94 Publikationen
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2024 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2987947Cadenillas, A., Ferrari, G. & Schuhmann, P. (2024). Optimal production management when there is regime switching and production constraints. Annals of Operations Research. Springer. doi:10.1007/s10479-024-05892-y.
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2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2983417Federico, S., Ferrari, G. & Torrente, M.L. (2023). Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost (Center for Mathematical Economics Working Papers). Bielefeld: Center for Mathematical Economics.
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2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2981284Dianetti, J., Ferrari, G. & Tzouanas, I. (2023). Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version) (Center for Mathematical Economics Working Papers). Bielefeld: Center for Mathematical Economics.
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2023 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2980533Dianetti, 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. Elsevier. doi:10.1016/j.spa.2023.05.006.
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2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978796Aïd, 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). Bielefeld: Center for Mathematical Economics.
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2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978674Basei, 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). Bielefeld: Center for Mathematical Economics.
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2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2979039Ferrari, G., Li, H. & Riedel, F. (2022). Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations. Advances in Applied Probability , 54(4), 1222-1251. Cambridge University Press. doi:10.1017/apr.2022.5.
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2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2978299Dianetti, J., Ferrari, G., Fischer, M. & Nendel, M. (2022). A Unifying Framework for Submodular Mean Field Games. Mathematics of Operations Research . Institute for Operations Research and the Management Sciences (INFORMS). doi:10.1287/moor.2022.1316.
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2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2968012Federico, S., Ferrari, G. & Torrente, M.-L. (2022). Optimal vaccination in a SIRS epidemic model. Economic Theory . Springer. doi:10.1007/s00199-022-01475-9.
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2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2967384Cao, H., Dianetti, J. & Ferrari, G. (2022). Stationary Discounted and Ergodic Mean Field Games with Singular Controls. Mathematics of Operations Research. Institute for Operations Research and the Management Sciences (INFORMS). doi:10.1287/moor.2022.1323.
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2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2962706Calvia, A. & Ferrari, G. (2022). Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control. Applied Mathematics and Optimization , 85(2): 12. Springer. doi:10.1007/s00245-022-09822-x.
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2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2960414Dianetti, 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. Institute of Mathematical Statistics. doi:10.1214/20-AAP1655.
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2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952857Dianetti, 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). Bielefeld: Center for Mathematical Economics.
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2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2955128Federico, 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. Siam Publications. doi:10.1137/20M136757X.
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2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2946500Callegaro, 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. Springer Nature. doi:10.1007/s00780-020-00438-z.
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2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2945133Dianetti, 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. Siam Publications. doi:10.1137/19M1238782.
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2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2949212Federico, S., Ferrari, G. & Schuhmann, P. (2020). A Singular Stochastic Control Problem with Interconnected Dynamics . SIAM Journal on Control and Optimization, 58(5), 2821-2853. Siam Publications. doi:10.1137/19M1296288.
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2020 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2949981Federico, S. & Ferrari, G. (2020). Taming the spread of an epidemic by lockdown policies. Journal of mathematical economics. Elsevier. doi:10.1016/j.jmateco.2020.102453.
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933813Ferrari, G. & Rodosthenous, N. (2019). Optimal Control of Debt-To-GDP Ratio in an N-State Regime Switching Economy (Center for Mathematical Economics Working Papers) (Aktual. Version Februar 2019.). Bielefeld: Center for Mathematical Economics.
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2939974Banas, L., Ferrari, G. & Randrianasolo, T.A. (2019). Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information (Center for Mathematical Economics Working Papers). Bielefeld: Center for Mathematical Economics.
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2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936024De 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. Informs. doi:10.1287/moor.2018.0934.
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2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2930530De 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. Applied Probability Trust. doi:10.1017/apr.2018.17.
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2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2920351De 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. Inst Mathematical Statistics. doi:10.1214/17-AAP1301.
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2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930430de 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). Bielefeld: Center for Mathematical Economics.
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2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901752Angelis, T.D., 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. Springer Science and Business Media LLC. doi:10.1007/s11579-017-0187-y.
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2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901747Ferrari, 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. Springer Science + Business Media. doi:10.1007/s00245-016-9337-5.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729de 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). Bielefeld: Center for Mathematical Economics.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756de 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). Bielefeld: Center for Mathematical Economics.
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2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2906562Ferrari, G. & Salminen, P. (2016). IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY. ADVANCES IN APPLIED PROBABILITY, 48(1), 298-314. Applied Probability Trust. doi:10.1017/apr.2015.18.
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2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940De 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. Society For Industrial And Applied Mathematics. doi:10.1137/14096801X.
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2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2782593Chiarolla, M.B., 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. Elsevier. doi:10.1016/j.ejor.2015.06.061.
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2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2718995Ferrari, G. (2015). On an integral equation for the free-boundary of stochastic, irreversible investment problems. The Annals of Applied Probability, 25(1), 150-176. Institute Of Mathematical Statistics. doi:10.1214/13-AAP991.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528de 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). Bielefeld: Center for Mathematical Economics.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544de 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). Bielefeld: Center for Mathematical Economics.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901687de 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). Bielefeld: Center for Mathematical Economics.
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2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2705522De 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. Elsevier BV. doi:10.1016/j.spa.2014.07.008.
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2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888Chiarolla, M.B. & 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. Society for Industrial & Applied Mathematics (SIAM). doi:10.1137/11085195X.
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2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2693721Chiarolla, M.B., 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. Society for Industrial & Applied Mathematics (SIAM). doi:10.1137/120870360.
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2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727Chiarolla, M.B., Ferrari, G. & Riedel, F. (2012). Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources (Working Papers. Institute of Mathematical Economics). Bielefeld: Center for Mathematical Economics.