53 Publikationen

Alle markieren

[53]
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943686 OA
Singular Control of the Drift of a Brownian System
Federico S, Ferrari G, Schuhmann P (2020) Center for Mathematical Economics Working Papers; 637.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[52]
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943684 OA
Optimal Dividend Payout under Stochastic Discounting
Bandini E, de Angelis T, Ferrari G, Gozzi F (2020) Center for Mathematical Economics Working Papers; 636.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[51]
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2942252 OA
A Knightian Irreversible Investment Problem
Ferrari G, Li H, Riedel F (2020) Center for Mathematical Economics Working Papers; 634.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[50]
2019 | Preprint | Eingereicht | PUB-ID: 2939728
Numerical approximation of the value of a stochastic differential game with asymmetric information
Banas L, Ferrari G, Randrianasolo TA (Submitted)
arXiv:1912.13248.
PUB | arXiv
 
[49]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2939974 OA
Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information
Banas L, Ferrari G, Randrianasolo TA (2019) Center for Mathematical Economics Working Papers; 630.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[48]
2019 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2939181
On the singular control of exchange rates
Ferrari G, Vargiolu T (2019)
Annals of Operations Research.
PUB | DOI | WoS
 
[47]
2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2938385
An Optimal Extraction Problem with Price Impact
Ferrari G, Koch T (2019)
APPLIED MATHEMATICS AND OPTIMIZATION.
PUB | DOI | WoS
 
[46]
2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2937742
An Optimal Dividend Problem with Capital Injections over a Finite Horizon
Ferrari G, Schuhmann P (2019)
SIAM Journal on Control and Optimization 57(4): 2686-2719.
PUB | DOI | WoS
 
[45]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937637 OA
A Model for the Optimal Management of Inflation
Federico S, Ferrari G, Schuhmann P (2019) Center for Mathematical Economics Working Papers; 624.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[44]
2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936634
On a strategic model of pollution control
Ferrari G, Koch T (2019)
ANNALS OF OPERATIONS RESEARCH 275(2): 297-319.
PUB | DOI | WoS
 
[43]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2936699 OA
Submodular Mean Field Games. Existence and Approximation of Solutions
Dianetti J, Ferrari G, Fischer M, Nendel M (2019) Center for Mathematical Economics Working Papers; 621.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[42]
2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936024
A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs
De Angelis T, Ferrari G, Moriarty J (2019)
MATHEMATICS OF OPERATIONS RESEARCH 44(2): 512-531.
PUB | DOI | WoS
 
[41]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935374 OA
On a Class of Infinite-Dimensional Singular Stochastic Control Problems
Federico S, Ferrari G, Riedel F, Röckner M (2019) Center for Mathematical Economics Working Papers; 614.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[40]
2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2934107
On a class of singular stochastic control problems for reflected diffusions
Ferrari G (2019)
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS 473(2): 952-979.
PUB | DOI | WoS
 
[39]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933813 OA
Optimal Control of Debt-To-GDP Ratio in an N-State Regime Switching Economy
Ferrari G, Rodosthenous N (2019) Center for Mathematical Economics Working Papers; 589, Aktual. Version Februar 2019.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[38]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933360 OA
Optimal Reduction of Public Debt under Partial Observation of the Economic Growth
Callegaro G, Ceci C, Ferrari G (2019) Center for Mathematical Economics Working Papers; 608.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[37]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932994 OA
Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria
Dianetti J, Ferrari G (2019) Center for Mathematical Economics Working Papers; 605.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[36]
2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2932800
ON AN OPTIMAL EXTRACTION PROBLEM WITH REGIME SWITCHING
Ferrari G, Yang S (2018)
ADVANCES IN APPLIED PROBABILITY 50(3): 671-705.
PUB | DOI | WoS | arXiv
 
[35]
2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932622 OA
An optimal extraction problem with price impact
Ferrari G, Koch T (2018) Center for Mathematical Economics Working Papers; 603.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[34]
2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930440 OA
An Optimal Dividend Problem with Capital Injections over a Finite Horizon
Ferrari G, Schuhmann P (2018) Center for Mathematical Economics Working Papers; 595.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[33]
2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2930530
Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
De Angelis T, Ferrari G (2018)
ADVANCES IN APPLIED PROBABILITY 50(2): 347-372.
PUB | DOI | WoS | arXiv
 
