94 Publikationen
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2024 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2987947Cadenillas, A., Ferrari, G., & Schuhmann, P. (2024). Optimal production management when there is regime switching and production constraints. Annals of Operations Research. https://doi.org/10.1007/s10479-024-05892-yPUB | DOI | WoS
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2023 | Preprint | Veröffentlicht | PUB-ID: 2987708Banas, L., Ferrari, G., & Randrianasolo, T. A. (2023). Numerical approximation of Dynkin games with asymmetric information. https://doi.org/10.48550/ARXIV.2312.01847PUB | DOI
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2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2985076Chen, A., Ferrari, G., & 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
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2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2983417Federico, 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, 682). Bielefeld: Center for Mathematical Economics.PUB | PDF
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2023 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2981371Dammann, F., & Ferrari, G. (2023). Optimal execution with multiplicative price impact and incomplete information on the return. Finance and Stochastics . https://doi.org/10.1007/s00780-023-00508-yPUB | DOI | WoS
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2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2981284Dianetti, J., Ferrari, G., & 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
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2023 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2980533Dianetti, 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, 547-592. https://doi.org/10.1016/j.spa.2023.05.006PUB | DOI | WoS
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2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978796Aïd, 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, 679). Bielefeld: Center for Mathematical Economics.PUB | PDF
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2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978674Basei, 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, 677). Bielefeld: Center for Mathematical Economics.PUB | PDF
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2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2979039Ferrari, G., Li, H., & Riedel, F. (2022). Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations. Advances in Applied Probability , 54(4), 1222-1251. https://doi.org/10.1017/apr.2022.5PUB | DOI | WoS
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2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2978299Dianetti, J., Ferrari, G., Fischer, M., & Nendel, M. (2022). A Unifying Framework for Submodular Mean Field Games. Mathematics of Operations Research . https://doi.org/10.1287/moor.2022.1316PUB | DOI | WoS
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2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2968012Federico, S., Ferrari, G., & Torrente, M. - L. (2022). Optimal vaccination in a SIRS epidemic model. Economic Theory . https://doi.org/10.1007/s00199-022-01475-9PUB | DOI | WoS | PubMed | Europe PMC
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2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2967384Cao, H., Dianetti, J., & Ferrari, G. (2022). Stationary Discounted and Ergodic Mean Field Games with Singular Controls. Mathematics of Operations Research. https://doi.org/10.1287/moor.2022.1323PUB | DOI | WoS
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2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2964637Ferrari, G., Schuhmann, P., & Zhu, S. (2022). Optimal dividends under Markov-modulated bankruptcy level. Insurance: Mathematics and Economics, 106, 146-172. https://doi.org/10.1016/j.insmatheco.2022.06.005PUB | DOI | WoS
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2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2962706Calvia, A., & Ferrari, G. (2022). Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control. Applied Mathematics and Optimization , 85(2), 12. https://doi.org/10.1007/s00245-022-09822-xPUB | DOI | WoS
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2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2961096Bandini, E., De Angelis, T., Ferrari, G., & Gozzi, F. (2022). Optimal dividend payout under stochastic discounting. Mathematical Finance . https://doi.org/10.1111/mafi.12339PUB | DOI | WoS
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2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2958433Ferrari, G., Li, H., & Riedel, F. (2022). A Knightian irreversible investment problem. Journal of Mathematical Analysis and Applications, 507(1), 125744. https://doi.org/10.1016/j.jmaa.2021.125744PUB | DOI | WoS
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2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2960414Dianetti, J., Ferrari, G., Fischer, M., & Nendel, M. (2021). Submodular mean field games: Existence and approximation of solutions. Annals of Applied Probability, 31(6), 2538-2566. https://doi.org/10.1214/20-AAP1655PUB | DOI | WoS
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2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2960182Dammann, F., & Ferrari, G. (2021). On an irreversible investment problem with two-factor uncertainty. Quantitative Finance. https://doi.org/10.1080/14697688.2021.1983202PUB | DOI | WoS
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2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2955492Calvia, A., & 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
