Maria B. Chiarolla
Sapienza University of Rome
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Featured researches published by Maria B. Chiarolla.
Siam Journal on Control and Optimization | 2009
Maria B. Chiarolla; Ulrich G. Haussmann
The productive sector of the economy, represented by a single firm employing labor to produce the consumption good, is studied in a stochastic continuous time model on a finite time interval. The firm must choose the optimal level of employment and capital investment in order to maximize its expected total profits. In this stochastic control problem the firms capacity is modeled as an Ito process controlled by a monotone process, possibly singular, that represents the cumulative real investment. It is optimal to invest when the shadow value of installed capital exceeds the capitals replacement cost; this threshold is the free boundary of a related optimal stopping problem which we recast as a stopping problem without integral cost, similar to the American option problem. Then, under a regularity condition, we characterize the free boundary as the unique solution of a nonlinear integral equation.
Siam Journal on Control and Optimization | 1998
Maria B. Chiarolla; Ulrich G. Haussmann
This paper models the action of the central bank on the dynamics of the nominal interest rate with the aim of controlling inflation. The problem is set up as a two-dimensional bounded variation control problem; it is shown that its variational formulation leads to a stochastic differential game with stopping times between the conservative and the expansionist tendencies of the bank.
Siam Journal on Control and Optimization | 1994
Maria B. Chiarolla; Ulrich G. Haussmann
This paper identifies the free boundary arising in the two- dimensional monotone follower, cheap control problem. It proves that if a region of inaction
Siam Journal on Control and Optimization | 2013
Maria B. Chiarolla; Giorgio Ferrari; Frank Riedel
\cal A
Journal of Mathematical Economics | 2001
Maria B. Chiarolla; Ulrich G. Haussmann
is of locally finite perimeter (LFP), then
Siam Journal on Optimization | 2008
Maria B. Chiarolla; Ulrich G. Haussmann
\cal A
conference on decision and control | 1995
Maria B. Chiarolla; Ulrich G. Haussmann
can be replaced by a new region of inaction
Mathematics of Operations Research | 2005
Maria B. Chiarolla; Ulrich G. Haussmann
\tilde{\cal A}
Applied Mathematics and Optimization | 2000
Maria B. Chiarolla; Ulrich G. Haussmann
whose boundary is locally
European Journal of Operational Research | 2015
Maria B. Chiarolla; Giorgio Ferrari; Gabriele Stabile
C^1