Retour aux activités
Séminaire informel de théorie des systèmes (ISS)

Webinaire : A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-State Economy

iCalendar

14 oct. 2022   10h30 — 11h30

Giorgio Ferrari Center for Mathematical Economics, Bielefeld University, Allemagne

Giorgio Ferrari

Lien pour le webinaire

In this talk, I present results on stationary mean-field games with singular controls for a Markov-modulated Ito-diffusion, in which the representative player interacts with a long-time conditional weighted average of the population through a discounted performance criterion. This class of games finds natural applications in the context of irreversible production expansion in dynamic oligopolies, where the dynamics of the production capacity depends on the economy's business cycles modeled through a continuous-time Markov chain. We prove existence and uniqueness of the mean-field stationary equilibrium and characterize it through a system of nonlinear equations. Along the way, explicit results for the joint stationary distribution of the controlled production capacity and the Markov chain at equilibrium are also derived. A detailed numerical analysis allows to understand the dependency of the mean-field equilibrium with respect to the model's parameters. This is based on a joint ongoing work with René Aid and Matteo Basei.


Biography: Giorgio Ferrari is professor for Mathematical Finance at the Center for Mathematical Economics (IMW) at Bielefeld University since 2017. He obtained his Ph.D. in Mathematics for Economic-Financial Applications at the University of Rome "La Sapienza" in 2012. He then moved to IMW where he was first post-doctoral researcher (2012-2016), and then Junior-Professor (2016-2017). His research interests lie in the field of stochastic control theory, stochastic games, and their applications to Economics and Finance. Particular attention is devoted to dynamic stochastic optimization problems and games involving singular controls and stopping rules, and to the analysis of the corresponding free-boundary problems.

Peter E. Caines responsable
Aditya Mahajan responsable
Shuang Gao responsable

Lieu

Webinaire
Zoom
Montréal Québec
Canada

Organisme associé

Centre for intelligent machines (CIM)

Axes de recherche

Application de recherche