Giorgio Ferrari

Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces

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 models of production and climate transition. Let (D,M,μ) be a finite measure space and consider the Hil...

Existence and Uniqueness Results for a Mean-Field Game of Optimal Investment

Abstract 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 the mean-field interaction of the representative company with a mass of identical and indi...