94 Publikationen

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  • [94]
    2024 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2987947
    Cadenillas A, Ferrari G, Schuhmann P (2024)
    Optimal production management when there is regime switching and production constraints.
    Annals of Operations Research.
    PUB | DOI | WoS
     
  • [93]
    2024 | Diskussionspapier | Veröffentlicht | PUB-ID: 2987416 OA
    Dammann F, Ferrari G (2024)
    A Stationary Equilibrium Model of Green Technology Adoption with Endogenous Carbon Price. Center for Mathematical Economics Working Papers; 688.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [92]
    2023 | Preprint | Veröffentlicht | PUB-ID: 2987708
    Banas L, Ferrari G, Randrianasolo TA (2023)
    Numerical approximation of Dynkin games with asymmetric information.
    PUB | DOI
     
  • [91]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2985970 OA
    Ferrari G, Zhu S (2023)
    On a Merton Problem with Irreversible Healthcare Investment. Center for Mathematical Economics Working Papers; 671, überarbeitete Version.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [90]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2985076 OA
    Chen A, Ferrari G, Zhu S (2023)
    Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning. Center for Mathematical Economics Working Papers; 684.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [89]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2984621 OA
    Ferrari G, Zhu S (2023)
    Optimal Retirement Choice under Age-dependent Force of Mortality. Center for Mathematical Economics Working Papers; 683.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [88]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2983417 OA
    Federico S, Ferrari G, Torrente ML (2023)
    Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost. Center for Mathematical Economics Working Papers; 682.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [87]
    2023 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2981371
    Dammann F, Ferrari G (2023)
    Optimal execution with multiplicative price impact and incomplete information on the return.
    Finance and Stochastics .
    PUB | DOI | WoS
     
  • [86]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2981284 OA
    Dianetti J, Ferrari G, Tzouanas I (2023)
    Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version). Center for Mathematical Economics Working Papers; 681.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [85]
    2023 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2980533
    Dianetti J, Ferrari G (2023)
    Multidimensional singular control and related Skorokhod problem: Sufficient conditions for the characterization of optimal controls.
    Stochastic Processes and their Applications 162: 547-592.
    PUB | DOI | WoS
     
  • [84]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978796 OA
    Aïd R, Basei M, Ferrari G (2023)
    A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy. Center for Mathematical Economics Working Papers; 679.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [83]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978674 OA
    Basei M, Ferrari G, Rodosthenous N (2023)
    Uncertainty over Uncertainty in Environmental Policy Adoption: Bayesian Learning of Unpredictable Socioeconomic Costs. Center for Mathematical Economics Working Papers; 677.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [82]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2967537 OA
    Ferrari G, Zhu S (2022)
    Consumption Descision, Portfolio Choice and Healthcare Irreversible Investment. Center for Mathematical Economics Working Papers; 671.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [81]
    2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2979039
    Ferrari G, Li H, Riedel F (2022)
    Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations.
    Advances in Applied Probability 54(4): 1222-1251.
    PUB | DOI | WoS
     
  • [80]
    2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2978299
    Dianetti J, Ferrari G, Fischer M, Nendel M (2022)
    A Unifying Framework for Submodular Mean Field Games.
    Mathematics of Operations Research .
    PUB | DOI | WoS
     
  • [79]
    2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2968012
    Federico S, Ferrari G, Torrente M-L (2022)
    Optimal vaccination in a SIRS epidemic model.
    Economic Theory .
    PUB | DOI | WoS | PubMed | Europe PMC
     
  • [78]
    2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2967384
    Cao H, Dianetti J, Ferrari G (2022)
    Stationary Discounted and Ergodic Mean Field Games with Singular Controls.
    Mathematics of Operations Research.
    PUB | DOI | WoS
     
  • [77]
    2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2964637
    Ferrari G, Schuhmann P, Zhu S (2022)
    Optimal dividends under Markov-modulated bankruptcy level.
    Insurance: Mathematics and Economics 106: 146-172.
    PUB | DOI | WoS
     