[32]
2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2920351
NASH EQUILIBRIA OF THRESHOLD TYPE FOR TWO-PLAYER NONZERO-SUM GAMES OF STOPPING
De Angelis T, Ferrari G, Moriarty J (2018)
ANNALS OF APPLIED PROBABILITY 28(1): 112-147.
PUB | DOI | WoS
 
[31]
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901752
Optimal Entry to an Irreversible Investment Plan with Non Convex Costs
Angelis TD, Ferrari G, Martyr R, Moriarty J (2017)
MATHEMATICS AND FINANCIAL ECONOMICS 11(4): 423-454.
PUB | DOI | WoS | arXiv
 
[30]
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930413 OA
On a Strategic Model of Pollution Control
Ferrari G, Koch T (2017) Center for Mathematical Economics Working Papers; 586.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[29]
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930433 OA
On a Class of Singular Stochastic Control Problems for Reflected Diffusions
Ferrari G (2017) Center for Mathematical Economics Working Papers; 592.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[28]
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930438 OA
On the Singular Control of Exchange Rates
Ferrari G, Vargiolu T (2017) Center for Mathematical Economics Working Papers; 594.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[27]
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930430 OA
A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles
de Angelis T, Ferrari G, Hamadène S (2017) Center for Mathematical Economics Working Papers; 591.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[26]
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901747
Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control Approach
Ferrari G, Riedel F, Steg J-H (2017)
Applied Mathematics & Optimization 75(3): 429-470.
PUB | DOI | WoS
 
[25]
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2916438
Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
De Angelis T, Federico S, Ferrari G (2017)
Mathematics of Operations Research 42(4): 1135-1161.
PUB | DOI | WoS
 
[24]
2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2906562
IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY
Ferrari G, Salminen P (2016)
ADVANCES IN APPLIED PROBABILITY 48(1): 298-314.
PUB | DOI | WoS
 
[23]
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756 OA
Optimal entry to an irreversible investment plan with non convex costs
de Angelis T, Ferrari G, Martyr R, Moriarty J (2016) Center for Mathematical Economics Working Papers; 566.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[22]
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729 OA
A solvable two-dimensional singular stochastic control problem with non convex costs
de Angelis T, Ferrari G, Moriarty J (2016) Center for Mathematical Economics Working Papers; 561.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[21]
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904731 OA
On an optimal extraction problem with regime switching
Ferrari G, Yang S (2016) Center for Mathematical Economics Working Papers; 562.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[20]
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904748 OA
Nash equilibria of threshold type for two-player nonzero-sum games of stopping
de Angelis T, Ferrari G, Moriarty J (2016) Center for Mathematical Economics Working Papers; 563.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[19]
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904750 OA
Controlling public debt without forgetting Inflation
Ferrari G (2016) Center for Mathematical Economics Working Papers; 564.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[18]
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904753 OA
Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
de Angelis T, Ferrari G (2016) Center for Mathematical Economics Working Papers; 565.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[17]
2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940
A NONCONVEX SINGULAR STOCHASTIC CONTROL PROBLEM AND ITS RELATED OPTIMAL STOPPING BOUNDARIES
De Angelis T, Ferrari G, Moriarty J (2015)
SIAM Journal on Control and Optimization 53(3): 1199-1223.
PUB | DOI | WoS
 
[16]
2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2718995
On an integral equation for the free-boundary of stochastic, irreversible investment problems
Ferrari G (2015)
The Annals of Applied Probability 25(1): 150-176.
PUB | DOI | WoS
 
[15]
2015 | Preprint | PUB-ID: 2901753
Nash equilibria of threshold type for two-player nonzero-sum games of stopping
Angelis TD, Ferrari G, Moriarty J (2015)
arXiv:1508.03989.
PUB | arXiv
 
[14]
2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901450 OA
Continuous-Time Public Good Contribution under Uncertainty
Ferrari G, Riedel F, Steg J-H (2015) Center for Mathematical Economics Working Papers; 485, Version February 2015.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[13]
2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2782593
Optimal dynamic procurement policies for a storable commodity with Levy prices and convex holding costs
Chiarolla MB, Ferrari G, Stabile G (2015)
European Journal of Operational Research 247(3): 847-858.
PUB | DOI | WoS
 
