Solving the relativistic inverse stellar problem through gravitational waves observation of binary neutron stars

The LIGO/Virgo collaboration has recently announced the direct detection of gravitational waves emitted in the coalescence of a neutron star binary. This discovery allows, for the first time, to set new constraints on the behavior of matter at supranuclear density, complementary with those coming from astrophysical observations in the electromagnetic band. In this paper we demonstrate the feasibility of using gravitational signals to solve the relativistic inverse stellar problem, i.e. to reconstruct the parameters of the equation of state (EoS) from measurements of the stellar mass and tidal Love number. We perform Bayesian inference of mock data, based on different models of the star internal composition, modeled through piecewise polytropes. Our analysis shows that the detection of a small number of sources by a network of advanced interferometers would allow to put accurate bounds on the EoS parameters, and to perform a model selection among the realistic equations of state proposed in the literature.Comment: minor changes to match the version published on PR

From micro to macro and back: probing near-horizon quantum structures with gravitational waves

Supermassive binaries detectable by the future space gravitational-wave interferometer LISA might allow to distinguish black holes from ultracompact horizonless objects, even when the latter are motivated by quantum-gravity considerations. We show that a measurement of very small tidal Love numbers at the level of $10\%$ accuracy (as achievable with "golden binaries") may also allow to distinguish between different models of these exotic compact objects, even when taking into account an intrinsic uncertainty in the object radius putatively due to quantum mechanics. We argue that there is no conceptual obstacle in performing these measurements, the main challenge remains the detectability of small tidal effects and an accurate waveform modelling. Our analysis uses only coordinate-independent quantities related to the proper radial distance and the total mass of the object.Comment: Minor changes to match the version published on CQ

Probing Planckian corrections at the horizon scale with LISA binaries

Several quantum-gravity models of compact objects predict microscopic or even Planckian corrections at the horizon scale. We explore the possibility of measuring two model-independent, smoking-gun effects of these corrections in the gravitational waveform of a compact binary, namely the absence of tidal heating and the presence of tidal deformability. For events detectable by the future space-based interferometer LISA, we show that the effect of tidal heating dominates and allows one to constrain putative corrections down to the Planck scale. The measurement of the tidal Love numbers with LISA is more challenging but, in optimistic scenarios, it allows to constrain the compactness of a supermassive exotic compact object down to the Planck scale. Our analysis suggests that highly-spinning, supermassive binaries at 1-20 Gpc provide unparalleled tests of quantum-gravity effects at the horizon scale.Comment: v4: matches version in Phys. Rev. Lett; Editors' Suggestio

Optimal Dividend Payout under Stochastic Discounting

Bandini E, de Angelis T, Ferrari G, Gozzi F. Optimal Dividend Payout under Stochastic Discounting. Center for Mathematical Economics Working Papers. Vol 636. Bielefeld: Center for Mathematical Economics; 2020.Adopting a probabilistic approach we determine the optimal dividend payout policy of a firm whose surplus process follows a controlled arithmetic Brownian motion and whose cash-flows are discounted at a stochastic dynamic rate. Dividends can be paid to shareholders at unrestricted rates so that the problem is cast as one of singular stochastic control. The stochastic interest rate is modelled by a Cox-Ingersoll- Ross (CIR) process and the firm's objective is to maximize the total expected flow of discounted dividends until a possible insolvency time. We find an optimal dividend payout policy which is such that the surplus process is kept below an endogenously determined stochastic threshold expressed as a decreasing function $r \mapsto b(r)$ of the current interest rate value. We also prove that the value function of the singular control problem solves a variational inequality associated to a second-order, non-degenerate elliptic operator, with a gradient constraint.2010 Mathematics Subject Classification. 91G50, 93E20, 60G40, 35R3

