94 Publikationen

Alle markieren

  • [94]
    2024 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2987947
    Cadenillas, Abel, Ferrari, Giorgio, and Schuhmann, Patrick. 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, Felix, and Ferrari, Giorgio. 2024. A Stationary Equilibrium Model of Green Technology Adoption with Endogenous Carbon Price. Vol. 688. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [92]
    2023 | Preprint | Veröffentlicht | PUB-ID: 2987708
    Banas, Lubomir, Ferrari, Giorgio, and Randrianasolo, Tsiry Avisoa. 2023. “Numerical approximation of Dynkin games with asymmetric information”.
    PUB | DOI
     
  • [91]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2985970 OA
    Ferrari, Giorgio, and Zhu, Shihao. 2023. On a Merton Problem with Irreversible Healthcare Investment. überarbeitete Version. Vol. 671. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [90]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2985076 OA
    Chen, An, Ferrari, Giorgio, and Zhu, Shihao. 2023. Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning. Vol. 684. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [89]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2984621 OA
    Ferrari, Giorgio, and Zhu, Shihao. 2023. Optimal Retirement Choice under Age-dependent Force of Mortality. Vol. 683. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [88]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2983417 OA
    Federico, Salvatore, Ferrari, Giorgio, and Torrente, Maria Laura. 2023. Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost. Vol. 682. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [87]
    2023 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2981371
    Dammann, Felix, and Ferrari, Giorgio. 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, Jodi, Ferrari, Giorgio, and Tzouanas, Ioannis. 2023. Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version). Vol. 681. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [85]
    2023 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2980533
    Dianetti, Jodi, and Ferrari, Giorgio. 2023. “Multidimensional singular control and related Skorokhod problem: Sufficient conditions for the characterization of optimal controls”. Stochastic Processes and their Applications 162: 547-592.
    PUB | DOI | WoS
     
  • [84]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978796 OA
    Aïd, René, Basei, Matteo, and Ferrari, Giorgio. 2023. A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy. Vol. 679. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [83]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978674 OA
    Basei, Matteo, Ferrari, Giorgio, and Rodosthenous, Neofytos. 2023. Uncertainty over Uncertainty in Environmental Policy Adoption: Bayesian Learning of Unpredictable Socioeconomic Costs. Vol. 677. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [82]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2967537 OA
    Ferrari, Giorgio, and Zhu, Shihao. 2022. Consumption Descision, Portfolio Choice and Healthcare Irreversible Investment. Vol. 671. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [81]
    2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2979039
    Ferrari, Giorgio, Li, Hanwu, and Riedel, Frank. 2022. “Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations”. Advances in Applied Probability 54 (4): 1222-1251.
    PUB | DOI | WoS
     
  • [80]
    2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2978299
    Dianetti, Jodi, Ferrari, Giorgio, Fischer, Markus, and Nendel, Max. 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, Salvatore, Ferrari, Giorgio, and Torrente, Maria-Laura. 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, Haoyang, Dianetti, Jodi, and Ferrari, Giorgio. 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, Giorgio, Schuhmann, Patrick, and Zhu, Shihao. 2022. “Optimal dividends under Markov-modulated bankruptcy level”. Insurance: Mathematics and Economics 106: 146-172.
    PUB | DOI | WoS
     
  • [76]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2963714 OA
    Federico, Salvatore, Ferrari, Giorgio, and Torrente, Maria-Laura. 2022. Optimal Vaccination in a SIRS Epidemic Model. Vol. 667. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [75]
    2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2962706
    Calvia, Alessandro, and Ferrari, Giorgio. 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, Felix, and Ferrari, Giorgio. 2022. Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return. Vol. 663. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [73]
    2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2961096
    Bandini, Elena, De Angelis, Tiziano, Ferrari, Giorgio, and Gozzi, Fausto. 2022. “Optimal dividend payout under stochastic discounting”. Mathematical Finance .
    PUB | DOI | WoS
     
  • [72]
    2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2960759 OA
    Dianetti, Jodi, Ferrari, Giorgio, Fischer, Markus, and Nendel, Max. 2022. A Unifying Framework for Submodular Mean Field Games. Vol. 661. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [71]
    2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2958433
    Ferrari, Giorgio, Li, Hanwu, and Riedel, Frank. 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, Jodi, Ferrari, Giorgio, Fischer, Markus, and Nendel, Max. 2021. “Submodular mean field games: Existence and approximation of solutions”. Annals of Applied Probability 31 (6): 2538-2566.
    PUB | DOI | WoS
     
  • [69]
    2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2960182
    Dammann, Felix, and Ferrari, Giorgio. 2021. “On an irreversible investment problem with two-factor uncertainty”. Quantitative Finance.
    PUB | DOI | WoS
     
  • [68]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2955492 OA
    Calvia, Alessandro, and Ferrari, Giorgio. 2021. Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control. Vol. 651. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [67]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2955165 OA
    Cao, Haoyang, Dianetti, Jodi, and Ferrari, Giorgio. 2021. Stationary Discounted and Ergodic Mean Field Games of Singular Control. Vol. 650. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [66]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952857 OA
    Dianetti, Jodi, and Ferrari, Giorgio. 2021. Multidimensional Singular Control and Related Skorokhod Problem: Suficient Conditions for the Characterization of Optimal Controls. Vol. 645. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [65]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952860 OA
    Dammann, Felix, and Ferrari, Giorgio. 2021. On an Irreversible Investment Problem with Two-Factor Uncertainty. Vol. 646. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [64]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2959047 OA
    Ferrari, Giorgio, Schuhmann, Patrick, and Zhu, Shihao. 2021. Optimal Dividends under Markov-Modulated Bankruptcy Level. Vol. 657. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [63]
    2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952182 OA
    Federico, Salvatore, Ferrari, Giorgio, and Rodosthenous, Neofytos. 2021. Two-Sided Singular Control of an Inventory with Unknown Demand Trend. Vol. 643. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [62]
    2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2959491
    Falbo, Paolo, Ferrari, Giorgio, Rizzini, Giorgio, and Schmeck, Maren Diane. 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, Lubomir, Ferrari, Giorgio, and Randrianasolo, Tsiry Avisoa. 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, Salvatore, Ferrari, Giorgio, Riedel, Frank, and Röckner, Michael. 2021. “On a Class of Infinite-Dimensional Singular Stochastic Control Problems ”. SIAM Journal on Control and Optimization 59 (2): 1680-1704.
    PUB | DOI | WoS
     