  • [76]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2963714 OA
    Federico S, Ferrari G, Torrente M-L (2022)
    Optimal Vaccination in a SIRS Epidemic Model. Center for Mathematical Economics Working Papers; 667.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [75]
    2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2962706
    Calvia A, Ferrari G (2022)
    Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control.
    Applied Mathematics and Optimization 85(2): 12.
    PUB | DOI | WoS
     
  • [74]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2961488 OA
    Dammann F, Ferrari G (2022)
    Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return. Center for Mathematical Economics Working Papers; 663.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [73]
    2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2961096
    Bandini E, De Angelis T, Ferrari G, Gozzi F (2022)
    Optimal dividend payout under stochastic discounting.
    Mathematical Finance .
    PUB | DOI | WoS
     
  • [72]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2960759 OA
    Dianetti J, Ferrari G, Fischer M, Nendel M (2022)
    A Unifying Framework for Submodular Mean Field Games. Center for Mathematical Economics Working Papers; 661.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [71]
    2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2958433
    Ferrari G, Li H, Riedel F (2022)
    A Knightian irreversible investment problem.
    Journal of Mathematical Analysis and Applications 507(1): 125744.
    PUB | DOI | WoS
     
  • [70]
    2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2960414
    Dianetti J, Ferrari G, Fischer M, Nendel M (2021)
    Submodular mean field games: Existence and approximation of solutions.
    Annals of Applied Probability 31(6): 2538-2566.
    PUB | DOI | WoS
     
  • [69]
    2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2960182
    Dammann F, Ferrari G (2021)
    On an irreversible investment problem with two-factor uncertainty.
    Quantitative Finance.
    PUB | DOI | WoS
     
  • [68]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2955492 OA
    Calvia A, Ferrari G (2021)
    Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control. Center for Mathematical Economics Working Papers; 651.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [67]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2955165 OA
    Cao H, Dianetti J, Ferrari G (2021)
    Stationary Discounted and Ergodic Mean Field Games of Singular Control. Center for Mathematical Economics Working Papers; 650.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [66]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952857 OA
    Dianetti J, Ferrari G (2021)
    Multidimensional Singular Control and Related Skorokhod Problem: Suficient Conditions for the Characterization of Optimal Controls. Center for Mathematical Economics Working Papers; 645.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [65]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952860 OA
    Dammann F, Ferrari G (2021)
    On an Irreversible Investment Problem with Two-Factor Uncertainty. Center for Mathematical Economics Working Papers; 646.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [64]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2959047 OA
    Ferrari G, Schuhmann P, Zhu S (2021)
    Optimal Dividends under Markov-Modulated Bankruptcy Level. Center for Mathematical Economics Working Papers; 657.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [63]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952182 OA
    Federico S, Ferrari G, Rodosthenous N (2021)
    Two-Sided Singular Control of an Inventory with Unknown Demand Trend. Center for Mathematical Economics Working Papers; 643.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [62]
    2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2959491
    Falbo P, Ferrari G, Rizzini G, Schmeck MD (2021)
    Optimal switch from a fossil-fueled to an electric vehicle.
    Decisions in Economics and Finance.
    PUB | DOI | WoS
     
  • [61]
    2021 | Preprint | Veröffentlicht | PUB-ID: 2939728
    Banas L, Ferrari G, Randrianasolo TA (2021)
    Numerical approximation of the value of a stochastic differential game with asymmetric information.
    arXiv:1912.13248.
    PUB | DOI | WoS | arXiv
     
  • [60]
    2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2955128
    Federico S, Ferrari G, Riedel F, Röckner M (2021)
    On a Class of Infinite-Dimensional Singular Stochastic Control Problems .
    SIAM Journal on Control and Optimization 59(2): 1680-1704.
    PUB | DOI | WoS
     
  • [59]
    2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2955114
    Federico S, Ferrari G, Schuhmann P (2021)
    Singular Control of the Drift of a Brownian System.
    Applied Mathematics & Optimization.
    PUB | DOI | WoS
     
