6 papers
Latent Fragility and Clustered Withdrawals in Dynamic Banks Runs
Jodi Dianetti, Giorgio Ferrari, Yunzhi Hu +1
Using a mean-field game framework, we study a dynamic model of bank runs in which more withdrawals raise the risk of bank failure. Even though depositors receive gradual and idiosy…
Exploratory Optimal Stopping: A Singular Control Formulation
Jodi Dianetti, Giorgio Ferrari, Renyuan Xu
This paper explores continuous-time and state-space optimal stopping problems from a reinforcement learning perspective. We begin by formulating the stopping problem using randomiz…
Reinforcement Learning in Real Option Models
Jodi Dianetti, Giorgio Ferrari, Renyuan Xu
We investigate an entropy-regularized reinforcement learning (RL) approach to optimal stopping problems motivated by real option models. Classical stopping rules are strict and non…
Entropy Regularization in Mean-Field Games of Optimal Stopping
Jodi Dianetti, Roxana Dumitrescu, Giorgio Ferrari +1
We study mean-field games of optimal stopping (OS-MFGs) and introduce an entropy-regularized framework to enable learning-based solution methods. By utilizing randomized stopping t…
Ergodic Mean-Field Games of Singular Control with Regime-Switching (Extended Version)
Jodi Dianetti, Giorgio Ferrari, Ioannis Tzouanas
This paper studies a class of stationary mean-field games of singular stochastic control with regime-switching. The representative agent adjusts the dynamics of a Markov-modulated…
Pasting of Equilibria and Donsker-type Results for Mean Field Games
Jodi Dianetti, Max Nendel, Ludovic Tangpi +1
This paper studies the relation between equilibria in single-period, discrete-time and continuous-time mean field game models. First, for single-period mean field games, we establi…