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. Springer. doi:10.1007/s10479-024-05892-y.
    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). Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [92]
    2023 | Preprint | Veröffentlicht | PUB-ID: 2987708
    Banas, L., Ferrari, G. & Randrianasolo, T.A. (2023). Numerical approximation of Dynkin games with asymmetric information. arXiv. doi:10.48550/ARXIV.2312.01847.
    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) (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). 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). Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [88]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2983417 OA
    Federico, 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.
    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 . Springer . doi:10.1007/s00780-023-00508-y.
    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). 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. Elsevier. doi:10.1016/j.spa.2023.05.006.
    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). 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). 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). 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. Cambridge University Press. doi:10.1017/apr.2022.5.
    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 . Institute for Operations Research and the Management Sciences (INFORMS). doi:10.1287/moor.2022.1316.
    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 . Springer. doi:10.1007/s00199-022-01475-9.
    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. Institute for Operations Research and the Management Sciences (INFORMS). doi:10.1287/moor.2022.1323.
    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. Elsevier. doi:10.1016/j.insmatheco.2022.06.005.
    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). 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. Springer. doi:10.1007/s00245-022-09822-x.
    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). 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 . Wiley. doi:10.1111/mafi.12339.
    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). 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. Elsevier . doi:10.1016/j.jmaa.2021.125744.
    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. Institute of Mathematical Statistics. doi:10.1214/20-AAP1655.
    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. Routledge . doi:10.1080/14697688.2021.1983202.
    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). 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). 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). 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). 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). 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). 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, M.D. (2021). Optimal switch from a fossil-fueled to an electric vehicle. Decisions in Economics and Finance. Springer. doi:10.1007/s10203-021-00359-2.
    PUB | DOI | WoS
     
  • [61]
    2021 | Preprint | Veröffentlicht | PUB-ID: 2939728
    Banas, L., Ferrari, G. & Randrianasolo, T.A. (2021). Numerical approximation of the value of a stochastic differential game with asymmetric information. arXiv:1912.13248. doi:10.1137/19M1309997.
    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. Siam Publications. doi:10.1137/20M136757X.
    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. Springer. doi:10.1007/s00245-021-09779-3.
    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. Springer Nature. doi:10.1007/s00780-020-00438-z.
    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). 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). 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). 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). Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [53]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2949956 OA
    Falbo, P., Ferrari, G., Rizzini, G. & Schmeck, M.D. (2020). Optimal Switch from a Fossil-Fueled to an Electric Vehicle (Center for Mathematical Economics Working Papers). 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). 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. Siam Publications. doi:10.1137/19M1245049.
    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. Siam Publications. doi:10.1137/19M1238782.
    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. Springer. doi:10.1007/s10479-019-03441-6.
    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. Siam Publications. doi:10.1137/19M1296288.
    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. Elsevier. doi:10.1016/j.jmateco.2020.102453.
    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) (Aktual. Version Februar 2019.). Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [45]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2939974 OA
    Banas, 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.
    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). 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). 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). 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). 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). 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. Informs. doi:10.1287/moor.2018.0934.
    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. Siam Publications. doi:10.1137/18M1184588.
    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. Springer. doi:10.1007/s00245-019-09615-9.
    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. Springer. doi:10.1007/s10479-018-2935-7.
    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. Elsevier BV. doi:10.1016/j.jmaa.2019.01.004.
    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). 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). 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. Applied Probability Trust. doi:10.1017/apr.2018.31.
    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. Applied Probability Trust. doi:10.1017/apr.2018.17.
    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. Inst Mathematical Statistics. doi:10.1214/17-AAP1301.
    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). Bielefeld: Center for Mathematical Economics.
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  • [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). 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). 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). 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. Informs. doi:10.1287/moor.2016.0841.
    PUB | DOI | WoS
     
  • [24]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901752
    Angelis, 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.
    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. Springer Science + Business Media. doi:10.1007/s00245-016-9337-5.
    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). 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). 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). 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). 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). Bielefeld: Center for Mathematical Economics.
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  • [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). 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. Applied Probability Trust. doi:10.1017/apr.2015.18.
    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. Society For Industrial And Applied Mathematics. doi:10.1137/14096801X.
    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) (Version February 2015.). Bielefeld: Center for Mathematical Economics.
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  • [13]
    2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2782593
    Chiarolla, 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.
    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. Institute Of Mathematical Statistics. doi:10.1214/13-AAP991.
    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). 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). 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). 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). 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. Elsevier BV. doi:10.1016/j.spa.2014.07.008.
    PUB | DOI | WoS
     
  • [6]
    2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888
    Chiarolla, 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.
    PUB | DOI | WoS
     
  • [5]
    2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2693721
    Chiarolla, 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.
    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). 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). 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). Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [1]
    2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727 OA
    Chiarolla, 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.
    PUB | PDF
     

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