  • [58]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2946500 OA
    Callegaro G, Ceci C, Ferrari G (2020)
    Optimal reduction of public debt under partial observation of the economic growth.
    Finance and stochastics 24(4): 1083-1132.
    PUB | PDF | DOI | WoS
     
  • [57]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943684 OA
    Bandini E, de Angelis T, Ferrari G, Gozzi F (2020)
    Optimal Dividend Payout under Stochastic Discounting. Center for Mathematical Economics Working Papers; 636.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [56]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943686 OA
    Federico S, Ferrari G, Schuhmann P (2020)
    Singular Control of the Drift of a Brownian System. Center for Mathematical Economics Working Papers; 637.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [55]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945084 OA
    Federico S, Ferrari G (2020)
    Taming the Spread of an Epidemic by Lockdown Policies. Center for Mathematical Economics Working Papers; 639.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [54]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2942252 OA
    Ferrari G, Li H, Riedel F (2020)
    A Knightian Irreversible Investment Problem. Center for Mathematical Economics Working Papers; 634.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [53]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2949956 OA
    Falbo P, Ferrari G, Rizzini G, Schmeck MD (2020)
    Optimal Switch from a Fossil-Fueled to an Electric Vehicle. Center for Mathematical Economics Working Papers; 642.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [52]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2948952 OA
    Ferrari G, Li H, Riedel F (2020)
    Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty. Center for Mathematical Economics Working Papers; 641.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [51]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2944790
    Ferrari G, Rodosthenous N (2020)
    OPTIMAL CONTROL OF DEBT-TO-GDP RATIO IN AN N-STATE REGIME SWITCHING ECONOMY.
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION 58(2): 755-786.
    PUB | DOI | WoS
     
  • [50]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2945133
    Dianetti J, Ferrari G (2020)
    NONZERO-SUM SUBMODULAR MONOTONE-FOLLOWER GAMES: EXISTENCE AND APPROXIMATION OF NASH EQUILIBRIA.
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION 58(3): 1257-1288.
    PUB | DOI | WoS
     
  • [49]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2939181
    Ferrari G, Vargiolu T (2020)
    On the singular control of exchange rates.
    Annals of Operations Research 292: 795-832.
    PUB | DOI | WoS
     
  • [48]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2949212
    Federico S, Ferrari G, Schuhmann P (2020)
    A Singular Stochastic Control Problem with Interconnected Dynamics .
    SIAM Journal on Control and Optimization 58(5): 2821-2853.
    PUB | DOI | WoS
     
  • [47]
    2020 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2949981
    Federico S, Ferrari G (2020)
    Taming the spread of an epidemic by lockdown policies.
    Journal of mathematical economics.
    PUB | DOI | WoS | PubMed | Europe PMC
     
  • [46]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933813 OA
    Ferrari G, Rodosthenous N (2019)
    Optimal Control of Debt-To-GDP Ratio in an N-State Regime Switching Economy. Center for Mathematical Economics Working Papers; 589, Aktual. Version Februar 2019.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [45]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2939974 OA
    Banas L, Ferrari G, Randrianasolo TA (2019)
    Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information. Center for Mathematical Economics Working Papers; 630.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [44]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2936699 OA
    Dianetti J, Ferrari G, Fischer M, Nendel M (2019)
    Submodular Mean Field Games. Existence and Approximation of Solutions. Center for Mathematical Economics Working Papers; 621.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [43]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937637 OA
    Federico S, Ferrari G, Schuhmann P (2019)
    A Model for the Optimal Management of Inflation. Center for Mathematical Economics Working Papers; 624.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [42]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932994 OA
    Dianetti J, Ferrari G (2019)
    Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria. Center for Mathematical Economics Working Papers; 605.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [41]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933360 OA
    Callegaro G, Ceci C, Ferrari G (2019)
    Optimal Reduction of Public Debt under Partial Observation of the Economic Growth. Center for Mathematical Economics Working Papers; 608.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [40]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935374 OA
    Federico S, Ferrari G, Riedel F, Röckner M (2019)
    On a Class of Infinite-Dimensional Singular Stochastic Control Problems. Center for Mathematical Economics Working Papers; 614.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [39]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936024
    De Angelis T, Ferrari G, Moriarty J (2019)
    A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs.
    MATHEMATICS OF OPERATIONS RESEARCH 44(2): 512-531.
    PUB | DOI | WoS
     
