PUB - Publikationen an der Universität Bielefeld

Alle markieren

• [95]
  

  2024 | Diskussionspapier | Veröffentlicht | PUB-ID: 2988384

  Calvia, A., Federico, S., Ferrari, G., and Gozzi, F. (2024). A Mean-Field Model of Optimal Investment. Center for Mathematical Economics Working Papers, 690, Bielefeld: Center for Mathematical Economics.

  PUB | PDF
   
• [94]
  

  2024 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2987947

  Cadenillas, A., Ferrari, G., and 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

  Dammann, F., and 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., and Randrianasolo, T. A. (2023). Numerical approximation of Dynkin games with asymmetric information.

  PUB | DOI
   
• [91]
  

  2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2985970

  Ferrari, G., and 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

  Chen, A., Ferrari, G., and 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

  Ferrari, G., and 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

  Federico, S., Ferrari, G., and Torrente, M. L. (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., and 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

  Dianetti, J., Ferrari, G., and 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., and 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

  Aïd, R., Basei, M., and 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

  Basei, M., Ferrari, G., and 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

  Ferrari, G., and 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., and Riedel, F. (2022). Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations. Advances in Applied Probability 54, 1222-1251.

  PUB | DOI | WoS
   
• [80]
  

  2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2978299

  Dianetti, J., Ferrari, G., Fischer, M., and 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., and 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., and 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., and 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

  Federico, S., Ferrari, G., and 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., and Ferrari, G. (2022). Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control. Applied Mathematics and Optimization 85:12.

  PUB | DOI | WoS
   
• [74]
  

  2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2961488

  Dammann, F., and 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., and Gozzi, F. (2022). Optimal dividend payout under stochastic discounting. Mathematical Finance .

  PUB | DOI | WoS
   
• [72]
  

  2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2960759

  Dianetti, J., Ferrari, G., Fischer, M., and 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., and Riedel, F. (2022). A Knightian irreversible investment problem. Journal of Mathematical Analysis and Applications 507:125744.

  PUB | DOI | WoS
   
• [70]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2960414

  Dianetti, J., Ferrari, G., Fischer, M., and Nendel, M. (2021). Submodular mean field games: Existence and approximation of solutions. Annals of Applied Probability 31, 2538-2566.

  PUB | DOI | WoS
   
• [69]
  

  2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2960182

  Dammann, F., and Ferrari, G. (2021). On an irreversible investment problem with two-factor uncertainty. Quantitative Finance.

  PUB | DOI | WoS
   
• [68]
  

  2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2955492

  Calvia, A., and 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

  Cao, H., Dianetti, J., and 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

  Dianetti, J., and 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

  Dammann, F., and 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

  Ferrari, G., Schuhmann, P., and 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

  Federico, S., Ferrari, G., and 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., and Schmeck, M. D. (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., and Randrianasolo, T. A. (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., and Röckner, M. (2021). On a Class of Infinite-Dimensional Singular Stochastic Control Problems . SIAM Journal on Control and Optimization 59, 1680-1704.

  PUB | DOI | WoS
   
• [59]
  

  2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2955114

  Federico, S., Ferrari, G., and 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

  Callegaro, G., Ceci, C., and Ferrari, G. (2020). Optimal reduction of public debt under partial observation of the economic growth. Finance and stochastics 24, 1083-1132.

  PUB | PDF | DOI | WoS
   
• [57]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943684

  Bandini, E., de Angelis, T., Ferrari, G., and 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

  Federico, S., Ferrari, G., and 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

  Federico, S., and 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

  Ferrari, G., Li, H., and 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

  Falbo, P., Ferrari, G., Rizzini, G., and Schmeck, M. D. (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

  Ferrari, G., Li, H., and 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., and Rodosthenous, N. (2020). OPTIMAL CONTROL OF DEBT-TO-GDP RATIO IN AN N-STATE REGIME SWITCHING ECONOMY. SIAM JOURNAL ON CONTROL AND OPTIMIZATION 58, 755-786.

  PUB | DOI | WoS
   
• [50]
  

  2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2945133

  Dianetti, J., and Ferrari, G. (2020). NONZERO-SUM SUBMODULAR MONOTONE-FOLLOWER GAMES: EXISTENCE AND APPROXIMATION OF NASH EQUILIBRIA. SIAM JOURNAL ON CONTROL AND OPTIMIZATION 58, 1257-1288.

  PUB | DOI | WoS
   
• [49]
  

  2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2939181

  Ferrari, G., and 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., and Schuhmann, P. (2020). A Singular Stochastic Control Problem with Interconnected Dynamics . SIAM Journal on Control and Optimization 58, 2821-2853.