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2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952857Dianetti, 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, 645). Bielefeld: Center for Mathematical Economics.PUB | PDF
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2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2959491Falbo, P., Ferrari, G., Rizzini, G., & Schmeck, M. D. (2021). Optimal switch from a fossil-fueled to an electric vehicle. Decisions in Economics and Finance. https://doi.org/10.1007/s10203-021-00359-2PUB | DOI | WoS
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2021 | Preprint | Veröffentlicht | PUB-ID: 2939728Banas, L., Ferrari, G., & Randrianasolo, T. A. (2021). Numerical approximation of the value of a stochastic differential game with asymmetric information. arXiv:1912.13248. https://doi.org/10.1137/19M1309997PUB | DOI | WoS | arXiv
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2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2955128Federico, S., Ferrari, G., Riedel, F., & Röckner, M. (2021). On a Class of Infinite-Dimensional Singular Stochastic Control Problems . SIAM Journal on Control and Optimization, 59(2), 1680-1704. https://doi.org/10.1137/20M136757XPUB | DOI | WoS
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2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2955114Federico, S., Ferrari, G., & Schuhmann, P. (2021). Singular Control of the Drift of a Brownian System. Applied Mathematics & Optimization. https://doi.org/10.1007/s00245-021-09779-3PUB | DOI | WoS
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2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2946500Callegaro, G., Ceci, C., & Ferrari, G. (2020). Optimal reduction of public debt under partial observation of the economic growth. Finance and stochastics, 24(4), 1083-1132. https://doi.org/10.1007/s00780-020-00438-zPUB | PDF | DOI | WoS
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2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2944790Ferrari, 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), 755-786. https://doi.org/10.1137/19M1245049PUB | DOI | WoS
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2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2945133Dianetti, J., & Ferrari, G. (2020). NONZERO-SUM SUBMODULAR MONOTONE-FOLLOWER GAMES: EXISTENCE AND APPROXIMATION OF NASH EQUILIBRIA. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 58(3), 1257-1288. https://doi.org/10.1137/19M1238782PUB | DOI | WoS
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2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2939181Ferrari, G., & Vargiolu, T. (2020). On the singular control of exchange rates. Annals of Operations Research, 292, 795-832. https://doi.org/10.1007/s10479-019-03441-6PUB | DOI | WoS
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2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2949212Federico, S., Ferrari, G., & Schuhmann, P. (2020). A Singular Stochastic Control Problem with Interconnected Dynamics . SIAM Journal on Control and Optimization, 58(5), 2821-2853. https://doi.org/10.1137/19M1296288PUB | DOI | WoS
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2020 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2949981Federico, S., & Ferrari, G. (2020). Taming the spread of an epidemic by lockdown policies. Journal of mathematical economics. https://doi.org/10.1016/j.jmateco.2020.102453PUB | DOI | WoS | PubMed | Europe PMC
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933813Ferrari, G., & 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
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2939974Banas, 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, 630). Bielefeld: Center for Mathematical Economics.PUB | PDF
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2936699Dianetti, J., Ferrari, G., Fischer, M., & 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
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932994Dianetti, J., & 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
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933360Callegaro, G., Ceci, C., & 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
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935374Federico, S., Ferrari, G., Riedel, F., & 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
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2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936024De 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), 512-531. https://doi.org/10.1287/moor.2018.0934PUB | DOI | WoS
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2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2937742Ferrari, G., & Schuhmann, P. (2019). An Optimal Dividend Problem with Capital Injections over a Finite Horizon. SIAM Journal on Control and Optimization, 57(4), 2686-2719. https://doi.org/10.1137/18M1184588PUB | DOI | WoS
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2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2938385Ferrari, G., & Koch, T. (2019). An Optimal Extraction Problem with Price Impact. APPLIED MATHEMATICS AND OPTIMIZATION. https://doi.org/10.1007/s00245-019-09615-9PUB | DOI | WoS
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2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936634Ferrari, G., & Koch, T. (2019). On a strategic model of pollution control. Annals of Operations Research, 275(2), 297-319. https://doi.org/10.1007/s10479-018-2935-7PUB | DOI | WoS
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2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2934107Ferrari, G. (2019). On a class of singular stochastic control problems for reflected diffusions. Journal of Mathematical Analysis and Applications, 473(2), 952-979. https://doi.org/10.1016/j.jmaa.2019.01.004PUB | DOI | WoS
