Giorgio Ferrari

giorgio.ferrari@uni-bielefeld.de
PEVZ-ID
32701753

95 Publikationen

Alle markieren

  • [95]
    2024 | Diskussionspapier | Veröffentlicht | PUB-ID: 2988384 OA
    A. Calvia, S. Federico, G. Ferrari, and F. Gozzi, A Mean-Field Model of Optimal Investment, Center For Mathematical Economics, Bielefeld, 2024.
    PUB | PDF
     
  • [94]
    2024 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2987947
    A. Cadenillas, G. Ferrari, and P. Schuhmann, “Optimal production management when there is regime switching and production constraints”, Annals of Operations Research, 2024.
    PUB | DOI | WoS
     
  • [93]
    2024 | Diskussionspapier | Veröffentlicht | PUB-ID: 2987416 OA
    F. Dammann, and G. Ferrari, A Stationary Equilibrium Model of Green Technology Adoption with Endogenous Carbon Price, Center For Mathematical Economics, Bielefeld, 2024.
    PUB | PDF
     
  • [92]
    2023 | Preprint | Veröffentlicht | PUB-ID: 2987708
    L. Banas, G. Ferrari, and T. A. Randrianasolo, “Numerical approximation of Dynkin games with asymmetric information”, 2023.
    PUB | DOI
     
  • [91]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2985970 OA
    G. Ferrari, and S. Zhu, On a Merton Problem with Irreversible Healthcare Investment, Center For Mathematical Economics, Bielefeld, 2023.
    PUB | PDF
     
  • [90]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2985076 OA
    A. Chen, G. Ferrari, and S. Zhu, Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning, Center For Mathematical Economics, Bielefeld, 2023.
    PUB | PDF
     
  • [89]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2984621 OA
    G. Ferrari, and S. Zhu, Optimal Retirement Choice under Age-dependent Force of Mortality, Center For Mathematical Economics, Bielefeld, 2023.
    PUB | PDF
     
  • [88]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2983417 OA
    S. Federico, G. Ferrari, and M. L. Torrente, Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost, Center For Mathematical Economics, Bielefeld, 2023.
    PUB | PDF
     
  • [87]
    2023 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2981371
    F. Dammann, and G. Ferrari, “Optimal execution with multiplicative price impact and incomplete information on the return”, Finance and Stochastics , 2023.
    PUB | DOI | WoS
     
  • [86]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2981284 OA
    J. Dianetti, G. Ferrari, and I. Tzouanas, Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version), Center For Mathematical Economics, Bielefeld, 2023.
    PUB | PDF
     
  • [85]
    2023 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2980533
    J. Dianetti, and G. Ferrari, “Multidimensional singular control and related Skorokhod problem: Sufficient conditions for the characterization of optimal controls”, Stochastic Processes and their Applications, 2023, 162, 547-592.
    PUB | DOI | WoS
     
  • [84]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978796 OA
    R. Aïd, M. Basei, and G. Ferrari, A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy, Center For Mathematical Economics, Bielefeld, 2023.
    PUB | PDF
     
  • [83]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978674 OA
    M. Basei, G. Ferrari, and N. Rodosthenous, Uncertainty over Uncertainty in Environmental Policy Adoption: Bayesian Learning of Unpredictable Socioeconomic Costs, Center For Mathematical Economics, Bielefeld, 2023.
    PUB | PDF
     
  • [82]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2967537 OA
    G. Ferrari, and S. Zhu, Consumption Descision, Portfolio Choice and Healthcare Irreversible Investment, Center For Mathematical Economics, Bielefeld, 2022.
    PUB | PDF
     
  • [81]
    2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2979039
    G. Ferrari, H. Li, and F. Riedel, “Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations”, Advances in Applied Probability , 2022, 54, 1222-1251.
    PUB | DOI | WoS
     
  • [80]
    2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2978299
    J. Dianetti, G. Ferrari, M. Fischer, and M. Nendel, “A Unifying Framework for Submodular Mean Field Games”, Mathematics of Operations Research , 2022.
    PUB | DOI | WoS
     
  • [79]
    2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2968012
    S. Federico, G. Ferrari, and M. - L. Torrente, “Optimal vaccination in a SIRS epidemic model”, Economic Theory , 2022.
    PUB | DOI | WoS | PubMed | Europe PMC
     
  • [78]
    2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2967384
    H. Cao, J. Dianetti, and G. Ferrari, “Stationary Discounted and Ergodic Mean Field Games with Singular Controls”, Mathematics of Operations Research, 2022.
    PUB | DOI | WoS
     