  PUB | DOI | WoS
   
• [47]
  

  2020 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2949981

  Federico, S., and 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

  Ferrari, G., and 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

  Banas, L., Ferrari, G., and Randrianasolo, T. A. (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

  Dianetti, J., Ferrari, G., Fischer, M., and 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

  Federico, S., Ferrari, G., and 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

  Dianetti, J., and 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

  Callegaro, G., Ceci, C., and 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

  Federico, S., Ferrari, G., Riedel, F., and 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., and Moriarty, J. (2019). A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs. MATHEMATICS OF OPERATIONS RESEARCH 44, 512-531.

  PUB | DOI | WoS
   
• [38]
  

  2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2937742

  Ferrari, G., and Schuhmann, P. (2019). An Optimal Dividend Problem with Capital Injections over a Finite Horizon. SIAM Journal on Control and Optimization 57, 2686-2719.

  PUB | DOI | WoS
   
• [37]
  

  2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2938385

  Ferrari, G., and 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., and Koch, T. (2019). On a strategic model of pollution control. Annals of Operations Research 275, 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, 952-979.

  PUB | DOI | WoS
   
• [34]
  

  2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932622

  Ferrari, G., and 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

  Ferrari, G., and 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., and Yang, S. (2018). On an Optimal Extraction problem with Regime Switching. Advances in Applied Probability 50, 671-705.

  PUB | DOI | WoS | arXiv
   
• [31]
  

  2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2930530

  De Angelis, T., and Ferrari, G. (2018). Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Advances in Applied Probability 50, 347-372.

  PUB | DOI | WoS | arXiv
   
• [30]
  

  2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2920351

  De Angelis, T., Ferrari, G., and Moriarty, J. (2018). Nash equilibria of threshold type for two-player nonzero-sum games of stopping. Annals of Applied Probability 28, 112-147.

  PUB | DOI | WoS | arXiv
   
• [29]
  

  2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930430

  de Angelis, T., Ferrari, G., and 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

  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

  Ferrari, G., and 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

  Ferrari, G., and 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., and Ferrari, G. (2017). Optimal Boundary Surface for Irreversible Investment with Stochastic Costs. Mathematics of Operations Research 42, 1135-1161.

  PUB | DOI | WoS
   
• [24]
  

  2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901752

  Angelis, T. D., Ferrari, G., Martyr, R., and Moriarty, J. (2017). Optimal Entry to an Irreversible Investment Plan with Non Convex Costs. MATHEMATICS AND FINANCIAL ECONOMICS 11, 423-454.

  PUB | DOI | WoS | arXiv
   
• [23]
  

  2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901747

  Ferrari, G., Riedel, F., and Steg, J. - H. (2017). Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control Approach. Applied Mathematics & Optimization 75, 429-470.

  PUB | DOI | WoS
   
• [22]
  

  2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729

  de Angelis, T., Ferrari, G., and 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

  Ferrari, G., and 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

  de Angelis, T., Ferrari, G., and 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

  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

  de Angelis, T., and 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

  de Angelis, T., Ferrari, G., Martyr, R., and 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., and Salminen, P. (2016). IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY. ADVANCES IN APPLIED PROBABILITY 48, 298-314.

  PUB | DOI | WoS
   
• [15]
  

  2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940

  De Angelis, T., Ferrari, G., and Moriarty, J. (2015). A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries . SIAM Journal on Control and Optimization 53, 1199-1223.

  PUB | DOI | WoS
   
• [14]
  

  2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901450

  Ferrari, G., Riedel, F., and 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, M. B., Ferrari, G., and Stabile, G. (2015). Optimal dynamic procurement policies for a storable commodity with Levy prices and convex holding costs. European Journal of Operational Research 247, 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, 150-176.

  PUB | DOI | WoS
   
• [11]
  

  2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528

  de Angelis, T., Ferrari, G., and 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

  de Angelis, T., Federico, S., and 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

  Ferrari, G., and 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

  de Angelis, T., Ferrari, G., and 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., and Ferrari, G. (2014). A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis. Stochastic Processes and their Applications 124, 4080-4119.

  PUB | DOI | WoS
   
• [6]
  

  2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888

  Chiarolla, M. B., and 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, 1048-1070.

  PUB | DOI | WoS
   
• [5]
  

  2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2693721

  Chiarolla, M. B., Ferrari, G., and Riedel, F. (2013). Generalized Kuhn--Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources. SIAM Journal on Control and Optimization 51, 3863-3885.

  PUB | DOI | WoS
   
• [4]
  

  2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674083

  de Angelis, T., and 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

  Ferrari, G., Riedel, F., and 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

  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

  Chiarolla, M. B., Ferrari, G., and 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