Giorgio Ferrari

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

95 Publikationen

Alle markieren

  • [95]
    2024 | Diskussionspapier | Veröffentlicht | PUB-ID: 2988384 OA
    Calvia, Alessandro, Federico, Salvatore, Ferrari, Giorgio, and Gozzi, Fausto. A Mean-Field Model of Optimal Investment. Bielefeld: Center for Mathematical Economics, 2024. Center for Mathematical Economics Working Papers. 690.
    PUB | PDF
     
  • [94]
    2024 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2987947
    Cadenillas, Abel, Ferrari, Giorgio, and Schuhmann, Patrick. “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
    Dammann, Felix, and Ferrari, Giorgio. A Stationary Equilibrium Model of Green Technology Adoption with Endogenous Carbon Price. Bielefeld: Center for Mathematical Economics, 2024. Center for Mathematical Economics Working Papers. 688.
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  • [92]
    2023 | Preprint | Veröffentlicht | PUB-ID: 2987708
    Banas, Lubomir, Ferrari, Giorgio, and Randrianasolo, Tsiry Avisoa. “Numerical approximation of Dynkin games with asymmetric information”. (2023).
    PUB | DOI
     
  • [91]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2985970 OA
    Ferrari, Giorgio, and Zhu, Shihao. On a Merton Problem with Irreversible Healthcare Investment. überarbeitete Version. Bielefeld: Center for Mathematical Economics, 2023. Center for Mathematical Economics Working Papers. 671.
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  • [90]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2985076 OA
    Chen, An, Ferrari, Giorgio, and Zhu, Shihao. Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning. Bielefeld: Center for Mathematical Economics, 2023. Center for Mathematical Economics Working Papers. 684.
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  • [89]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2984621 OA
    Ferrari, Giorgio, and Zhu, Shihao. Optimal Retirement Choice under Age-dependent Force of Mortality. Bielefeld: Center for Mathematical Economics, 2023. Center for Mathematical Economics Working Papers. 683.
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  • [88]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2983417 OA
    Federico, Salvatore, Ferrari, Giorgio, and Torrente, Maria Laura. Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost. Bielefeld: Center for Mathematical Economics, 2023. Center for Mathematical Economics Working Papers. 682.
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  • [87]
    2023 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2981371
    Dammann, Felix, and Ferrari, Giorgio. “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
    Dianetti, Jodi, Ferrari, Giorgio, and Tzouanas, Ioannis. Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version). Bielefeld: Center for Mathematical Economics, 2023. Center for Mathematical Economics Working Papers. 681.
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  • [85]
    2023 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2980533
    Dianetti, Jodi, and Ferrari, Giorgio. “Multidimensional singular control and related Skorokhod problem: Sufficient conditions for the characterization of optimal controls”. Stochastic Processes and their Applications 162 (2023): 547-592.
    PUB | DOI | WoS
     
  • [84]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978796 OA
    Aïd, René, Basei, Matteo, and Ferrari, Giorgio. A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy. Bielefeld: Center for Mathematical Economics, 2023. Center for Mathematical Economics Working Papers. 679.
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  • [83]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978674 OA
    Basei, Matteo, Ferrari, Giorgio, and Rodosthenous, Neofytos. Uncertainty over Uncertainty in Environmental Policy Adoption: Bayesian Learning of Unpredictable Socioeconomic Costs. Bielefeld: Center for Mathematical Economics, 2023. Center for Mathematical Economics Working Papers. 677.
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  • [82]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2967537 OA
    Ferrari, Giorgio, and Zhu, Shihao. Consumption Descision, Portfolio Choice and Healthcare Irreversible Investment. Bielefeld: Center for Mathematical Economics, 2022. Center for Mathematical Economics Working Papers. 671.
    PUB | PDF
     
  • [81]
    2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2979039
    Ferrari, Giorgio, Li, Hanwu, and Riedel, Frank. “Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations”. Advances in Applied Probability 54.4 (2022): 1222-1251.
    PUB | DOI | WoS
     
