94 Publikationen

Alle markieren

  • [94]
    2024 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2987947
    Cadenillas, A., Ferrari, G., Schuhmann, P.: 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, F., Ferrari, G.: A Stationary Equilibrium Model of Green Technology Adoption with Endogenous Carbon Price. Center for Mathematical Economics Working Papers, 688. Center for Mathematical Economics, Bielefeld (2024).
    PUB | PDF
     
  • [92]
    2023 | Preprint | Veröffentlicht | PUB-ID: 2987708
    Banas, L., Ferrari, G., Randrianasolo, T.A.: Numerical approximation of Dynkin games with asymmetric information. (2023).
    PUB | DOI
     
  • [91]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2985970 OA
    Ferrari, G., Zhu, S.: On a Merton Problem with Irreversible Healthcare Investment. Center for Mathematical Economics Working Papers, 671, überarbeitete Version. Center for Mathematical Economics, Bielefeld (2023).
    PUB | PDF
     
  • [90]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2985076 OA
    Chen, A., Ferrari, G., Zhu, S.: Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning. Center for Mathematical Economics Working Papers, 684. Center for Mathematical Economics, Bielefeld (2023).
    PUB | PDF
     
  • [89]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2984621 OA
    Ferrari, G., Zhu, S.: Optimal Retirement Choice under Age-dependent Force of Mortality. Center for Mathematical Economics Working Papers, 683. Center for Mathematical Economics, Bielefeld (2023).
    PUB | PDF
     
  • [88]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2983417 OA
    Federico, S., Ferrari, G., Torrente, M.L.: Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost. Center for Mathematical Economics Working Papers, 682. Center for Mathematical Economics, Bielefeld (2023).
    PUB | PDF
     
  • [87]
    2023 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2981371
    Dammann, F., Ferrari, G.: 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, J., Ferrari, G., Tzouanas, I.: Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version). Center for Mathematical Economics Working Papers, 681. Center for Mathematical Economics, Bielefeld (2023).
    PUB | PDF
     
  • [85]
    2023 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2980533
    Dianetti, J., Ferrari, G.: Multidimensional singular control and related Skorokhod problem: Sufficient conditions for the characterization of optimal controls. Stochastic Processes and their Applications. 162, 547-592 (2023).
    PUB | DOI | WoS
     
  • [84]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978796 OA
    Aïd, R., Basei, M., Ferrari, G.: A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy. Center for Mathematical Economics Working Papers, 679. Center for Mathematical Economics, Bielefeld (2023).
    PUB | PDF
     
  • [83]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978674 OA
    Basei, M., Ferrari, G., Rodosthenous, N.: Uncertainty over Uncertainty in Environmental Policy Adoption: Bayesian Learning of Unpredictable Socioeconomic Costs. Center for Mathematical Economics Working Papers, 677. Center for Mathematical Economics, Bielefeld (2023).
    PUB | PDF
     
  • [82]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2967537 OA
    Ferrari, G., Zhu, S.: Consumption Descision, Portfolio Choice and Healthcare Irreversible Investment. Center for Mathematical Economics Working Papers, 671. Center for Mathematical Economics, Bielefeld (2022).
    PUB | PDF
     
  • [81]
    2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2979039
    Ferrari, G., Li, H., Riedel, F.: Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations. Advances in Applied Probability . 54, 1222-1251 (2022).
    PUB | DOI | WoS
     
  • [80]
    2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2978299
    Dianetti, J., Ferrari, G., Fischer, M., Nendel, M.: 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, S., Ferrari, G., Torrente, M.-L.: 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, H., Dianetti, J., Ferrari, G.: 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, G., Schuhmann, P., Zhu, S.: Optimal dividends under Markov-modulated bankruptcy level. Insurance: Mathematics and Economics. 106, 146-172 (2022).
    PUB | DOI | WoS
     
  • [76]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2963714 OA
    Federico, S., Ferrari, G., Torrente, M.-L.: Optimal Vaccination in a SIRS Epidemic Model. Center for Mathematical Economics Working Papers, 667. Center for Mathematical Economics, Bielefeld (2022).
    PUB | PDF
     
  • [75]
    2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2962706
    Calvia, A., Ferrari, G.: Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control. Applied Mathematics and Optimization . 85, : 12 (2022).
    PUB | DOI | WoS
     
  • [74]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2961488 OA
    Dammann, F., Ferrari, G.: Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return. Center for Mathematical Economics Working Papers, 663. Center for Mathematical Economics, Bielefeld (2022).
    PUB | PDF
     