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2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2932800Ferrari, G., & Yang, S. (2018). On an Optimal Extraction problem with Regime Switching. Advances in Applied Probability, 50(3), 671-705. https://doi.org/10.1017/apr.2018.31PUB | DOI | WoS | arXiv
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2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2930530De Angelis, T., & Ferrari, G. (2018). Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Advances in Applied Probability, 50(2), 347-372. https://doi.org/10.1017/apr.2018.17PUB | DOI | WoS | arXiv
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2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2920351De 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), 112-147. https://doi.org/10.1214/17-AAP1301PUB | DOI | WoS | arXiv
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2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930430de 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, 591). Bielefeld: Center for Mathematical Economics.PUB | PDF
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2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2916438De Angelis, T., Federico, S., & Ferrari, G. (2017). Optimal Boundary Surface for Irreversible Investment with Stochastic Costs. Mathematics of Operations Research, 42(4), 1135-1161. https://doi.org/10.1287/moor.2016.0841PUB | DOI | WoS
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2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901752Angelis, T. D., Ferrari, G., Martyr, R., & Moriarty, J. (2017). Optimal Entry to an Irreversible Investment Plan with Non Convex Costs. MATHEMATICS AND FINANCIAL ECONOMICS, 11(4), 423-454. doi:10.1007/s11579-017-0187-yPUB | DOI | WoS | arXiv
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2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901747Ferrari, G., Riedel, F., & Steg, J. - H. (2017). Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control Approach. Applied Mathematics & Optimization, 75(3), 429-470. doi:10.1007/s00245-016-9337-5PUB | DOI | WoS
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729de 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, 561). Bielefeld: Center for Mathematical Economics.PUB | PDF
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904748de 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, 563). Bielefeld: Center for Mathematical Economics.PUB | PDF
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904753de Angelis, T., & 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
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756de Angelis, T., Ferrari, G., Martyr, R., & 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
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2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2906562Ferrari, G., & Salminen, P. (2016). IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY. ADVANCES IN APPLIED PROBABILITY, 48(1), 298-314. https://doi.org/10.1017/apr.2015.18PUB | DOI | WoS
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2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940De 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), 1199-1223. https://doi.org/10.1137/14096801XPUB | DOI | WoS
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901450Ferrari, G., Riedel, F., & 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
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2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2782593Chiarolla, 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), 847-858. https://doi.org/10.1016/j.ejor.2015.06.061PUB | DOI | WoS
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2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2718995Ferrari, G. (2015). On an integral equation for the free-boundary of stochastic, irreversible investment problems. The Annals of Applied Probability, 25(1), 150-176. https://doi.org/10.1214/13-AAP991PUB | DOI | WoS
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528de 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, 508). Bielefeld: Center for Mathematical Economics.PUB | PDF
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544de 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, 509). Bielefeld: Center for Mathematical Economics.PUB | PDF
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901687de 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, 531). Bielefeld: Center for Mathematical Economics.PUB | PDF
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2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2705522De 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), 4080-4119. https://doi.org/10.1016/j.spa.2014.07.008PUB | DOI | WoS
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2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888Chiarolla, 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), 1048-1070. doi:10.1137/11085195XPUB | DOI | WoS
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2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2693721Chiarolla, 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), 3863-3885. https://doi.org/10.1137/120870360PUB | DOI | WoS
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2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674083de Angelis, T., & 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
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2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727Chiarolla, 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, 463). Bielefeld: Center for Mathematical Economics.PUB | PDF