  • [80]
    2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2978299
    Dianetti, Jodi, Ferrari, Giorgio, Fischer, Markus, and Nendel, Max. “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
    Federico, Salvatore, Ferrari, Giorgio, and Torrente, Maria-Laura. “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
    Cao, Haoyang, Dianetti, Jodi, and Ferrari, Giorgio. “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
    Ferrari, Giorgio, Schuhmann, Patrick, and Zhu, Shihao. “Optimal dividends under Markov-modulated bankruptcy level”. Insurance: Mathematics and Economics 106 (2022): 146-172.
    PUB | DOI | WoS
     
  • [76]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2963714 OA
    Federico, Salvatore, Ferrari, Giorgio, and Torrente, Maria-Laura. Optimal Vaccination in a SIRS Epidemic Model. Bielefeld: Center for Mathematical Economics, 2022. Center for Mathematical Economics Working Papers. 667.
    PUB | PDF
     
  • [75]
    2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2962706
    Calvia, Alessandro, and Ferrari, Giorgio. “Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control”. Applied Mathematics and Optimization 85.2 (2022): 12.
    PUB | DOI | WoS
     
  • [74]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2961488 OA
    Dammann, Felix, and Ferrari, Giorgio. Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return. Bielefeld: Center for Mathematical Economics, 2022. Center for Mathematical Economics Working Papers. 663.
    PUB | PDF
     
  • [73]
    2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2961096
    Bandini, Elena, De Angelis, Tiziano, Ferrari, Giorgio, and Gozzi, Fausto. “Optimal dividend payout under stochastic discounting”. Mathematical Finance (2022).
    PUB | DOI | WoS
     
  • [72]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2960759 OA
    Dianetti, Jodi, Ferrari, Giorgio, Fischer, Markus, and Nendel, Max. A Unifying Framework for Submodular Mean Field Games. Bielefeld: Center for Mathematical Economics, 2022. Center for Mathematical Economics Working Papers. 661.
    PUB | PDF
     
  • [71]
    2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2958433
    Ferrari, Giorgio, Li, Hanwu, and Riedel, Frank. “A Knightian irreversible investment problem”. Journal of Mathematical Analysis and Applications 507.1 (2022): 125744.
    PUB | DOI | WoS
     
  • [70]
    2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2960414
    Dianetti, Jodi, Ferrari, Giorgio, Fischer, Markus, and Nendel, Max. “Submodular mean field games: Existence and approximation of solutions”. Annals of Applied Probability 31.6 (2021): 2538-2566.
    PUB | DOI | WoS
     
  • [69]
    2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2960182
    Dammann, Felix, and Ferrari, Giorgio. “On an irreversible investment problem with two-factor uncertainty”. Quantitative Finance (2021).
    PUB | DOI | WoS
     
  • [68]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2955492 OA
    Calvia, Alessandro, and Ferrari, Giorgio. Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control. Bielefeld: Center for Mathematical Economics, 2021. Center for Mathematical Economics Working Papers. 651.
    PUB | PDF
     
  • [67]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2955165 OA
    Cao, Haoyang, Dianetti, Jodi, and Ferrari, Giorgio. Stationary Discounted and Ergodic Mean Field Games of Singular Control. Bielefeld: Center for Mathematical Economics, 2021. Center for Mathematical Economics Working Papers. 650.
    PUB | PDF
     
  • [66]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952857 OA
    Dianetti, Jodi, and Ferrari, Giorgio. Multidimensional Singular Control and Related Skorokhod Problem: Suficient Conditions for the Characterization of Optimal Controls. Bielefeld: Center for Mathematical Economics, 2021. Center for Mathematical Economics Working Papers. 645.
    PUB | PDF
     
  • [65]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952860 OA
    Dammann, Felix, and Ferrari, Giorgio. On an Irreversible Investment Problem with Two-Factor Uncertainty. Bielefeld: Center for Mathematical Economics, 2021. Center for Mathematical Economics Working Papers. 646.
    PUB | PDF
     
