Search Results - subject:"singular stochastic control"

On the singular control of exchange rates

Ferrari, Giorgio; Vargiolu, Tiziano - 2017

paper are those of the theory of singular stochastic control and of one-dimensional diffusions. …

Persistent link: https://www.econbiz.de/10011892206

A solvable two-dimensional singular stochastic control problem with non convex costs

De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John - 2016

In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic … control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a …

Persistent link: https://www.econbiz.de/10011582527

On an optimal extraction problem with regime switching

Ferrari, Giorgio; Yang, Shuzhen - 2016

finite-fuel two-dimensional degenerate singular stochastic control problem over an infinite time-horizon. We provide explicit …

Persistent link: https://www.econbiz.de/10011582528

Controlling public debt without forgetting inflation

Ferrari, Giorgio - 2016

the total expected cost of interventions on debt ratio. We model such problem as a two-dimensional singular stochastic … control problem over an infinite time-horizon. We show that it is optimal for the government to adopt a policy that keeps the …

Persistent link: https://www.econbiz.de/10011582530

Optimal entry to an irreversible investment plan with non convex costs

De Angelis, Tiziano; Ferrari, Giorgio; Martyr, Randall; … - 2016

A problem of optimally purchasing electricity at a real-valued spot price (that is, with potentially negative cost) has been recently addressed in De Angelis, Ferrari and Moriarty (2015) [SIAM J. Control Optim. 53(3)]. This problem can be considered one of irreversible investment with a cost...

Persistent link: https://www.econbiz.de/10011582532