  • [38]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2937742
    Ferrari G, Schuhmann P (2019)
    An Optimal Dividend Problem with Capital Injections over a Finite Horizon.
    SIAM Journal on Control and Optimization 57(4): 2686-2719.
    PUB | DOI | WoS
     
  • [37]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2938385
    Ferrari G, Koch T (2019)
    An Optimal Extraction Problem with Price Impact.
    APPLIED MATHEMATICS AND OPTIMIZATION.
    PUB | DOI | WoS
     
  • [36]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936634
    Ferrari G, Koch T (2019)
    On a strategic model of pollution control.
    Annals of Operations Research 275(2): 297-319.
    PUB | DOI | WoS
     
  • [35]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2934107
    Ferrari G (2019)
    On a class of singular stochastic control problems for reflected diffusions.
    Journal of Mathematical Analysis and Applications 473(2): 952-979.
    PUB | DOI | WoS
     
  • [34]
    2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932622 OA
    Ferrari G, Koch T (2018)
    An optimal extraction problem with price impact. Center for Mathematical Economics Working Papers; 603.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [33]
    2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930440 OA
    Ferrari G, Schuhmann P (2018)
    An Optimal Dividend Problem with Capital Injections over a Finite Horizon . Center for Mathematical Economics Working Papers; 595.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [32]
    2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2932800
    Ferrari G, Yang S (2018)
    On an Optimal Extraction problem with Regime Switching.
    Advances in Applied Probability 50(3): 671-705.
    PUB | DOI | WoS | arXiv
     
  • [31]
    2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2930530
    De Angelis T, Ferrari G (2018)
    Stochastic nonzero-sum games: a new connection between singular control and optimal stopping .
    Advances in Applied Probability 50(2): 347-372.
    PUB | DOI | WoS | arXiv
     
  • [30]
    2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2920351
    De Angelis T, Ferrari G, Moriarty J (2018)
    Nash equilibria of threshold type for two-player nonzero-sum games of stopping.
    Annals of Applied Probability 28(1): 112-147.
    PUB | DOI | WoS | arXiv
     
  • [29]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930430 OA
    de Angelis T, Ferrari G, Hamadène S (2017)
    A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles. Center for Mathematical Economics Working Papers; 591.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [28]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930433 OA
    Ferrari G (2017)
    On a Class of Singular Stochastic Control Problems for Reflected Diffusions . Center for Mathematical Economics Working Papers; 592.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [27]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930438 OA
    Ferrari G, Vargiolu T (2017)
    On the Singular Control of Exchange Rates . Center for Mathematical Economics Working Papers; 594.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [26]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930413 OA
    Ferrari G, Koch T (2017)
    On a Strategic Model of Pollution Control . Center for Mathematical Economics Working Papers; 586.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [25]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2916438
    De Angelis T, Federico S, Ferrari G (2017)
    Optimal Boundary Surface for Irreversible Investment with Stochastic Costs.
    Mathematics of Operations Research 42(4): 1135-1161.
    PUB | DOI | WoS
     
  • [24]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901752
    Angelis TD, Ferrari G, Martyr R, Moriarty J (2017)
    Optimal Entry to an Irreversible Investment Plan with Non Convex Costs.
    MATHEMATICS AND FINANCIAL ECONOMICS 11(4): 423-454.
    PUB | DOI | WoS | arXiv
     
  • [23]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901747
    Ferrari G, Riedel F, Steg J-H (2017)
    Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control Approach.
    Applied Mathematics & Optimization 75(3): 429-470.
    PUB | DOI | WoS
     
