28 citations · 117 across the 37 of their papers we have counts for
4 papers · 1 filter
On a Merton Problem with Irreversible Healthcare Investment
Giorgio Ferrari, Shihao Zhu
We propose a tractable dynamic framework for the joint determination of optimal consumption, portfolio choice, and irreversible healthcare investment. Our model is based on Merton'…
Optimal Vaccination in a SIRS Epidemic Model
Salvatore Federico, Giorgio Ferrari, Maria-Laura Torrente
We propose and solve an optimal vaccination problem within a deterministic compartmental model of SIRS type: the immunized population can become susceptible again, e.g.\ because of…
Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return
Felix Dammann, Giorgio Ferrari
We study an optimal liquidation problem with multiplicative price impact in which the trend of the asset's price is an unobservable Bernoulli random variable. The investor aims at…
A unifying framework for submodular mean field games
Jodi Dianetti, Giorgio Ferrari, Markus Fischer +1
We provide an abstract framework for submodular mean field games and identify verifiable sufficient conditions that allow to prove existence and approximation of strong mean field…