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DTSTAMP:20260615T182510Z
DESCRIPTION:\n	\n		\n			ISS Informal Systems Seminar\n\n			Speaker: Giorgio Ferrari 
 – Center for Mathematical Economics\, Bielefeld University\, Germany \n\n			 
 \n\n			\n				\n\n				Abstract: In this talk\, I present results on stationary mean-fi
 eld games with singular controls for a Markov-modulated Ito-diffusion\, in
  which the representative player interacts with a long-time conditional we
 ighted average of the population through a discounted performance criterio
 n. This class of games finds natural applications in the context of irreve
 rsible 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 sys
 tem of nonlinear equations. Along the way\, explicit results for the joint
  stationary distribution of the controlled production capacity and the Mar
 kov chain at equilibrium are also derived. A detailed numerical analysis a
 llows to understand the dependency of the mean-field equilibrium with resp
 ect to the model's parameters. This is based on a joint ongoing work with 
 René Aid and Matteo Basei.\n\n				\n				Biography: Giorgio Ferrari is professor fo
 r Mathematical Finance at the Center for Mathematical Economics (IMW) at B
 ielefeld University since 2017. He obtained his Ph.D. in Mathematics for E
 conomic-Financial Applications at the University of Rome 'La Sapienza' in 
 2012. He then moved to IMW where he was first post-doctoral researcher (20
 12-2016)\, and then Junior-Professor (2016-2017). His research interests l
 ie in the field of stochastic control theory\, stochastic games\, and thei
 r applications to Economics and Finance. Particular attention is devoted t
 o dynamic stochastic optimization problems and games involving singular co
 ntrols and stopping rules\, and to the analysis of the corresponding free-
 boundary problems.\n			\n		\n	\n\n
DTSTART:20221014T143000Z
DTEND:20221014T153000Z
LOCATION:CA\, ZOOM
SUMMARY:A Stationary Mean-Field Equilibrium Model of Irreversible Investmen
 t in a Two-State Economy
URL:/cim/channels/event/stationary-mean-field-equilibr
 ium-model-irreversible-investment-two-state-economy-351659
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