[12]
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528 OA
A non convex singular stochastic control problem and its related optimal stopping boundaries
de Angelis T, Ferrari G, Moriarty J (2014) Center for Mathematical Economics Working Papers; 508.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[11]
2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2705522
A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis
De Angelis T, Ferrari G (2014)
Stochastic Processes and their Applications 124(12): 4080-4119.
PUB | DOI | WoS
 
[10]
2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888
Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank--El Karoui Representation Theorem
Chiarolla MB, Ferrari G (2014)
SIAM Journal on Control and Optimization 52(2): 1048-1070.
PUB | DOI | WoS
 
[9]
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901685 OA
Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary
Ferrari G, Salminen P (2014) Center for Mathematical Economics Working Papers; 530.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[8]
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544 OA
On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment
de Angelis T, Federico S, Ferrari G (2014) Center for Mathematical Economics Working Papers; 509.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[7]
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901687 OA
A solvable two-dimensional degenerate singular stochastic control problem with non convex costs
de Angelis T, Ferrari G, Moriarty J (2014) Center for Mathematical Economics Working Papers; 531.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[6]
2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2638626
Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources
Chiarolla MB, Ferrari G, Riedel F (2013)
Siam Journal On Control And Optimization 51(5): 3863-3885.
PUB | DOI | WoS
 
[5]
2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2693721
Generalized Kuhn--Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources
Chiarolla MB, Ferrari G, Riedel F (2013)
SIAM Journal on Control and Optimization 51(5): 3863-3885.
PUB | DOI | WoS
 
[4]
2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674083 OA
A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis
de Angelis T, Ferrari G (2013) Center for Mathematical Economics Working Papers; 477.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[3]
2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674160 OA
Continuous-Time Public Good Contribution under Uncertainty
Ferrari G, Riedel F, Steg J-H (2013) Center for Mathematical Economics Working Papers; 485.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[2]
2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674034 OA
On an integral equation for the free boundary of stochastic, irreversible investment problems
Ferrari G (2012) Working Papers. Institute of Mathematical Economics; 471.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[1]
2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727 OA
Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources
Chiarolla MB, Ferrari G, Riedel F (2012) Working Papers. Institute of Mathematical Economics; 463.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 

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53 Publikationen

Alle markieren

[53]
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943686 OA
Singular Control of the Drift of a Brownian System
Federico S, Ferrari G, Schuhmann P (2020) Center for Mathematical Economics Working Papers; 637.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[52]
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943684 OA
Optimal Dividend Payout under Stochastic Discounting
Bandini E, de Angelis T, Ferrari G, Gozzi F (2020) Center for Mathematical Economics Working Papers; 636.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[51]
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2942252 OA
A Knightian Irreversible Investment Problem
Ferrari G, Li H, Riedel F (2020) Center for Mathematical Economics Working Papers; 634.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[50]
2019 | Preprint | Eingereicht | PUB-ID: 2939728
Numerical approximation of the value of a stochastic differential game with asymmetric information
Banas L, Ferrari G, Randrianasolo TA (Submitted)
arXiv:1912.13248.
PUB | arXiv
 
[49]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2939974 OA
Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information
Banas L, Ferrari G, Randrianasolo TA (2019) Center for Mathematical Economics Working Papers; 630.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[48]
2019 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2939181
On the singular control of exchange rates
Ferrari G, Vargiolu T (2019)
Annals of Operations Research.
PUB | DOI | WoS
 
[47]
2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2938385
An Optimal Extraction Problem with Price Impact
Ferrari G, Koch T (2019)
APPLIED MATHEMATICS AND OPTIMIZATION.
PUB | DOI | WoS
 
[46]
2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2937742
An Optimal Dividend Problem with Capital Injections over a Finite Horizon
Ferrari G, Schuhmann P (2019)
SIAM Journal on Control and Optimization 57(4): 2686-2719.
PUB | DOI | WoS
 
[45]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937637 OA
A Model for the Optimal Management of Inflation
Federico S, Ferrari G, Schuhmann P (2019) Center for Mathematical Economics Working Papers; 624.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[44]
2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936634
On a strategic model of pollution control
Ferrari G, Koch T (2019)
ANNALS OF OPERATIONS RESEARCH 275(2): 297-319.
PUB | DOI | WoS
 
