From the 1 of 4 linked papers with an AI index.
4 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 Consumption and Portfolio Choice with No-Borrowing Constraint in the Kim-Omberg Model: The Complete Market Case
Giorgio Ferrari, Tim Niclas Schütz
In this paper, we study an intertemporal utility maximization problem in which an investor chooses consumption and portfolio strategies in the presence of a stochastic factor and a…
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…