  • [22]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729 OA
    de Angelis T, Ferrari G, Moriarty J (2016)
    A solvable two-dimensional singular stochastic control problem with non convex costs. Center for Mathematical Economics Working Papers; 561.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [21]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904731 OA
    Ferrari G, Yang S (2016)
    On an optimal extraction problem with regime switching. Center for Mathematical Economics Working Papers; 562.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [20]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904748 OA
    de Angelis T, Ferrari G, Moriarty J (2016)
    Nash equilibria of threshold type for two-player nonzero-sum games of stopping. Center for Mathematical Economics Working Papers; 563.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [19]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904750 OA
    Ferrari G (2016)
    Controlling public debt without forgetting Inflation. Center for Mathematical Economics Working Papers; 564.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [18]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904753 OA
    de Angelis T, Ferrari G (2016)
    Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Center for Mathematical Economics Working Papers; 565.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [17]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756 OA
    de Angelis T, Ferrari G, Martyr R, Moriarty J (2016)
    Optimal entry to an irreversible investment plan with non convex costs . Center for Mathematical Economics Working Papers; 566.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [16]
    2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2906562
    Ferrari G, Salminen P (2016)
    IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY.
    ADVANCES IN APPLIED PROBABILITY 48(1): 298-314.
    PUB | DOI | WoS
     
  • [15]
    2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940
    De Angelis T, Ferrari G, Moriarty J (2015)
    A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries .
    SIAM Journal on Control and Optimization 53(3): 1199-1223.
    PUB | DOI | WoS
     
  • [14]
    2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901450 OA
    Ferrari G, Riedel F, Steg J-H (2015)
    Continuous-Time Public Good Contribution under Uncertainty. Center for Mathematical Economics Working Papers; 485, Version February 2015.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [13]
    2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2782593
    Chiarolla MB, Ferrari G, Stabile G (2015)
    Optimal dynamic procurement policies for a storable commodity with Levy prices and convex holding costs.
    European Journal of Operational Research 247(3): 847-858.
    PUB | DOI | WoS
     
  • [12]
    2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2718995
    Ferrari G (2015)
    On an integral equation for the free-boundary of stochastic, irreversible investment problems.
    The Annals of Applied Probability 25(1): 150-176.
    PUB | DOI | WoS
     
  • [11]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528 OA
    de Angelis T, Ferrari G, Moriarty J (2014)
    A non convex singular stochastic control problem and its related optimal stopping boundaries. Center for Mathematical Economics Working Papers; 508.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [10]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544 OA
    de Angelis T, Federico S, Ferrari G (2014)
    On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment. Center for Mathematical Economics Working Papers; 509.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [9]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901685 OA
    Ferrari G, Salminen P (2014)
    Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary. Center for Mathematical Economics Working Papers; 530.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [8]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901687 OA
    de Angelis T, Ferrari G, Moriarty J (2014)
    A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. Center for Mathematical Economics Working Papers; 531.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [7]
    2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2705522
    De Angelis T, Ferrari G (2014)
    A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis.
    Stochastic Processes and their Applications 124(12): 4080-4119.
    PUB | DOI | WoS
     
  • [6]
    2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888
    Chiarolla MB, Ferrari G (2014)
    Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank--El Karoui Representation Theorem.
    SIAM Journal on Control and Optimization 52(2): 1048-1070.
    PUB | DOI | WoS
     
  • [5]
    2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2693721
    Chiarolla MB, Ferrari G, Riedel F (2013)
    Generalized Kuhn--Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources.
    SIAM Journal on Control and Optimization 51(5): 3863-3885.
    PUB | DOI | WoS
     
  • [4]
    2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674083 OA
    de Angelis T, Ferrari G (2013)
    A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis. Center for Mathematical Economics Working Papers; 477.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [3]
    2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674160 OA
    Ferrari G, Riedel F, Steg J-H (2013)
    Continuous-Time Public Good Contribution under Uncertainty. Center for Mathematical Economics Working Papers; 485.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [2]
    2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674034 OA
    Ferrari G (2012)
    On an integral equation for the free boundary of stochastic, irreversible investment problems. Working Papers. Institute of Mathematical Economics; 471.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [1]
    2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727 OA
    Chiarolla MB, Ferrari G, Riedel F (2012)
    Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources. Working Papers. Institute of Mathematical Economics; 463.
    Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     

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