Research
Current Research Interests
Singular stochastic optimal control; optimal stopping and free-boundary problems; stochastic differential games; games of optimal stopping; mean-field games; impulse stochastic optimal control; real options; financial and actuarial mathematics; energy and commodity markets; epidemiological models.
Published and Accepted Papers
(1) P. Buttà, G. Ferrari, C. Marchioro. Speedy Motions of a Body Immersed in an Infinitely Extended Medium, Journal of Statistical Physics 140(6) (2010), pp. 1182-1194.
(2) M.B. Chiarolla, G. Ferrari, F. Riedel. Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources, SIAM Journal on Control and Optimization 51(5) (2013), pp. 3863-3885.
(3) M.B. Chiarolla, G. Ferrari. Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank-El Karoui Representation Theorem, SIAM Journal on Control and Optimization 52(2) (2014), pp. 1048-1070.
(4) T. De Angelis, G. Ferrari. A Stochastic Partially Reversible Investment Problem on a Finite Time-Horizon: Free-Boundary Analysis, Stochastic Processes and their Applications 124(3) (2014), pp. 4080-4119.
(5) G. Ferrari. On an Integral Equation for the Free-Boundary of Stochastic, Irreversible Investment Problems, Annals of Applied Probability 25(1) (2015), pp. 150-176.
(6) T. De Angelis, G. Ferrari, J. Moriarty. A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries, SIAM Journal on Control and Optimization 53(3) (2015), pp. 1199-1223.
(7) M.B. Chiarolla, G. Ferrari, G. Stabile, Optimal Dynamic Procurement Policies for a Storable Commodity with Lévy Prices and Convex Holding Costs, European Journal of Operational Research 247(3) (2015), pp. 847-858.
(8) G. Ferrari, P. Salminen, Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary, Advances in Applied Probability 48(1) (2016), pp. 298-314.
(9) G. Ferrari, F. Riedel, J.-H. Steg, Continuous-Time Public Good Contribution under Uncertainty: a Stochastic Control Approach, Applied Mathematics and Optimization 75(3) (2017), pp. 429-470.
(10) T. De Angelis, G. Ferrari, R. Martyr, J. Moriarty, Optimal Entry to an Irreversible Investment Plan with Non Convex Costs, Mathematics and Financial Economics 11(4) (2017), pp. 423-454.
(11) T. De Angelis, S. Federico, G. Ferrari, Optimal Boundary Surface for Irreversible Investment with Stochastic Costs, Mathematics of Operations Research 42(4) (2017), pp. 1135-1161.
(12) T. De Angelis, G. Ferrari, J. Moriarty. Nash Equilibria of Threshold Type for Two-player Nonzero-sum Games of Stopping, Annals of Applied Probability 28(1) (2018), pp. 112-147.
(13) G. Ferrari. On the Optimal Management of Public Debt: a Singular Stochastic Control Problem, SIAM Journal on Control and Optimization 56(3) (2018), pp. 2036-2073.
A review of this article on SIAM News Research Nuggets can be read here
(14) T. De Angelis, G. Ferrari. Stochastic Nonzero-sum Games: a New Connection between Singular Control and Optimal Stopping, Advances in Applied Probability 50(2) (2018), pp. 347-372.
(15) G. Ferrari, S. Yang. On an Optimal Extraction Problem with Regime Switching, Advances in Applied Probability 50(3) (2018), pp. 671-705.
(16) G. Ferrari. On a Class of Singular Stochastic Control Problems for Reflected Diffusions, Journal of Mathematical Analysis and Applications 473(2) (2019), pp. 952-979.
(17) G. Ferrari, T. Koch. On a Strategic Model of Pollution Control, Annals of Operations Research 275(2) (2019), pp. 297-319.
(18) T. De Angelis, G. Ferrari, J. Moriarty. A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Non Convex Costs, Mathematics of Operations Research 44(2) (2019), pp. 512-531.