[43]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2936699 OA
Submodular Mean Field Games. Existence and Approximation of Solutions
Dianetti J, Ferrari G, Fischer M, Nendel M (2019) Center for Mathematical Economics Working Papers; 621.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[42]
2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936024
A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs
De Angelis T, Ferrari G, Moriarty J (2019)
MATHEMATICS OF OPERATIONS RESEARCH 44(2): 512-531.
PUB | DOI | WoS
 
[41]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935374 OA
On a Class of Infinite-Dimensional Singular Stochastic Control Problems
Federico S, Ferrari G, Riedel F, Röckner M (2019) Center for Mathematical Economics Working Papers; 614.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[40]
2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2934107
On a class of singular stochastic control problems for reflected diffusions
Ferrari G (2019)
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS 473(2): 952-979.
PUB | DOI | WoS
 
[39]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933813 OA
Optimal Control of Debt-To-GDP Ratio in an N-State Regime Switching Economy
Ferrari G, Rodosthenous N (2019) Center for Mathematical Economics Working Papers; 589, Aktual. Version Februar 2019.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[38]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933360 OA
Optimal Reduction of Public Debt under Partial Observation of the Economic Growth
Callegaro G, Ceci C, Ferrari G (2019) Center for Mathematical Economics Working Papers; 608.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[37]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932994 OA
Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria
Dianetti J, Ferrari G (2019) Center for Mathematical Economics Working Papers; 605.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[36]
2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2932800
ON AN OPTIMAL EXTRACTION PROBLEM WITH REGIME SWITCHING
Ferrari G, Yang S (2018)
ADVANCES IN APPLIED PROBABILITY 50(3): 671-705.
PUB | DOI | WoS | arXiv
 
[35]
2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932622 OA
An optimal extraction problem with price impact
Ferrari G, Koch T (2018) Center for Mathematical Economics Working Papers; 603.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[34]
2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930440 OA
An Optimal Dividend Problem with Capital Injections over a Finite Horizon
Ferrari G, Schuhmann P (2018) Center for Mathematical Economics Working Papers; 595.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[33]
2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2930530
Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
De Angelis T, Ferrari G (2018)
ADVANCES IN APPLIED PROBABILITY 50(2): 347-372.
PUB | DOI | WoS | arXiv
 
[32]
2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2920351
NASH EQUILIBRIA OF THRESHOLD TYPE FOR TWO-PLAYER NONZERO-SUM GAMES OF STOPPING
De Angelis T, Ferrari G, Moriarty J (2018)
ANNALS OF APPLIED PROBABILITY 28(1): 112-147.
PUB | DOI | WoS
 
[31]
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901752
Optimal Entry to an Irreversible Investment Plan with Non Convex Costs
Angelis TD, Ferrari G, Martyr R, Moriarty J (2017)
MATHEMATICS AND FINANCIAL ECONOMICS 11(4): 423-454.
PUB | DOI | WoS | arXiv
 
[30]
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930413 OA
On a Strategic Model of Pollution Control
Ferrari G, Koch T (2017) Center for Mathematical Economics Working Papers; 586.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[29]
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930433 OA
On a Class of Singular Stochastic Control Problems for Reflected Diffusions
Ferrari G (2017) Center for Mathematical Economics Working Papers; 592.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[28]
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930438 OA
On the Singular Control of Exchange Rates
Ferrari G, Vargiolu T (2017) Center for Mathematical Economics Working Papers; 594.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[27]
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930430 OA
A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles
de Angelis T, Ferrari G, Hamadène S (2017) Center for Mathematical Economics Working Papers; 591.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[26]
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901747
Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control Approach
Ferrari G, Riedel F, Steg J-H (2017)
Applied Mathematics & Optimization 75(3): 429-470.
PUB | DOI | WoS
 
[25]
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2916438
Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
De Angelis T, Federico S, Ferrari G (2017)
Mathematics of Operations Research 42(4): 1135-1161.
PUB | DOI | WoS
 
[24]
2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2906562
IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY
Ferrari G, Salminen P (2016)
ADVANCES IN APPLIED PROBABILITY 48(1): 298-314.
PUB | DOI | WoS
 