A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries

Abstract. Equivalences are known between problems of singular stochastic control (SSC) with convex performance criteria and related questions of optimal stopping; see, for example, Karatzas and Shreve [SIAM J. Control Optim., 22 (1984), pp. 856–877]. The aim of this paper is to inves-tigate how far connections of this type generalize to a nonconvex problem of purchasing electricity. Where the classical equivalence breaks down we provide alternative connections to optimal stopping problems. We consider a nonconvex infinite time horizon SSC problem whose state consists of an un-controlled diffusion representing a real-valued commodity price, and a controlled increasing bounded process representing an inventory. We analyze the geometry of the action and inaction regions by characterizing their (optimal) boundaries. Unlike the case of convex SSC problems we find that the optimal boundaries may be both reflecting and repelling and it is natural to interpret the problem as one of SSC with discretionary stopping

On the Singular Control of Exchange Rates

Ferrari G, Vargiolu T. On the Singular Control of Exchange Rates . Center for Mathematical Economics Working Papers. Vol 594. Bielefeld: Center for Mathematical Economics; 2017.Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads to a proportional cost whose instantaneous marginal value depends on the current level of the exchange rate. The central bank aims at minimizing the total expected costs of interventions on the exchange market, plus a total expected holding cost. We formulate this problem as an infinite time-horizon stochastic control problem with controls that have paths which are locally of bounded variation. The exchange rate evolves as a general linearly controlled one-dimensional diffusion, and the two nondecreasing processes giving the minimal decomposition of a bounded-variation control model the cumulative amount of foreign currency that has been purchased and sold by the central bank. We provide a complete solution to this problem by finding the explicit expression of the value function and a complete characterization of the optimal control. At each instant of time, the optimally controlled exchange rate is kept within a band whose size is endogenously determined as part of the solution to the problem. We also study the expected exit time from the band, and the sensitivity of the width of the band with respect to the model's parameters in the case when the exchange rate evolves (in absence of any intervention) as an Ornstein-Uhlenbeck process, and the marginal costs of controls are constant. The techniques employed in the paper are those of the theory of singular stochastic control and of one-dimensional diffusion

Stochastic nonzero-sum games: a new connection between singular control and optimal stopping

de Angelis T, Ferrari G. Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Center for Mathematical Economics Working Papers. Vol 565. Bielefeld: Center for Mathematical Economics; 2016.In this paper we establish a new connection between a class of 2-player nonzerosum games of optimal stopping and certain 2-player nonzero-sum games of singular control. We show that whenever a Nash equilibrium in the game of stopping is attained by hitting times at two separate boundaries, then such boundaries also trigger a Nash equilibrium in the game of singular control. Moreover a differential link between the players' value functions holds across the two games

Stochastic nonzero-sum games: a new connection between singular control and optimal stopping

de Angelis T, Ferrari G. Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Center for Mathematical Economics Working Papers. Vol 565. Bielefeld: Center for Mathematical Economics; 2016.In this paper we establish a new connection between a class of 2-player nonzerosum games of optimal stopping and certain 2-player nonzero-sum games of singular control. We show that whenever a Nash equilibrium in the game of stopping is attained by hitting times at two separate boundaries, then such boundaries also trigger a Nash equilibrium in the game of singular control. Moreover a differential link between the players' value functions holds across the two games

A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis

de Angelis T, Ferrari G. A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis. Center for Mathematical Economics Working Papers. Vol 477. Bielefeld: Center for Mathematical Economics; 2013.We study a continuous-time, finite horizon optimal stochastic reversible investment problem for a firm producing a single good. The production capacity is modeled as a onedimensional,time-homogeneous, linear diffusion controlled by a bounded variation process which represents the cumulative investment-disinvestment strategy. We associate to the investment-disinvestment problem a zero-sum optimal stopping game and characterize its value function through a free boundary problem with two moving boundaries. These are continuous, bounded and monotone curves that solve a system of non-linear integral equations of Volterra type. The optimal investment-disinvestment strategy is then shown to be a diffusion reflected at the two boundaries