  • [73]
    2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2961096
    Bandini, E., De Angelis, T., Ferrari, G., Gozzi, F.: Optimal dividend payout under stochastic discounting. Mathematical Finance . (2022).
    PUB | DOI | WoS
     
  • [72]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2960759 OA
    Dianetti, J., Ferrari, G., Fischer, M., Nendel, M.: A Unifying Framework for Submodular Mean Field Games. Center for Mathematical Economics Working Papers, 661. Center for Mathematical Economics, Bielefeld (2022).
    PUB | PDF
     
  • [71]
    2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2958433
    Ferrari, G., Li, H., Riedel, F.: A Knightian irreversible investment problem. Journal of Mathematical Analysis and Applications. 507, : 125744 (2022).
    PUB | DOI | WoS
     
  • [70]
    2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2960414
    Dianetti, J., Ferrari, G., Fischer, M., Nendel, M.: Submodular mean field games: Existence and approximation of solutions. Annals of Applied Probability. 31, 2538-2566 (2021).
    PUB | DOI | WoS
     
  • [69]
    2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2960182
    Dammann, F., Ferrari, G.: On an irreversible investment problem with two-factor uncertainty. Quantitative Finance. (2021).
    PUB | DOI | WoS
     
  • [68]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2955492 OA
    Calvia, A., Ferrari, G.: Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control. Center for Mathematical Economics Working Papers, 651. Center for Mathematical Economics, Bielefeld (2021).
    PUB | PDF
     
  • [67]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2955165 OA
    Cao, H., Dianetti, J., Ferrari, G.: Stationary Discounted and Ergodic Mean Field Games of Singular Control. Center for Mathematical Economics Working Papers, 650. Center for Mathematical Economics, Bielefeld (2021).
    PUB | PDF
     
  • [66]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952857 OA
    Dianetti, J., Ferrari, G.: Multidimensional Singular Control and Related Skorokhod Problem: Suficient Conditions for the Characterization of Optimal Controls. Center for Mathematical Economics Working Papers, 645. Center for Mathematical Economics, Bielefeld (2021).
    PUB | PDF
     
  • [65]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952860 OA
    Dammann, F., Ferrari, G.: On an Irreversible Investment Problem with Two-Factor Uncertainty. Center for Mathematical Economics Working Papers, 646. Center for Mathematical Economics, Bielefeld (2021).
    PUB | PDF
     
  • [64]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2959047 OA
    Ferrari, G., Schuhmann, P., Zhu, S.: Optimal Dividends under Markov-Modulated Bankruptcy Level. Center for Mathematical Economics Working Papers, 657. Center for Mathematical Economics, Bielefeld (2021).
    PUB | PDF
     
  • [63]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952182 OA
    Federico, S., Ferrari, G., Rodosthenous, N.: Two-Sided Singular Control of an Inventory with Unknown Demand Trend. Center for Mathematical Economics Working Papers, 643. Center for Mathematical Economics, Bielefeld (2021).
    PUB | PDF
     
  • [62]
    2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2959491
    Falbo, P., Ferrari, G., Rizzini, G., Schmeck, M.D.: 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, L., Ferrari, G., Randrianasolo, T.A.: 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, S., Ferrari, G., Riedel, F., Röckner, M.: On a Class of Infinite-Dimensional Singular Stochastic Control Problems . SIAM Journal on Control and Optimization. 59, 1680-1704 (2021).
    PUB | DOI | WoS
     
  • [59]
    2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2955114
    Federico, S., Ferrari, G., Schuhmann, P.: 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, G., Ceci, C., Ferrari, G.: Optimal reduction of public debt under partial observation of the economic growth. Finance and stochastics. 24, 1083-1132 (2020).
    PUB | PDF | DOI | WoS
     
  • [57]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943684 OA
    Bandini, E., de Angelis, T., Ferrari, G., Gozzi, F.: Optimal Dividend Payout under Stochastic Discounting. Center for Mathematical Economics Working Papers, 636. Center for Mathematical Economics, Bielefeld (2020).
    PUB | PDF
     
  • [56]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943686 OA
    Federico, S., Ferrari, G., Schuhmann, P.: Singular Control of the Drift of a Brownian System. Center for Mathematical Economics Working Papers, 637. Center for Mathematical Economics, Bielefeld (2020).
    PUB | PDF
     
  • [55]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945084 OA
    Federico, S., Ferrari, G.: Taming the Spread of an Epidemic by Lockdown Policies. Center for Mathematical Economics Working Papers, 639. Center for Mathematical Economics, Bielefeld (2020).
    PUB | PDF
     
