Control
Alessandro Calvia, Giorgio Ferrari
This paper deals with a nonlinear filtering problem in which a multi-dimensional signal process is additively affected by a process whose components have paths of bounded varia…
Stationary Discounted and Ergodic Mean Field Games of Singular Control
Haoyang Cao, Jodi Dianetti, Giorgio Ferrari
We study stationary mean field games with singular controls in which the representative player interacts with a long-time weighted average of the population through a discounted an…
Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
Jodi Dianetti, Giorgio Ferrari
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimizatio…
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…
Two-sided Singular Control of an Inventory with Unknown Demand Trend (Extended Version)
Salvatore Federico, Giorgio Ferrari, Neofytos Rodosthenous
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brown…