  • [64]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2959047 OA
    Ferrari, Giorgio, Schuhmann, Patrick, and Zhu, Shihao. Optimal Dividends under Markov-Modulated Bankruptcy Level. Bielefeld: Center for Mathematical Economics, 2021. Center for Mathematical Economics Working Papers. 657.
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  • [63]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952182 OA
    Federico, Salvatore, Ferrari, Giorgio, and Rodosthenous, Neofytos. Two-Sided Singular Control of an Inventory with Unknown Demand Trend. Bielefeld: Center for Mathematical Economics, 2021. Center for Mathematical Economics Working Papers. 643.
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  • [62]
    2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2959491
    Falbo, Paolo, Ferrari, Giorgio, Rizzini, Giorgio, and Schmeck, Maren Diane. “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
    Banas, Lubomir, Ferrari, Giorgio, and Randrianasolo, Tsiry Avisoa. “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
    Federico, Salvatore, Ferrari, Giorgio, Riedel, Frank, and Röckner, Michael. “On a Class of Infinite-Dimensional Singular Stochastic Control Problems ”. SIAM Journal on Control and Optimization 59.2 (2021): 1680-1704.
    PUB | DOI | WoS
     
  • [59]
    2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2955114
    Federico, Salvatore, Ferrari, Giorgio, and Schuhmann, Patrick. “Singular Control of the Drift of a Brownian System”. Applied Mathematics & Optimization (2021).
    PUB | DOI | WoS
     
  • [58]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2946500 OA
    Callegaro, Giorgia, Ceci, Claudia, and Ferrari, Giorgio. “Optimal reduction of public debt under partial observation of the economic growth”. Finance and stochastics 24.4 (2020): 1083-1132.
    PUB | PDF | DOI | WoS
     
  • [57]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943684 OA
    Bandini, Elena, de Angelis, Tiziano, Ferrari, Giorgio, and Gozzi, Fausto. Optimal Dividend Payout under Stochastic Discounting. Bielefeld: Center for Mathematical Economics, 2020. Center for Mathematical Economics Working Papers. 636.
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  • [56]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943686 OA
    Federico, Salvatore, Ferrari, Giorgio, and Schuhmann, Patrick. Singular Control of the Drift of a Brownian System. Bielefeld: Center for Mathematical Economics, 2020. Center for Mathematical Economics Working Papers. 637.
    PUB | PDF
     
  • [55]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945084 OA
    Federico, Salvatore, and Ferrari, Giorgio. Taming the Spread of an Epidemic by Lockdown Policies. Bielefeld: Center for Mathematical Economics, 2020. Center for Mathematical Economics Working Papers. 639.
    PUB | PDF
     
  • [54]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2942252 OA
    Ferrari, Giorgio, Li, Hanwu, and Riedel, Frank. A Knightian Irreversible Investment Problem. Bielefeld: Center for Mathematical Economics, 2020. Center for Mathematical Economics Working Papers. 634.
    PUB | PDF
     
  • [53]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2949956 OA
    Falbo, Paolo, Ferrari, Giorgio, Rizzini, Giorgio, and Schmeck, Maren Diane. Optimal Switch from a Fossil-Fueled to an Electric Vehicle. Bielefeld: Center for Mathematical Economics, 2020. Center for Mathematical Economics Working Papers. 642.
    PUB | PDF
     
  • [52]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2948952 OA
    Ferrari, Giorgio, Li, Hanwu, and Riedel, Frank. Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty. Bielefeld: Center for Mathematical Economics, 2020. Center for Mathematical Economics Working Papers. 641.
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  • [51]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2944790
    Ferrari, Giorgio, and Rodosthenous, Neofytos. “OPTIMAL CONTROL OF DEBT-TO-GDP RATIO IN AN N-STATE REGIME SWITCHING ECONOMY”. SIAM JOURNAL ON CONTROL AND OPTIMIZATION 58.2 (2020): 755-786.
    PUB | DOI | WoS
     