  • [77]
    2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2964637
    G. Ferrari, P. Schuhmann, and S. Zhu, “Optimal dividends under Markov-modulated bankruptcy level”, Insurance: Mathematics and Economics, 2022, 106, 146-172.
    PUB | DOI | WoS
     
  • [76]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2963714 OA
    S. Federico, G. Ferrari, and M. - L. Torrente, Optimal Vaccination in a SIRS Epidemic Model, Center For Mathematical Economics, Bielefeld, 2022.
    PUB | PDF
     
  • [75]
    2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2962706
    A. Calvia, and G. Ferrari, “Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control”, Applied Mathematics and Optimization , 2022, 85, : 12.
    PUB | DOI | WoS
     
  • [74]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2961488 OA
    F. Dammann, and G. Ferrari, Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return, Center For Mathematical Economics, Bielefeld, 2022.
    PUB | PDF
     
  • [73]
    2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2961096
    E. Bandini, T. De Angelis, G. Ferrari, and F. Gozzi, “Optimal dividend payout under stochastic discounting”, Mathematical Finance , 2022.
    PUB | DOI | WoS
     
  • [72]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2960759 OA
    J. Dianetti, G. Ferrari, M. Fischer, and M. Nendel, A Unifying Framework for Submodular Mean Field Games, Center For Mathematical Economics, Bielefeld, 2022.
    PUB | PDF
     
  • [71]
    2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2958433
    G. Ferrari, H. Li, and F. Riedel, “A Knightian irreversible investment problem”, Journal of Mathematical Analysis and Applications, 2022, 507, : 125744.
    PUB | DOI | WoS
     
  • [70]
    2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2960414
    J. Dianetti, G. Ferrari, M. Fischer, and M. Nendel, “Submodular mean field games: Existence and approximation of solutions”, Annals of Applied Probability, 2021, 31, 2538-2566.
    PUB | DOI | WoS
     
  • [69]
    2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2960182
    F. Dammann, and G. Ferrari, “On an irreversible investment problem with two-factor uncertainty”, Quantitative Finance, 2021.
    PUB | DOI | WoS
     
  • [68]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2955492 OA
    A. Calvia, and G. Ferrari, Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control, Center For Mathematical Economics, Bielefeld, 2021.
    PUB | PDF
     
  • [67]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2955165 OA
    H. Cao, J. Dianetti, and G. Ferrari, Stationary Discounted and Ergodic Mean Field Games of Singular Control, Center For Mathematical Economics, Bielefeld, 2021.
    PUB | PDF
     
  • [66]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952857 OA
    J. Dianetti, and G. Ferrari, Multidimensional Singular Control and Related Skorokhod Problem: Suficient Conditions for the Characterization of Optimal Controls, Center For Mathematical Economics, Bielefeld, 2021.
    PUB | PDF
     
  • [65]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952860 OA
    F. Dammann, and G. Ferrari, On an Irreversible Investment Problem with Two-Factor Uncertainty, Center For Mathematical Economics, Bielefeld, 2021.
    PUB | PDF
     
  • [64]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2959047 OA
    G. Ferrari, P. Schuhmann, and S. Zhu, Optimal Dividends under Markov-Modulated Bankruptcy Level, Center For Mathematical Economics, Bielefeld, 2021.
    PUB | PDF
     
  • [63]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952182 OA
    S. Federico, G. Ferrari, and N. Rodosthenous, Two-Sided Singular Control of an Inventory with Unknown Demand Trend, Center For Mathematical Economics, Bielefeld, 2021.
    PUB | PDF
     
  • [62]
    2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2959491
    P. Falbo, G. Ferrari, G. Rizzini, and M. D. Schmeck, “Optimal switch from a fossil-fueled to an electric vehicle”, Decisions in Economics and Finance, 2021.
    PUB | DOI | WoS
     
  • [61]
    2021 | Preprint | Veröffentlicht | PUB-ID: 2939728
    L. Banas, G. Ferrari, and T. A. Randrianasolo, “Numerical approximation of the value of a stochastic differential game with asymmetric information”, arXiv:1912.13248, 2021.
    PUB | DOI | WoS | arXiv
     
  • [60]
    2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2955128
    S. Federico, G. Ferrari, F. Riedel, and M. Röckner, “On a Class of Infinite-Dimensional Singular Stochastic Control Problems ”, SIAM Journal on Control and Optimization, 2021, 59, 1680-1704.
    PUB | DOI | WoS
     
  • [59]
    2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2955114
    S. Federico, G. Ferrari, and P. Schuhmann, “Singular Control of the Drift of a Brownian System”, Applied Mathematics & Optimization, 2021.
    PUB | DOI | WoS
     