(19) G. Ferrari, P. Schuhmann. An Optimal Dividend Problem with Capital Injections over a Finite Horizon, SIAM Journal on Control and Optimization 57(4) (2019), pp. 2686–2719.
(20) G. Ferrari, T. Vargiolu. On the Singular Control of Exchange Rates, Annals of Operations Research 292 (2020), pp. 795-832.
(21) G. Ferrari, N. Rodosthenous. Optimal Control of Debt-to-GDP Ratio in an N-State Regime Switching Economy, SIAM Journal on Control and Optimization 58(2) (2020), pp. 755-786.
(22) J. Dianetti, G. Ferrari. Nonzero-Sum Submodular Monotone Follower Games: Existence and Approximation of Nash Equilibria, SIAM Journal on Control and Optimization 58(3) (2020), pp. 1257-1288.
(23) S. Federico, G. Ferrari, P. Schuhmann. A Singular Stochastic Control Problem with Interconnected Dynamics, SIAM Journal on Control and Optimization 58(5) (2020), pp. 2821-2853.
(24) G. Callegaro, C. Ceci, G. Ferrari. Optimal Reduction of Public Debt under Partial Observation of the Economic Growth, Finance and Stochastics 24(4) (2020), pp. 1083-1132.
(25) G. Ferrari, T. Koch. An Optimal Extraction Problem with Price Impact, Applied Mathematics and Optimization 83(3) (2021), pp. 1951-1990.
(26) P. Falbo, G. Ferrari, G. Rizzini, M.D. Schmeck. Optimal Switch from a Fossil-fueled to an Electric Vehicle, Decisions in Economics and Finance (2021) 44, pp. 1147-1178.
(27) L. Banas, G. Ferrari, T. Randrianasolo. Numerical Approximation of the Value of a Stochastic Differential Game with Asymmetric Information, SIAM Journal on Control and Optimization 59(2) (2021), pp. 1109-1135.
(28) S. Federico, G. Ferrari. Taming the Spread of an Epidemic by Lockdown Policies, Journal of Mathematical Economics 93 (2021) 102453.
(29) S. Federico, G. Ferrari, F. Riedel, M. Röckner. On a Class of Infinite-Dimensional Singular Stochastic Control Problems, SIAM Journal on Control and Optimization 59(2) (2021), pp. 1680-1704.
(30) S. Federico, G. Ferrari, P. Schuhmann. Singular Control of the Drift of a Brownian System, Applied Mathematics and Optimization 84 (2021), pp. 561-590.
(31) J. Dianetti, G. Ferrari, M. Fischer, M. Nendel. Submodular Mean-Field Games: Existence and Approximation of Solutions, Annals of Applied Probability 31(6)(2021), pp. 2538-2566.
(32) F. Dammann, G. Ferrari. On an Irreversible Investment Problem with Two-Factor Uncertainty, Quantitative Finance 22(5) (2022), pp. 907-921.
(33) G. Ferrari, H. Li, F. Riedel. Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty, Advances in Applied Probability 54(4) (2022), pp. 1222-1251.
(34) G. Ferrari, H. Li, F. Riedel. A Knightian Irreversible Investment Problem, Journal of Mathematical Analysis and Applications 507(1) (2022) 125744.
(35) G. Ferrari, P. Schuhmann, S. Zhu. Optimal Dividends under Markov-modulated Bankruptcy Level, Insurance: Mathematics and Economics 106 (2022), pp. 146-172.
(36) E. Bandini, T. De Angelis, G. Ferrari, F. Gozzi. Optimal Dividend Payout under Stochastic Discounting, Mathematical Finance 32(2) (2022), pp. 627-677.
(37) A. Calvia, G. Ferrari. Nonlinear Filtering of Partially Observed Systems arising in Singular Stochastic Optimal Control, Applied Mathematics and Optimization 85 (2022). DOI 10.1007/s00245-022-09822-x
(38) S. Federico, G. Ferrari, M.L. Torrente. Optimal Vaccination in a SIRS Epidemic Model, Economic Theory 77 (2022), pp. 49-74.
