8 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…
Existence and uniqueness results for a mean-field game of optimal investment
Alessandro Calvia, Salvatore Federico, Giorgio Ferrari +1
We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and…
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…
Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces
Salvatore Federico, Giorgio Ferrari, Frank Riedel +1
We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial mod…
Constructing a Nanopipette-based DNA Electro-Mechanical Device
Cengiz J. Khan, Oliver J. Irving, Rand A. Al-Waqfi +2
Solid-state nanopore and nanopipette sensors are powerful devices for the detection, quantification and structural analysis of biopolymers such as DNA and proteins, especially in c…
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…