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. Vol 688. Bielefeld: Center for Mathematical Economics; 2024.
    PUB | PDF
     
  • [92]
    2023 | Preprint | Veröffentlicht | PUB-ID: 2987708
    Banas L, Ferrari G, Randrianasolo TA. 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. Vol 671 überarbeitete Version. Bielefeld: Center for Mathematical Economics; 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. Vol 684. Bielefeld: Center for Mathematical Economics; 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. Vol 683. Bielefeld: Center for Mathematical Economics; 2023.
    PUB | PDF
     
  • [88]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2983417 OA
    Federico S, Ferrari G, Torrente ML. Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost. Center for Mathematical Economics Working Papers. Vol 682. Bielefeld: Center for Mathematical Economics; 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. Vol 681. Bielefeld: Center for Mathematical Economics; 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. 2023;162:547-592.
    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. Vol 679. Bielefeld: Center for Mathematical Economics; 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. Vol 677. Bielefeld: Center for Mathematical Economics; 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. Vol 671. Bielefeld: Center for Mathematical Economics; 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 . 2022;54(4):1222-1251.
    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. 2022;106:146-172.
    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. Vol 667. Bielefeld: Center for Mathematical Economics; 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 . 2022;85(2): 12.
    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. Vol 663. Bielefeld: Center for Mathematical Economics; 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. Vol 661. Bielefeld: Center for Mathematical Economics; 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. 2022;507(1): 125744.
    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. 2021;31(6):2538-2566.
    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. Vol 651. Bielefeld: Center for Mathematical Economics; 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. Vol 650. Bielefeld: Center for Mathematical Economics; 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. Vol 645. Bielefeld: Center for Mathematical Economics; 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. Vol 646. Bielefeld: Center for Mathematical Economics; 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. Vol 657. Bielefeld: Center for Mathematical Economics; 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. Vol 643. Bielefeld: Center for Mathematical Economics; 2021.
    PUB | PDF
     
  • [62]
    2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2959491
    Falbo P, Ferrari G, Rizzini G, Schmeck MD. 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 TA. 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. 2021;59(2):1680-1704.
    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. 2020;24(4):1083-1132.
    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. Vol 636. Bielefeld: Center for Mathematical Economics; 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. Vol 637. Bielefeld: Center for Mathematical Economics; 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. Vol 639. Bielefeld: Center for Mathematical Economics; 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. Vol 634. Bielefeld: Center for Mathematical Economics; 2020.
    PUB | PDF
     
  • [53]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2949956 OA
    Falbo P, Ferrari G, Rizzini G, Schmeck MD. Optimal Switch from a Fossil-Fueled to an Electric Vehicle. Center for Mathematical Economics Working Papers. Vol 642. Bielefeld: Center for Mathematical Economics; 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. Vol 641. Bielefeld: Center for Mathematical Economics; 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. 2020;58(2):755-786.
    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. 2020;58(3):1257-1288.
    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. 2020;292:795-832.
    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. 2020;58(5):2821-2853.
    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. Vol 589 Aktual. Version Februar 2019. Bielefeld: Center for Mathematical Economics; 2019.
    PUB | PDF
     
  • [45]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2939974 OA
    Banas L, Ferrari G, Randrianasolo TA. Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information. Center for Mathematical Economics Working Papers. Vol 630. Bielefeld: Center for Mathematical Economics; 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. Vol 621. Bielefeld: Center for Mathematical Economics; 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. Vol 624. Bielefeld: Center for Mathematical Economics; 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. Vol 605. Bielefeld: Center for Mathematical Economics; 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. Vol 608. Bielefeld: Center for Mathematical Economics; 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. Vol 614. Bielefeld: Center for Mathematical Economics; 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. 2019;44(2):512-531.
    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. 2019;57(4):2686-2719.
    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. 2019;275(2):297-319.
    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. 2019;473(2):952-979.
    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. Vol 603. Bielefeld: Center for Mathematical Economics; 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. Vol 595. Bielefeld: Center for Mathematical Economics; 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. 2018;50(3):671-705.
    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. 2018;50(2):347-372.
    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. 2018;28(1):112-147.
    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. Vol 591. Bielefeld: Center for Mathematical Economics; 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. Vol 592. Bielefeld: Center for Mathematical Economics; 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. Vol 594. Bielefeld: Center for Mathematical Economics; 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. Vol 586. Bielefeld: Center for Mathematical Economics; 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. 2017;42(4):1135-1161.
    PUB | DOI | WoS
     
  • [24]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901752
    Angelis TD, Ferrari G, Martyr R, Moriarty J. Optimal Entry to an Irreversible Investment Plan with Non Convex Costs. MATHEMATICS AND FINANCIAL ECONOMICS. 2017;11(4):423-454.
    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. 2017;75(3):429-470.
    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. Vol 561. Bielefeld: Center for Mathematical Economics; 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. Vol 562. Bielefeld: Center for Mathematical Economics; 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. Vol 563. Bielefeld: Center for Mathematical Economics; 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. Vol 564. Bielefeld: Center for Mathematical Economics; 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. Vol 565. Bielefeld: Center for Mathematical Economics; 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. Vol 566. Bielefeld: Center for Mathematical Economics; 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. 2016;48(1):298-314.
    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. 2015;53(3):1199-1223.
    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. Vol 485 Version February 2015. Bielefeld: Center for Mathematical Economics; 2015.
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  • [13]
    2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2782593
    Chiarolla MB, Ferrari G, Stabile G. Optimal dynamic procurement policies for a storable commodity with Levy prices and convex holding costs. European Journal of Operational Research. 2015;247(3):847-858.
    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. 2015;25(1):150-176.
    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. Vol 508. Bielefeld: Center for Mathematical Economics; 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. Vol 509. Bielefeld: Center for Mathematical Economics; 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. Vol 530. Bielefeld: Center for Mathematical Economics; 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. Vol 531. Bielefeld: Center for Mathematical Economics; 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. 2014;124(12):4080-4119.
    PUB | DOI | WoS
     
  • [6]
    2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888
    Chiarolla MB, 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. 2014;52(2):1048-1070.
    PUB | DOI | WoS
     
  • [5]
    2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2693721
    Chiarolla MB, Ferrari G, Riedel F. Generalized Kuhn--Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources. SIAM Journal on Control and Optimization. 2013;51(5):3863-3885.
    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. Vol 477. Bielefeld: Center for Mathematical Economics; 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. Vol 485. Bielefeld: Center for Mathematical Economics; 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. Vol 471. Bielefeld: Center for Mathematical Economics; 2012.
    PUB | PDF
     
  • [1]
    2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727 OA
    Chiarolla MB, Ferrari G, Riedel F. Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources. Working Papers. Institute of Mathematical Economics. Vol 463. Bielefeld: Center for Mathematical Economics; 2012.
    PUB | PDF
     

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