94 Publikationen

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

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