[23]
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756 OA
Optimal entry to an irreversible investment plan with non convex costs
de Angelis T, Ferrari G, Martyr R, Moriarty J (2016) Center for Mathematical Economics Working Papers; 566.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[22]
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729 OA
A solvable two-dimensional singular stochastic control problem with non convex costs
de Angelis T, Ferrari G, Moriarty J (2016) Center for Mathematical Economics Working Papers; 561.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[21]
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904731 OA
On an optimal extraction problem with regime switching
Ferrari G, Yang S (2016) Center for Mathematical Economics Working Papers; 562.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[20]
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904748 OA
Nash equilibria of threshold type for two-player nonzero-sum games of stopping
de Angelis T, Ferrari G, Moriarty J (2016) Center for Mathematical Economics Working Papers; 563.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[19]
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904750 OA
Controlling public debt without forgetting Inflation
Ferrari G (2016) Center for Mathematical Economics Working Papers; 564.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[18]
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904753 OA
Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
de Angelis T, Ferrari G (2016) Center for Mathematical Economics Working Papers; 565.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[17]
2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940
A NONCONVEX SINGULAR STOCHASTIC CONTROL PROBLEM AND ITS RELATED OPTIMAL STOPPING BOUNDARIES
De Angelis T, Ferrari G, Moriarty J (2015)
SIAM Journal on Control and Optimization 53(3): 1199-1223.
PUB | DOI | WoS
 
[16]
2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2718995
On an integral equation for the free-boundary of stochastic, irreversible investment problems
Ferrari G (2015)
The Annals of Applied Probability 25(1): 150-176.
PUB | DOI | WoS
 
[15]
2015 | Preprint | PUB-ID: 2901753
Nash equilibria of threshold type for two-player nonzero-sum games of stopping
Angelis TD, Ferrari G, Moriarty J (2015)
arXiv:1508.03989.
PUB | arXiv
 
[14]
2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901450 OA
Continuous-Time Public Good Contribution under Uncertainty
Ferrari G, Riedel F, Steg J-H (2015) Center for Mathematical Economics Working Papers; 485, Version February 2015.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[13]
2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2782593
Optimal dynamic procurement policies for a storable commodity with Levy prices and convex holding costs
Chiarolla MB, Ferrari G, Stabile G (2015)
European Journal of Operational Research 247(3): 847-858.
PUB | DOI | WoS
 
[12]
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528 OA
A non convex singular stochastic control problem and its related optimal stopping boundaries
de Angelis T, Ferrari G, Moriarty J (2014) Center for Mathematical Economics Working Papers; 508.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[11]
2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2705522
A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis
De Angelis T, Ferrari G (2014)
Stochastic Processes and their Applications 124(12): 4080-4119.
PUB | DOI | WoS
 
[10]
2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888
Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank--El Karoui Representation Theorem
Chiarolla MB, Ferrari G (2014)
SIAM Journal on Control and Optimization 52(2): 1048-1070.
PUB | DOI | WoS
 
[9]
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901685 OA
Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary
Ferrari G, Salminen P (2014) Center for Mathematical Economics Working Papers; 530.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[8]
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544 OA
On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment
de Angelis T, Federico S, Ferrari G (2014) Center for Mathematical Economics Working Papers; 509.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[7]
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901687 OA
A solvable two-dimensional degenerate singular stochastic control problem with non convex costs
de Angelis T, Ferrari G, Moriarty J (2014) Center for Mathematical Economics Working Papers; 531.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[6]
2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2638626
Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources
Chiarolla MB, Ferrari G, Riedel F (2013)
Siam Journal On Control And Optimization 51(5): 3863-3885.
PUB | DOI | WoS
 
[5]
2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2693721
Generalized Kuhn--Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources
Chiarolla MB, Ferrari G, Riedel F (2013)
SIAM Journal on Control and Optimization 51(5): 3863-3885.
PUB | DOI | WoS
 
[4]
2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674083 OA
A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis
de Angelis T, Ferrari G (2013) Center for Mathematical Economics Working Papers; 477.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[3]
2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674160 OA
Continuous-Time Public Good Contribution under Uncertainty
Ferrari G, Riedel F, Steg J-H (2013) Center for Mathematical Economics Working Papers; 485.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[2]
2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674034 OA
On an integral equation for the free boundary of stochastic, irreversible investment problems
Ferrari G (2012) Working Papers. Institute of Mathematical Economics; 471.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
[1]
2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727 OA
Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources
Chiarolla MB, Ferrari G, Riedel F (2012) Working Papers. Institute of Mathematical Economics; 463.
Bielefeld: Center for Mathematical Economics.
PUB | PDF
 

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