  • [54]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2942252 OA
    Ferrari, G., Li, H., Riedel, F.: A Knightian Irreversible Investment Problem. Center for Mathematical Economics Working Papers, 634. Center for Mathematical Economics, Bielefeld (2020).
    PUB | PDF
     
  • [53]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2949956 OA
    Falbo, P., Ferrari, G., Rizzini, G., Schmeck, M.D.: Optimal Switch from a Fossil-Fueled to an Electric Vehicle. Center for Mathematical Economics Working Papers, 642. Center for Mathematical Economics, Bielefeld (2020).
    PUB | PDF
     
  • [52]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2948952 OA
    Ferrari, G., Li, H., Riedel, F.: Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty. Center for Mathematical Economics Working Papers, 641. Center for Mathematical Economics, Bielefeld (2020).
    PUB | PDF
     
  • [51]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2944790
    Ferrari, G., Rodosthenous, N.: OPTIMAL CONTROL OF DEBT-TO-GDP RATIO IN AN N-STATE REGIME SWITCHING ECONOMY. SIAM JOURNAL ON CONTROL AND OPTIMIZATION. 58, 755-786 (2020).
    PUB | DOI | WoS
     
  • [50]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2945133
    Dianetti, J., Ferrari, G.: NONZERO-SUM SUBMODULAR MONOTONE-FOLLOWER GAMES: EXISTENCE AND APPROXIMATION OF NASH EQUILIBRIA. SIAM JOURNAL ON CONTROL AND OPTIMIZATION. 58, 1257-1288 (2020).
    PUB | DOI | WoS
     
  • [49]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2939181
    Ferrari, G., Vargiolu, T.: On the singular control of exchange rates. Annals of Operations Research. 292, 795-832 (2020).
    PUB | DOI | WoS
     
  • [48]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2949212
    Federico, S., Ferrari, G., Schuhmann, P.: A Singular Stochastic Control Problem with Interconnected Dynamics . SIAM Journal on Control and Optimization. 58, 2821-2853 (2020).
    PUB | DOI | WoS
     
  • [47]
    2020 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2949981
    Federico, S., Ferrari, G.: 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, G., Rodosthenous, N.: 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. Center for Mathematical Economics, Bielefeld (2019).
    PUB | PDF
     
  • [45]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2939974 OA
    Banas, L., Ferrari, G., Randrianasolo, T.A.: Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information. Center for Mathematical Economics Working Papers, 630. Center for Mathematical Economics, Bielefeld (2019).
    PUB | PDF
     
  • [44]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2936699 OA
    Dianetti, J., Ferrari, G., Fischer, M., Nendel, M.: Submodular Mean Field Games. Existence and Approximation of Solutions. Center for Mathematical Economics Working Papers, 621. Center for Mathematical Economics, Bielefeld (2019).
    PUB | PDF
     
  • [43]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937637 OA
    Federico, S., Ferrari, G., Schuhmann, P.: A Model for the Optimal Management of Inflation. Center for Mathematical Economics Working Papers, 624. Center for Mathematical Economics, Bielefeld (2019).
    PUB | PDF
     
  • [42]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932994 OA
    Dianetti, J., Ferrari, G.: Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria. Center for Mathematical Economics Working Papers, 605. Center for Mathematical Economics, Bielefeld (2019).
    PUB | PDF
     
  • [41]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933360 OA
    Callegaro, G., Ceci, C., Ferrari, G.: Optimal Reduction of Public Debt under Partial Observation of the Economic Growth. Center for Mathematical Economics Working Papers, 608. Center for Mathematical Economics, Bielefeld (2019).
    PUB | PDF
     
  • [40]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935374 OA
    Federico, S., Ferrari, G., Riedel, F., Röckner, M.: On a Class of Infinite-Dimensional Singular Stochastic Control Problems. Center for Mathematical Economics Working Papers, 614. Center for Mathematical Economics, Bielefeld (2019).
    PUB | PDF
     
  • [39]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936024
    De Angelis, T., Ferrari, G., Moriarty, J.: A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs. MATHEMATICS OF OPERATIONS RESEARCH. 44, 512-531 (2019).
    PUB | DOI | WoS
     
  • [38]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2937742
    Ferrari, G., Schuhmann, P.: An Optimal Dividend Problem with Capital Injections over a Finite Horizon. SIAM Journal on Control and Optimization. 57, 2686-2719 (2019).
    PUB | DOI | WoS
     