(39) J. Dianetti, G. Ferrari, M. Fischer, M. Nendel. A Unifying Framework for Submodular Mean Field Games, Mathematics of Operations Research 48(3) (2023), pp. 1679-1710.
(40) H. Cao, J. Dianetti, G. Ferrari. Stationary Discounted and Ergodic Mean Field Games of Singular Controls, Mathematics of Operations Research 48(4) (2023), pp. 1871-1898.
(41) J. Dianetti, G. Ferrari, Multidimensional Singular Control and Related Skorokhod Problem: Sufficient Conditions for the Characterization of Optimal Controls, Stochastic Processes and their Applications 162 (2023), pp. 547-592.
(42) F. Dammann, G. Ferrari, Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return, Finance and Stochastics 27(3) (2023), pp. 713-768.
(43) S. Federico, G. Ferrari, N. Rodosthenous. Two-sided Singular Control of an Inventory with Unknown Demand Trend, SIAM Journal on Control and Optimization 61(5) (2023), pp. 3076-3101.
(44) A. Cadenillas, G. Ferrari, P. Schuhmann. Optimal Production Management when there is Regime Switching and Production Constraints, Annals of Operations Research (2024). DOI: 10.1007/s10479-024-05892-y.
(45) M. Basei, G. Ferrari, N. Rodosthenous. Uncertainty over Uncertainty in Environmental Policy Adoption: Bayesian Learning of Unpredictable Socioeconomic Costs. Journal of Economic Dynamics and Control 161 104841 (2024).
Papers under review and Preprints
Variational Inequalities and Smooth-fit Principle for Singular Stochastic Control Problems in Hilbert Spaces - Salvatore Federico, Giorgio Ferrari, Frank Riedel, Michael Röckner (2024). Submitted.
Cooperation, Correlation and Competition in Ergodic N-player Games and Mean-field Games of Singular Controls: A Case Study - Federico Cannerozzi, Giorgio Ferrari (2024). Submitted.
A Mean-field Model of Optimal Investment - Alessandro Calvia, Salvatore Federico, Giorgio Ferrari, Fausto Gozzi (2024). Submitted.
A Stationary Equilibrium Model of Green Technology Adoption with Endogenous Carbon Price - Felix Dammann, Giorgio Ferrari (2024). Submitted.
Multiple Equilibria in Mean-field Game Models for Large Oligopolies with Strategic Complementarities - Jodi Dianetti, Salvatore Federico, Giorgio Ferrari, Giuseppe Floccari (2024). Submitted.
Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning - An Chen, Giorgio Ferrari, Shihao Zhu (2023). Submitted.
Numerical Approximation of Dynkin Games with Asymmetric Information - Lubomir Banas, Giorgio Ferrari, Tsiry Randrianasolo (2023). Submitted.
Optimal Retirement Choice under Age-dependent Force of Mortality - Giorgio Ferrari, Shihao Zhu (2023). Submitted.
On a Merton Problem with Irreversible Healthcare Investment - Giorgio Ferrari, Shihao Zhu (2023). Submitted.
Ergodic Mean-Field Games of Singular Control with Regime-Switching - Jodi Dianetti, Giorgio Ferrari, Ioannis Tzouanas (2023). Submitted.
Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost - Salvatore Federico, Giorgio Ferrari, Maria Laura Torrente (2023). Submitted.
Singular Control in a Cash Management Model with Ambiguity - Arnon Archankul, Giorgio Ferrari, Tobias Hellmann, Jacco J.J. Thijssen (2023). Submitted.
A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy - René Aid, Matteo Basei, Giorgio Ferrari (2023). Submitted.
A Note on a New Existence Result for Reflected BSDEs with Interconnected Obstacles - Tiziano De Angelis, Giorgio Ferrari, Said Hamadène (2017). Preprint.
Power Series Representations for European Option Prices under Stochastic Volatility Models - Lucia Caramellino, Giorgio Ferrari, Roberta Piersimoni (2011). Permanent Preprint.