  • [50]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2945133
    Dianetti, Jodi, and Ferrari, Giorgio. “NONZERO-SUM SUBMODULAR MONOTONE-FOLLOWER GAMES: EXISTENCE AND APPROXIMATION OF NASH EQUILIBRIA”. SIAM JOURNAL ON CONTROL AND OPTIMIZATION 58.3 (2020): 1257-1288.
    PUB | DOI | WoS
     
  • [49]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2939181
    Ferrari, Giorgio, and Vargiolu, Tiziano. “On the singular control of exchange rates”. Annals of Operations Research 292 (2020): 795-832.
    PUB | DOI | WoS
     
  • [48]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2949212
    Federico, Salvatore, Ferrari, Giorgio, and Schuhmann, Patrick. “A Singular Stochastic Control Problem with Interconnected Dynamics ”. SIAM Journal on Control and Optimization 58.5 (2020): 2821-2853.
    PUB | DOI | WoS
     
  • [47]
    2020 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2949981
    Federico, Salvatore, and Ferrari, Giorgio. “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
    Ferrari, Giorgio, and Rodosthenous, Neofytos. Optimal Control of Debt-To-GDP Ratio in an N-State Regime Switching Economy. Aktual. Version Februar 2019. Bielefeld: Center for Mathematical Economics, 2019. Center for Mathematical Economics Working Papers. 589.
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  • [45]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2939974 OA
    Banas, Lubomir, Ferrari, Giorgio, and Randrianasolo, Tsiry Avisoa. Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information. Bielefeld: Center for Mathematical Economics, 2019. Center for Mathematical Economics Working Papers. 630.
    PUB | PDF
     
  • [44]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2936699 OA
    Dianetti, Jodi, Ferrari, Giorgio, Fischer, Markus, and Nendel, Max. Submodular Mean Field Games. Existence and Approximation of Solutions. Bielefeld: Center for Mathematical Economics, 2019. Center for Mathematical Economics Working Papers. 621.
    PUB | PDF
     
  • [43]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937637 OA
    Federico, Salvatore, Ferrari, Giorgio, and Schuhmann, Patrick. A Model for the Optimal Management of Inflation. Bielefeld: Center for Mathematical Economics, 2019. Center for Mathematical Economics Working Papers. 624.
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  • [42]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932994 OA
    Dianetti, Jodi, and Ferrari, Giorgio. Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria. Bielefeld: Center for Mathematical Economics, 2019. Center for Mathematical Economics Working Papers. 605.
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  • [41]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933360 OA
    Callegaro, Giorgia, Ceci, Claudia, and Ferrari, Giorgio. Optimal Reduction of Public Debt under Partial Observation of the Economic Growth. Bielefeld: Center for Mathematical Economics, 2019. Center for Mathematical Economics Working Papers. 608.
    PUB | PDF
     
  • [40]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935374 OA
    Federico, Salvatore, Ferrari, Giorgio, Riedel, Frank, and Röckner, Michael. On a Class of Infinite-Dimensional Singular Stochastic Control Problems. Bielefeld: Center for Mathematical Economics, 2019. Center for Mathematical Economics Working Papers. 614.
    PUB | PDF
     
  • [39]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936024
    De Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. “A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs”. MATHEMATICS OF OPERATIONS RESEARCH 44.2 (2019): 512-531.
    PUB | DOI | WoS
     
  • [38]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2937742
    Ferrari, Giorgio, and Schuhmann, Patrick. “An Optimal Dividend Problem with Capital Injections over a Finite Horizon”. SIAM Journal on Control and Optimization 57.4 (2019): 2686-2719.
    PUB | DOI | WoS
     
  • [37]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2938385
    Ferrari, Giorgio, and Koch, Torben. “An Optimal Extraction Problem with Price Impact”. APPLIED MATHEMATICS AND OPTIMIZATION (2019).
    PUB | DOI | WoS
     