  • [37]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2938385
    Ferrari, G., Koch, T.: An Optimal Extraction Problem with Price Impact. APPLIED MATHEMATICS AND OPTIMIZATION. (2019).
    PUB | DOI | WoS
     
  • [36]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936634
    Ferrari, G., Koch, T.: On a strategic model of pollution control. Annals of Operations Research. 275, 297-319 (2019).
    PUB | DOI | WoS
     
  • [35]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2934107
    Ferrari, G.: On a class of singular stochastic control problems for reflected diffusions. Journal of Mathematical Analysis and Applications. 473, 952-979 (2019).
    PUB | DOI | WoS
     
  • [34]
    2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932622 OA
    Ferrari, G., Koch, T.: An optimal extraction problem with price impact. Center for Mathematical Economics Working Papers, 603. Center for Mathematical Economics, Bielefeld (2018).
    PUB | PDF
     
  • [33]
    2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930440 OA
    Ferrari, G., Schuhmann, P.: An Optimal Dividend Problem with Capital Injections over a Finite Horizon . Center for Mathematical Economics Working Papers, 595. Center for Mathematical Economics, Bielefeld (2018).
    PUB | PDF
     
  • [32]
    2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2932800
    Ferrari, G., Yang, S.: On an Optimal Extraction problem with Regime Switching. Advances in Applied Probability. 50, 671-705 (2018).
    PUB | DOI | WoS | arXiv
     
  • [31]
    2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2930530
    De Angelis, T., Ferrari, G.: Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Advances in Applied Probability. 50, 347-372 (2018).
    PUB | DOI | WoS | arXiv
     
  • [30]
    2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2920351
    De Angelis, T., Ferrari, G., Moriarty, J.: Nash equilibria of threshold type for two-player nonzero-sum games of stopping. Annals of Applied Probability. 28, 112-147 (2018).
    PUB | DOI | WoS | arXiv
     
  • [29]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930430 OA
    de Angelis, T., Ferrari, G., Hamadène, S.: A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles. Center for Mathematical Economics Working Papers, 591. Center for Mathematical Economics, Bielefeld (2017).
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  • [28]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930433 OA
    Ferrari, G.: On a Class of Singular Stochastic Control Problems for Reflected Diffusions . Center for Mathematical Economics Working Papers, 592. Center for Mathematical Economics, Bielefeld (2017).
    PUB | PDF
     
  • [27]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930438 OA
    Ferrari, G., Vargiolu, T.: On the Singular Control of Exchange Rates . Center for Mathematical Economics Working Papers, 594. Center for Mathematical Economics, Bielefeld (2017).
    PUB | PDF
     
  • [26]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930413 OA
    Ferrari, G., Koch, T.: On a Strategic Model of Pollution Control . Center for Mathematical Economics Working Papers, 586. Center for Mathematical Economics, Bielefeld (2017).
    PUB | PDF
     
  • [25]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2916438
    De Angelis, T., Federico, S., Ferrari, G.: Optimal Boundary Surface for Irreversible Investment with Stochastic Costs. Mathematics of Operations Research. 42, 1135-1161 (2017).
    PUB | DOI | WoS
     
  • [24]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901752
    Angelis, T.D., Ferrari, G., Martyr, R., Moriarty, J.: Optimal Entry to an Irreversible Investment Plan with Non Convex Costs. MATHEMATICS AND FINANCIAL ECONOMICS. 11, 423-454 (2017).
    PUB | DOI | WoS | arXiv
     
  • [23]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901747
    Ferrari, G., Riedel, F., Steg, J.-H.: Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control Approach. Applied Mathematics & Optimization. 75, 429-470 (2017).
    PUB | DOI | WoS
     
  • [22]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729 OA
    de Angelis, T., Ferrari, G., Moriarty, J.: A solvable two-dimensional singular stochastic control problem with non convex costs. Center for Mathematical Economics Working Papers, 561. Center for Mathematical Economics, Bielefeld (2016).
    PUB | PDF
     
  • [21]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904731 OA
    Ferrari, G., Yang, S.: On an optimal extraction problem with regime switching. Center for Mathematical Economics Working Papers, 562. Center for Mathematical Economics, Bielefeld (2016).
    PUB | PDF
     
  • [20]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904748 OA
    de Angelis, T., Ferrari, G., Moriarty, J.: Nash equilibria of threshold type for two-player nonzero-sum games of stopping. Center for Mathematical Economics Working Papers, 563. Center for Mathematical Economics, Bielefeld (2016).
    PUB | PDF
     