  • [58]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2946500 OA
    G. Callegaro, C. Ceci, and G. Ferrari, “Optimal reduction of public debt under partial observation of the economic growth”, Finance and stochastics, 2020, 24, 1083-1132.
    PUB | PDF | DOI | WoS
     
  • [57]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943684 OA
    E. Bandini, T. de Angelis, G. Ferrari, and F. Gozzi, Optimal Dividend Payout under Stochastic Discounting, Center For Mathematical Economics, Bielefeld, 2020.
    PUB | PDF
     
  • [56]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943686 OA
    S. Federico, G. Ferrari, and P. Schuhmann, Singular Control of the Drift of a Brownian System, Center For Mathematical Economics, Bielefeld, 2020.
    PUB | PDF
     
  • [55]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945084 OA
    S. Federico, and G. Ferrari, Taming the Spread of an Epidemic by Lockdown Policies, Center For Mathematical Economics, Bielefeld, 2020.
    PUB | PDF
     
  • [54]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2942252 OA
    G. Ferrari, H. Li, and F. Riedel, A Knightian Irreversible Investment Problem, Center For Mathematical Economics, Bielefeld, 2020.
    PUB | PDF
     
  • [53]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2949956 OA
    P. Falbo, G. Ferrari, G. Rizzini, and M. D. Schmeck, Optimal Switch from a Fossil-Fueled to an Electric Vehicle, Center For Mathematical Economics, Bielefeld, 2020.
    PUB | PDF
     
  • [52]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2948952 OA
    G. Ferrari, H. Li, and F. Riedel, Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty, Center For Mathematical Economics, Bielefeld, 2020.
    PUB | PDF
     
  • [51]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2944790
    G. Ferrari, and N. Rodosthenous, “OPTIMAL CONTROL OF DEBT-TO-GDP RATIO IN AN N-STATE REGIME SWITCHING ECONOMY”, SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2020, 58, 755-786.
    PUB | DOI | WoS
     
  • [50]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2945133
    J. Dianetti, and G. Ferrari, “NONZERO-SUM SUBMODULAR MONOTONE-FOLLOWER GAMES: EXISTENCE AND APPROXIMATION OF NASH EQUILIBRIA”, SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2020, 58, 1257-1288.
    PUB | DOI | WoS
     
  • [49]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2939181
    G. Ferrari, and T. Vargiolu, “On the singular control of exchange rates”, Annals of Operations Research, 2020, 292, 795-832.
    PUB | DOI | WoS
     
  • [48]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2949212
    S. Federico, G. Ferrari, and P. Schuhmann, “A Singular Stochastic Control Problem with Interconnected Dynamics ”, SIAM Journal on Control and Optimization, 2020, 58, 2821-2853.
    PUB | DOI | WoS
     
  • [47]
    2020 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2949981
    S. Federico, and G. Ferrari, “Taming the spread of an epidemic by lockdown policies.”, Journal of mathematical economics, 2020.
    PUB | DOI | WoS | PubMed | Europe PMC
     
  • [46]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933813 OA
    G. Ferrari, and N. Rodosthenous, Optimal Control of Debt-To-GDP Ratio in an N-State Regime Switching Economy, Center For Mathematical Economics, Bielefeld, 2019.
    PUB | PDF
     
  • [45]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2939974 OA
    L. Banas, G. Ferrari, and T. A. Randrianasolo, Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information, Center For Mathematical Economics, Bielefeld, 2019.
    PUB | PDF
     
  • [44]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2936699 OA
    J. Dianetti, G. Ferrari, M. Fischer, and M. Nendel, Submodular Mean Field Games. Existence and Approximation of Solutions, Center For Mathematical Economics, Bielefeld, 2019.
    PUB | PDF
     
  • [43]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937637 OA
    S. Federico, G. Ferrari, and P. Schuhmann, A Model for the Optimal Management of Inflation, Center For Mathematical Economics, Bielefeld, 2019.
    PUB | PDF
     
  • [42]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932994 OA
    J. Dianetti, and G. Ferrari, Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria, Center For Mathematical Economics, Bielefeld, 2019.
    PUB | PDF
     
  • [41]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933360 OA
    G. Callegaro, C. Ceci, and G. Ferrari, Optimal Reduction of Public Debt under Partial Observation of the Economic Growth, Center For Mathematical Economics, Bielefeld, 2019.
    PUB | PDF
     
  • [40]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935374 OA
    S. Federico, G. Ferrari, F. Riedel, and M. Röckner, On a Class of Infinite-Dimensional Singular Stochastic Control Problems, Center For Mathematical Economics, Bielefeld, 2019.
    PUB | PDF
     