  • [36]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936634
    Ferrari, Giorgio, and Koch, Torben. “On a strategic model of pollution control”. Annals of Operations Research 275.2 (2019): 297-319.
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  • [35]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2934107
    Ferrari, Giorgio. “On a class of singular stochastic control problems for reflected diffusions”. Journal of Mathematical Analysis and Applications 473.2 (2019): 952-979.
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  • [34]
    2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932622 OA
    Ferrari, Giorgio, and Koch, Torben. An optimal extraction problem with price impact. Bielefeld: Center for Mathematical Economics, 2018. Center for Mathematical Economics Working Papers. 603.
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  • [33]
    2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930440 OA
    Ferrari, Giorgio, and Schuhmann, Patrick. An Optimal Dividend Problem with Capital Injections over a Finite Horizon . Bielefeld: Center for Mathematical Economics, 2018. Center for Mathematical Economics Working Papers. 595.
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  • [32]
    2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2932800
    Ferrari, Giorgio, and Yang, Shuzhen. “On an Optimal Extraction problem with Regime Switching”. Advances in Applied Probability 50.3 (2018): 671-705.
    PUB | DOI | WoS | arXiv
     
  • [31]
    2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2930530
    De Angelis, Tiziano, and Ferrari, Giorgio. “Stochastic nonzero-sum games: a new connection between singular control and optimal stopping ”. Advances in Applied Probability 50.2 (2018): 347-372.
    PUB | DOI | WoS | arXiv
     
  • [30]
    2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2920351
    De Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. “Nash equilibria of threshold type for two-player nonzero-sum games of stopping”. Annals of Applied Probability 28.1 (2018): 112-147.
    PUB | DOI | WoS | arXiv
     
  • [29]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930430 OA
    de Angelis, Tiziano, Ferrari, Giorgio, and Hamadène, Saïd. A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles. Bielefeld: Center for Mathematical Economics, 2017. Center for Mathematical Economics Working Papers. 591.
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  • [28]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930433 OA
    Ferrari, Giorgio. On a Class of Singular Stochastic Control Problems for Reflected Diffusions . Bielefeld: Center for Mathematical Economics, 2017. Center for Mathematical Economics Working Papers. 592.
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  • [27]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930438 OA
    Ferrari, Giorgio, and Vargiolu, Tiziano. On the Singular Control of Exchange Rates . Bielefeld: Center for Mathematical Economics, 2017. Center for Mathematical Economics Working Papers. 594.
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  • [26]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930413 OA
    Ferrari, Giorgio, and Koch, Torben. On a Strategic Model of Pollution Control . Bielefeld: Center for Mathematical Economics, 2017. Center for Mathematical Economics Working Papers. 586.
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  • [25]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2916438
    De Angelis, Tiziano, Federico, Salvatore, and Ferrari, Giorgio. “Optimal Boundary Surface for Irreversible Investment with Stochastic Costs”. Mathematics of Operations Research 42.4 (2017): 1135-1161.
    PUB | DOI | WoS
     
  • [24]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901752
    Angelis, Tiziano De, Ferrari, Giorgio, Martyr, Randall, and Moriarty, John. “Optimal Entry to an Irreversible Investment Plan with Non Convex Costs”. MATHEMATICS AND FINANCIAL ECONOMICS 11.4 (2017): 423-454.
    PUB | DOI | WoS | arXiv
     
  • [23]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901747
    Ferrari, Giorgio, Riedel, Frank, and Steg, Jan-Henrik. “Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control Approach”. Applied Mathematics & Optimization 75.3 (2017): 429-470.
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  • [22]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729 OA
    de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. A solvable two-dimensional singular stochastic control problem with non convex costs. Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 561.
    PUB | PDF
     
  • [21]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904731 OA
    Ferrari, Giorgio, and Yang, Shuzhen. On an optimal extraction problem with regime switching. Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 562.
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  • [20]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904748 OA
    de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. Nash equilibria of threshold type for two-player nonzero-sum games of stopping. Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 563.
    PUB | PDF
     
  • [19]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904750 OA
    Ferrari, Giorgio. Controlling public debt without forgetting Inflation. Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 564.
    PUB | PDF
     