  • [19]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904750 OA
    Ferrari, G.: Controlling public debt without forgetting Inflation. Center for Mathematical Economics Working Papers, 564. Center for Mathematical Economics, Bielefeld (2016).
    PUB | PDF
     
  • [18]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904753 OA
    de Angelis, T., Ferrari, G.: Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Center for Mathematical Economics Working Papers, 565. Center for Mathematical Economics, Bielefeld (2016).
    PUB | PDF
     
  • [17]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756 OA
    de Angelis, T., Ferrari, G., Martyr, R., Moriarty, J.: Optimal entry to an irreversible investment plan with non convex costs . Center for Mathematical Economics Working Papers, 566. Center for Mathematical Economics, Bielefeld (2016).
    PUB | PDF
     
  • [16]
    2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2906562
    Ferrari, G., Salminen, P.: IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY. ADVANCES IN APPLIED PROBABILITY. 48, 298-314 (2016).
    PUB | DOI | WoS
     
  • [15]
    2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940
    De Angelis, T., Ferrari, G., Moriarty, J.: A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries . SIAM Journal on Control and Optimization. 53, 1199-1223 (2015).
    PUB | DOI | WoS
     
  • [14]
    2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901450 OA
    Ferrari, G., Riedel, F., Steg, J.-H.: Continuous-Time Public Good Contribution under Uncertainty. Center for Mathematical Economics Working Papers, 485, Version February 2015. Center for Mathematical Economics, Bielefeld (2015).
    PUB | PDF
     
  • [13]
    2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2782593
    Chiarolla, M.B., Ferrari, G., Stabile, G.: Optimal dynamic procurement policies for a storable commodity with Levy prices and convex holding costs. European Journal of Operational Research. 247, 847-858 (2015).
    PUB | DOI | WoS
     
  • [12]
    2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2718995
    Ferrari, G.: On an integral equation for the free-boundary of stochastic, irreversible investment problems. The Annals of Applied Probability. 25, 150-176 (2015).
    PUB | DOI | WoS
     
  • [11]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528 OA
    de Angelis, T., Ferrari, G., Moriarty, J.: A non convex singular stochastic control problem and its related optimal stopping boundaries. Center for Mathematical Economics Working Papers, 508. Center for Mathematical Economics, Bielefeld (2014).
    PUB | PDF
     
  • [10]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544 OA
    de Angelis, T., Federico, S., Ferrari, G.: On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment. Center for Mathematical Economics Working Papers, 509. Center for Mathematical Economics, Bielefeld (2014).
    PUB | PDF
     
  • [9]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901685 OA
    Ferrari, G., Salminen, P.: Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary. Center for Mathematical Economics Working Papers, 530. Center for Mathematical Economics, Bielefeld (2014).
    PUB | PDF
     
  • [8]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901687 OA
    de Angelis, T., Ferrari, G., Moriarty, J.: A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. Center for Mathematical Economics Working Papers, 531. Center for Mathematical Economics, Bielefeld (2014).
    PUB | PDF
     
  • [7]
    2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2705522
    De Angelis, T., Ferrari, G.: A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis. Stochastic Processes and their Applications. 124, 4080-4119 (2014).
    PUB | DOI | WoS
     
  • [6]
    2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888
    Chiarolla, M.B., Ferrari, G.: 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 (2014).
    PUB | DOI | WoS
     
  • [5]
    2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2693721
    Chiarolla, M.B., Ferrari, G., Riedel, F.: Generalized Kuhn--Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources. SIAM Journal on Control and Optimization. 51, 3863-3885 (2013).
    PUB | DOI | WoS
     
  • [4]
    2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674083 OA
    de Angelis, T., Ferrari, G.: A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis. Center for Mathematical Economics Working Papers, 477. Center for Mathematical Economics, Bielefeld (2013).
    PUB | PDF
     
  • [3]
    2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674160 OA
    Ferrari, G., Riedel, F., Steg, J.-H.: Continuous-Time Public Good Contribution under Uncertainty. Center for Mathematical Economics Working Papers, 485. Center for Mathematical Economics, Bielefeld (2013).
    PUB | PDF
     
  • [2]
    2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674034 OA
    Ferrari, G.: On an integral equation for the free boundary of stochastic, irreversible investment problems. Working Papers. Institute of Mathematical Economics, 471. Center for Mathematical Economics, Bielefeld (2012).
    PUB | PDF
     
  • [1]
    2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727 OA
    Chiarolla, M.B., Ferrari, G., Riedel, F.: Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources. Working Papers. Institute of Mathematical Economics, 463. Center for Mathematical Economics, Bielefeld (2012).
    PUB | PDF
     

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