My research interests focus on probability theory in stochastic control, stochastic differential games and machine learning problems, with applications to economics and finance.
My research interests focus on probability theory in stochastic control, stochastic differential games and machine learning problems, with applications to economics and finance.
Latent Fragility and Clustered Withdrawals in Dynamic Banks Runs (2026), preprint (with G. Ferrari, Y. Hu, H. Xing).
Reinforcement learning in real option models (2026). preprint (with G. Ferrari and R. Xu).
Convergence for linear quadratic potential mean field games (2026). preprint (with A. Cecchin).
Reinforcement learning for exploratory optimal stopping: A singular control formulation (2024). preprint (with G. Ferrari & R. Xu).
Pasting of equilibria and Donsker-type results for mean field games (2026+).
Annals of Applied Probability (to appear), preprint (with M. Nendel, L. Tangpi, S. Wang).
Entropy regularization in mean-field games of optimal stopping (2026+).
SIAM Journal on Control and Optimization (to appear), preprint (with G. Ferrari, R. Dumitrescu & R. Xu).
Optimal consumption and investment under relative performance criteria with Epstein-Zin utility (2026+).
Finance and Stochastics (to appear), preprint (with F. Riedel & L. Stanca).
Ergodic mean-field games of singular control with regime-switching (2026).
SIAM Journal on Control and Optimization, doi (with G. Ferrari & I. Tzouanas).
Strong solutions to submodular mean field games with common noise and related McKean-Vlasov FBSDEs (2025).
Annals of Applied Probability, doi.
Multiple equilibria in mean-field game models of firm competition with strategic complementarities (2025).
Quantitative Finance, doi (with S. Federico, G. Ferrari & G. Floccari).
Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls (2023).
Stochastic Processes and their Applications, doi (with G. Ferrari).
Linear-quadratic-singular stochastic differential games and applications (2023).
Decisions in Economics and Finance, doi.
A unifying framework for submodular mean field games (2022).
Mathematics of Operations Research, doi (with G. Ferrari, M. Fischer, & M. Nendel).
Stationary discounted and ergodic mean field games of singular control (2021).
Mathematics of Operations Research, doi (with H. Cao & G. Ferrari).
Submodular mean field games: Existence and approximation of solutions (2021).
Annals of Applied Probability, doi (with G. Ferrari, M. Fischer, & M. Nendel).
Nonzero-sum submodular monotone-follower games: existence and approximation of Nash equilibria (2020).
SIAM Journal on Control and Optimization, doi (with G. Ferrari).