  • [39]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936024
    T. De Angelis, G. Ferrari, and J. Moriarty, “A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs”, MATHEMATICS OF OPERATIONS RESEARCH, 2019, 44, 512-531.
    PUB | DOI | WoS
     
  • [38]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2937742
    G. Ferrari, and P. Schuhmann, “An Optimal Dividend Problem with Capital Injections over a Finite Horizon”, SIAM Journal on Control and Optimization, 2019, 57, 2686-2719.
    PUB | DOI | WoS
     
  • [37]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2938385
    G. Ferrari, and T. Koch, “An Optimal Extraction Problem with Price Impact”, APPLIED MATHEMATICS AND OPTIMIZATION, 2019.
    PUB | DOI | WoS
     
  • [36]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936634
    G. Ferrari, and T. Koch, “On a strategic model of pollution control”, Annals of Operations Research, 2019, 275, 297-319.
    PUB | DOI | WoS
     
  • [35]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2934107
    G. Ferrari, “On a class of singular stochastic control problems for reflected diffusions”, Journal of Mathematical Analysis and Applications, 2019, 473, 952-979.
    PUB | DOI | WoS
     
  • [34]
    2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932622 OA
    G. Ferrari, and T. Koch, An optimal extraction problem with price impact, Center For Mathematical Economics, Bielefeld, 2018.
    PUB | PDF
     
  • [33]
    2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930440 OA
    G. Ferrari, and P. Schuhmann, An Optimal Dividend Problem with Capital Injections over a Finite Horizon , Center For Mathematical Economics, Bielefeld, 2018.
    PUB | PDF
     
  • [32]
    2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2932800
    G. Ferrari, and S. Yang, “On an Optimal Extraction problem with Regime Switching”, Advances in Applied Probability, 2018, 50, 671-705.
    PUB | DOI | WoS | arXiv
     
  • [31]
    2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2930530
    T. De Angelis, and G. Ferrari, “Stochastic nonzero-sum games: a new connection between singular control and optimal stopping ”, Advances in Applied Probability, 2018, 50, 347-372.
    PUB | DOI | WoS | arXiv
     
  • [30]
    2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2920351
    T. De Angelis, G. Ferrari, and J. Moriarty, “Nash equilibria of threshold type for two-player nonzero-sum games of stopping”, Annals of Applied Probability, 2018, 28, 112-147.
    PUB | DOI | WoS | arXiv
     
  • [29]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930430 OA
    T. de Angelis, G. Ferrari, and S. Hamadène, A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles, Center For Mathematical Economics, Bielefeld, 2017.
    PUB | PDF
     
  • [28]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930433 OA
    G. Ferrari, On a Class of Singular Stochastic Control Problems for Reflected Diffusions , Center For Mathematical Economics, Bielefeld, 2017.
    PUB | PDF
     
  • [27]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930438 OA
    G. Ferrari, and T. Vargiolu, On the Singular Control of Exchange Rates , Center For Mathematical Economics, Bielefeld, 2017.
    PUB | PDF
     
  • [26]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930413 OA
    G. Ferrari, and T. Koch, On a Strategic Model of Pollution Control , Center For Mathematical Economics, Bielefeld, 2017.
    PUB | PDF
     
  • [25]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2916438
    T. De Angelis, S. Federico, and G. Ferrari, “Optimal Boundary Surface for Irreversible Investment with Stochastic Costs”, Mathematics of Operations Research, 2017, 42, 1135-1161.
    PUB | DOI | WoS
     
  • [24]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901752
    T. D. Angelis, G. Ferrari, R. Martyr, and J. Moriarty, “Optimal Entry to an Irreversible Investment Plan with Non Convex Costs”, MATHEMATICS AND FINANCIAL ECONOMICS, 2017, 11, 423-454.
    PUB | DOI | WoS | arXiv
     
  • [23]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901747
    G. Ferrari, F. Riedel, and J. - H. Steg, “Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control Approach”, Applied Mathematics & Optimization, 2017, 75, 429-470.
    PUB | DOI | WoS
     
  • [22]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729 OA
    T. de Angelis, G. Ferrari, and J. Moriarty, A solvable two-dimensional singular stochastic control problem with non convex costs, Center For Mathematical Economics, Bielefeld, 2016.
    PUB | PDF
     
  • [21]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904731 OA
    G. Ferrari, and S. Yang, On an optimal extraction problem with regime switching, Center For Mathematical Economics, Bielefeld, 2016.
    PUB | PDF
     
