From the 1 of 6 linked papers with an AI index.
5 papers · 1 filter
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…