Search Results - subject:"singular stochastic control"

Optimal reduction of public debt under partial observation of the economic growth

Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio - In: Finance and stochastics 24 (2020) 4, pp. 1083-1132

Persistent link: https://www.econbiz.de/10012518165

On the singular control of exchange rates

Ferrari, Giorgio; Vargiolu, Tiziano - In: Stochastic optimization: theory and applications, (pp. 795-832). 2020

Persistent link: https://www.econbiz.de/10012290842

Continuous-Time Public Good Contribution under Uncertainty

Ferrari, Giorgio; Steg, Jan-Henrik; Riedel, Frank - Institut für Mathematische Wirtschaftsforschung, … - 2015

We study a continuous-time problem of public good contribution under uncertainty for an economy with a finite number of agents. Each agent aims to maximize his expected utility allocating his initial wealth over a given time period between private consumption and repeated but irreversible...

Persistent link: https://www.econbiz.de/10011164360

A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs

De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John - In: Mathematics of operations research 44 (2019) 2, pp. 512-531

Persistent link: https://www.econbiz.de/10012028632

On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment

De Angelis, Tiziano; Federico, Salvatore; Ferrari, Giorgio - 2014

optimization problem is set as a three-dimensional degenerate singular stochastic control problem. We provide the optimal control …

Persistent link: https://www.econbiz.de/10010427186

A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries

De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John - 2014

We show that the equivalence between certain problems of singular stochastic control (SSC) and related questions of …

Persistent link: https://www.econbiz.de/10010427193

Irreversible investment under Lévy uncertainty: An equation for the optimal boundary

Ferrari, Giorgio; Salminen, Paavo - 2014

exponential Lévy uncertainty. The problem is set as an infinite time-horizon, two-dimensional degenerate singular stochastic … control problem. In line with the results recently obtained in a diffusive setting, we show that the optimal boundary is …

Persistent link: https://www.econbiz.de/10011282343

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

De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John - 2014

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/10011282347

Irreversible Investment Under Lévy Uncertainty: An Equation for the Optimal Boundary

Ferrari, Giorgio; Salminen, Paavo - Institut für Mathematische Wirtschaftsforschung, … - 2014

Persistent link: https://www.econbiz.de/10011094286

A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Non Convex Costs

Angelis, Tiziano De; Ferrari, Giorgio; Moriarty, John - Institut für Mathematische Wirtschaftsforschung, … - 2014

Persistent link: https://www.econbiz.de/10011094287