  • [20]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904748 OA
    T. de Angelis, G. Ferrari, and J. Moriarty, Nash equilibria of threshold type for two-player nonzero-sum games of stopping, Center For Mathematical Economics, Bielefeld, 2016.
    PUB | PDF
     
  • [19]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904750 OA
    G. Ferrari, Controlling public debt without forgetting Inflation, Center For Mathematical Economics, Bielefeld, 2016.
    PUB | PDF
     
  • [18]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904753 OA
    T. de Angelis, and G. Ferrari, Stochastic nonzero-sum games: a new connection between singular control and optimal stopping , Center For Mathematical Economics, Bielefeld, 2016.
    PUB | PDF
     
  • [17]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756 OA
    T. de Angelis, G. Ferrari, R. Martyr, and J. Moriarty, Optimal entry to an irreversible investment plan with non convex costs , Center For Mathematical Economics, Bielefeld, 2016.
    PUB | PDF
     
  • [16]
    2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2906562
    G. Ferrari, and P. Salminen, “IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY”, ADVANCES IN APPLIED PROBABILITY, 2016, 48, 298-314.
    PUB | DOI | WoS
     
  • [15]
    2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940
    T. De Angelis, G. Ferrari, and J. Moriarty, “A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries ”, SIAM Journal on Control and Optimization, 2015, 53, 1199-1223.
    PUB | DOI | WoS
     
  • [14]
    2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901450 OA
    G. Ferrari, F. Riedel, and J. - H. Steg, Continuous-Time Public Good Contribution under Uncertainty, Center For Mathematical Economics, Bielefeld, 2015.
    PUB | PDF
     
  • [13]
    2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2782593
    M. B. Chiarolla, G. Ferrari, and G. Stabile, “Optimal dynamic procurement policies for a storable commodity with Levy prices and convex holding costs”, European Journal of Operational Research, 2015, 247, 847-858.
    PUB | DOI | WoS
     
  • [12]
    2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2718995
    G. Ferrari, “On an integral equation for the free-boundary of stochastic, irreversible investment problems”, The Annals of Applied Probability, 2015, 25, 150-176.
    PUB | DOI | WoS
     
  • [11]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528 OA
    T. de Angelis, G. Ferrari, and J. Moriarty, A non convex singular stochastic control problem and its related optimal stopping boundaries, Center For Mathematical Economics, Bielefeld, 2014.
    PUB | PDF
     
  • [10]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544 OA
    T. de Angelis, S. Federico, and G. Ferrari, On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment, Center For Mathematical Economics, Bielefeld, 2014.
    PUB | PDF
     
  • [9]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901685 OA
    G. Ferrari, and P. Salminen, Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary, Center For Mathematical Economics, Bielefeld, 2014.
    PUB | PDF
     
  • [8]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901687 OA
    T. de Angelis, G. Ferrari, and J. Moriarty, A solvable two-dimensional degenerate singular stochastic control problem with non convex costs, Center For Mathematical Economics, Bielefeld, 2014.
    PUB | PDF
     
  • [7]
    2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2705522
    T. De Angelis, and G. Ferrari, “A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis”, Stochastic Processes and their Applications, 2014, 124, 4080-4119.
    PUB | DOI | WoS
     
  • [6]
    2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888
    M. B. Chiarolla, and G. Ferrari, “Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank--El Karoui Representation Theorem”, SIAM Journal on Control and Optimization, 2014, 52, 1048-1070.
    PUB | DOI | WoS
     
  • [5]
    2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2693721
    M. B. Chiarolla, G. Ferrari, and F. Riedel, “Generalized Kuhn--Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources”, SIAM Journal on Control and Optimization, 2013, 51, 3863-3885.
    PUB | DOI | WoS
     
  • [4]
    2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674083 OA
    T. de Angelis, and G. Ferrari, A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis, Center For Mathematical Economics, Bielefeld, 2013.
    PUB | PDF
     
  • [3]
    2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674160 OA
    G. Ferrari, F. Riedel, and J. - H. Steg, Continuous-Time Public Good Contribution under Uncertainty, Center For Mathematical Economics, Bielefeld, 2013.
    PUB | PDF
     
  • [2]
    2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674034 OA
    G. Ferrari, On an integral equation for the free boundary of stochastic, irreversible investment problems, Center For Mathematical Economics, Bielefeld, 2012.
    PUB | PDF
     
  • [1]
    2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727 OA
    M. B. Chiarolla, G. Ferrari, and F. Riedel, Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources, Center For Mathematical Economics, Bielefeld, 2012.
    PUB | PDF
     
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