  • [18]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904753 OA
    de Angelis, Tiziano, and Ferrari, Giorgio. Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 565.
    PUB | PDF
     
  • [17]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756 OA
    de Angelis, Tiziano, Ferrari, Giorgio, Martyr, Randall, and Moriarty, John. Optimal entry to an irreversible investment plan with non convex costs . Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 566.
    PUB | PDF
     
  • [16]
    2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2906562
    Ferrari, Giorgio, and Salminen, Paavo. “IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY”. ADVANCES IN APPLIED PROBABILITY 48.1 (2016): 298-314.
    PUB | DOI | WoS
     
  • [15]
    2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940
    De Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. “A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries ”. SIAM Journal on Control and Optimization 53.3 (2015): 1199-1223.
    PUB | DOI | WoS
     
  • [14]
    2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901450 OA
    Ferrari, Giorgio, Riedel, Frank, and Steg, Jan-Henrik. Continuous-Time Public Good Contribution under Uncertainty. Version February 2015. Bielefeld: Center for Mathematical Economics, 2015. Center for Mathematical Economics Working Papers. 485.
    PUB | PDF
     
  • [13]
    2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2782593
    Chiarolla, Maria B., Ferrari, Giorgio, and Stabile, Gabriele. “Optimal dynamic procurement policies for a storable commodity with Levy prices and convex holding costs”. European Journal of Operational Research 247.3 (2015): 847-858.
    PUB | DOI | WoS
     
  • [12]
    2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2718995
    Ferrari, Giorgio. “On an integral equation for the free-boundary of stochastic, irreversible investment problems”. The Annals of Applied Probability 25.1 (2015): 150-176.
    PUB | DOI | WoS
     
  • [11]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528 OA
    de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. A non convex singular stochastic control problem and its related optimal stopping boundaries. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 508.
    PUB | PDF
     
  • [10]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544 OA
    de Angelis, Tiziano, Federico, Salvatore, and Ferrari, Giorgio. On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 509.
    PUB | PDF
     
  • [9]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901685 OA
    Ferrari, Giorgio, and Salminen, Paavo. Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 530.
    PUB | PDF
     
  • [8]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901687 OA
    de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 531.
    PUB | PDF
     
  • [7]
    2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2705522
    De Angelis, Tiziano, and Ferrari, Giorgio. “A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis”. Stochastic Processes and their Applications 124.12 (2014): 4080-4119.
    PUB | DOI | WoS
     
  • [6]
    2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888
    Chiarolla, Maria B., and Ferrari, Giorgio. “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 (2014): 1048-1070.
    PUB | DOI | WoS
     
  • [5]
    2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2693721
    Chiarolla, Maria B., Ferrari, Giorgio, and Riedel, Frank. “Generalized Kuhn--Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources”. SIAM Journal on Control and Optimization 51.5 (2013): 3863-3885.
    PUB | DOI | WoS
     
  • [4]
    2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674083 OA
    de Angelis, Tiziano, and Ferrari, Giorgio. A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis. Bielefeld: Center for Mathematical Economics, 2013. Center for Mathematical Economics Working Papers. 477.
    PUB | PDF
     
  • [3]
    2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674160 OA
    Ferrari, Giorgio, Riedel, Frank, and Steg, Jan-Henrik. Continuous-Time Public Good Contribution under Uncertainty. Bielefeld: Center for Mathematical Economics, 2013. Center for Mathematical Economics Working Papers. 485.
    PUB | PDF
     
  • [2]
    2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674034 OA
    Ferrari, Giorgio. On an integral equation for the free boundary of stochastic, irreversible investment problems. Bielefeld: Center for Mathematical Economics, 2012. Working Papers. Institute of Mathematical Economics. 471.
    PUB | PDF
     
  • [1]
    2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727 OA
    Chiarolla, Maria B., Ferrari, Giorgio, and Riedel, Frank. Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources. Bielefeld: Center for Mathematical Economics, 2012. Working Papers. Institute of Mathematical Economics. 463.
    PUB | PDF
     
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