From the 1 of 6 linked papers with an AI index.
6 papers
On Mean-field Singular Stochastic Control Problems
Andrea Amato, Federico Cannerozzi, Giorgio Ferrari
The paper investigates finite‑horizon mean‑field control problems with singular controls, linking them to a potential mean‑field game and providing a full characterization of the o…
Optimal Policy Characterization for a Class of Multi-Dimensional Ergodic Singular Stochastic Control Problems
Alessandro Calvia, Federico Cannerozzi, Giorgio Ferrari
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal o…
Optimal Coarse Correlated Equilibria in Mean Field Games: Linear Programming and No-Regret Learning
Luciano Campi, Federico Cannerozzi, Ioannis Tzouanas
We introduce optimal coarse correlated equilibria for continuous-time mean field games. A coarse correlated equilibrium is a randomized recommendation scheme from which no player c…
Stationary Mean-Field singular control of an Ornstein-Uhlenbeck process
Federico Cannerozzi
Motivated by continuous-time optimal inventory management, we study a class of stationary mean-field control problems with singular controls. The dynamics are modeled by a mean-rev…
Cooperation, Correlation and Competition in Ergodic N-player Games and Mean-field Games of Singular Controls: A Case Study
Federico Cannerozzi, Giorgio Ferrari
We consider a class of -player games and mean-field games of singular controls with ergodic performance criterion, providing a benchmark case for irreversible investment games f…
Coarse correlated equilibria for continuous time mean field games in open loop strategies
Luciano Campi, Federico Cannerozzi, Markus Fischer
In the framework of continuous time symmetric stochastic differential games in open loop strategies, we introduce a generalization of mean field game solution, called coarse correl…