  • [59]
    2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2955114
    Federico, Salvatore, Ferrari, Giorgio, and Schuhmann, Patrick. 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, Giorgia, Ceci, Claudia, and Ferrari, Giorgio. 2020. “Optimal reduction of public debt under partial observation of the economic growth”. Finance and stochastics 24 (4): 1083-1132.
    PUB | PDF | DOI | WoS
     
  • [57]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943684 OA
    Bandini, Elena, de Angelis, Tiziano, Ferrari, Giorgio, and Gozzi, Fausto. 2020. Optimal Dividend Payout under Stochastic Discounting. Vol. 636. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [56]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943686 OA
    Federico, Salvatore, Ferrari, Giorgio, and Schuhmann, Patrick. 2020. Singular Control of the Drift of a Brownian System. Vol. 637. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [55]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945084 OA
    Federico, Salvatore, and Ferrari, Giorgio. 2020. Taming the Spread of an Epidemic by Lockdown Policies. Vol. 639. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [54]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2942252 OA
    Ferrari, Giorgio, Li, Hanwu, and Riedel, Frank. 2020. A Knightian Irreversible Investment Problem. Vol. 634. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [53]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2949956 OA
    Falbo, Paolo, Ferrari, Giorgio, Rizzini, Giorgio, and Schmeck, Maren Diane. 2020. Optimal Switch from a Fossil-Fueled to an Electric Vehicle. Vol. 642. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [52]
    2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2948952 OA
    Ferrari, Giorgio, Li, Hanwu, and Riedel, Frank. 2020. Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty. Vol. 641. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [51]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2944790
    Ferrari, Giorgio, and Rodosthenous, Neofytos. 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.
    PUB | DOI | WoS
     
  • [50]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2945133
    Dianetti, Jodi, and Ferrari, Giorgio. 2020. “NONZERO-SUM SUBMODULAR MONOTONE-FOLLOWER GAMES: EXISTENCE AND APPROXIMATION OF NASH EQUILIBRIA”. SIAM JOURNAL ON CONTROL AND OPTIMIZATION 58 (3): 1257-1288.
    PUB | DOI | WoS
     
  • [49]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2939181
    Ferrari, Giorgio, and Vargiolu, Tiziano. 2020. “On the singular control of exchange rates”. Annals of Operations Research 292: 795-832.
    PUB | DOI | WoS
     
  • [48]
    2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2949212
    Federico, Salvatore, Ferrari, Giorgio, and Schuhmann, Patrick. 2020. “A Singular Stochastic Control Problem with Interconnected Dynamics ”. SIAM Journal on Control and Optimization 58 (5): 2821-2853.
    PUB | DOI | WoS
     
  • [47]
    2020 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2949981
    Federico, Salvatore, and Ferrari, Giorgio. 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, Giorgio, and Rodosthenous, Neofytos. 2019. Optimal Control of Debt-To-GDP Ratio in an N-State Regime Switching Economy. Aktual. Version Februar 2019. Vol. 589. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [45]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2939974 OA
    Banas, Lubomir, Ferrari, Giorgio, and Randrianasolo, Tsiry Avisoa. 2019. Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information. Vol. 630. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [44]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2936699 OA
    Dianetti, Jodi, Ferrari, Giorgio, Fischer, Markus, and Nendel, Max. 2019. Submodular Mean Field Games. Existence and Approximation of Solutions. Vol. 621. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [43]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937637 OA
    Federico, Salvatore, Ferrari, Giorgio, and Schuhmann, Patrick. 2019. A Model for the Optimal Management of Inflation. Vol. 624. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [42]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932994 OA
    Dianetti, Jodi, and Ferrari, Giorgio. 2019. Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria. Vol. 605. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [41]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933360 OA
    Callegaro, Giorgia, Ceci, Claudia, and Ferrari, Giorgio. 2019. Optimal Reduction of Public Debt under Partial Observation of the Economic Growth. Vol. 608. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [40]
    2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935374 OA
    Federico, Salvatore, Ferrari, Giorgio, Riedel, Frank, and Röckner, Michael. 2019. On a Class of Infinite-Dimensional Singular Stochastic Control Problems. Vol. 614. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [39]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936024
    De Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. 2019. “A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs”. MATHEMATICS OF OPERATIONS RESEARCH 44 (2): 512-531.
    PUB | DOI | WoS
     
  • [38]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2937742
    Ferrari, Giorgio, and Schuhmann, Patrick. 2019. “An Optimal Dividend Problem with Capital Injections over a Finite Horizon”. SIAM Journal on Control and Optimization 57 (4): 2686-2719.
    PUB | DOI | WoS
     
  • [37]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2938385
    Ferrari, Giorgio, and Koch, Torben. 2019. “An Optimal Extraction Problem with Price Impact”. APPLIED MATHEMATICS AND OPTIMIZATION.
    PUB | DOI | WoS
     
  • [36]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936634
    Ferrari, Giorgio, and Koch, Torben. 2019. “On a strategic model of pollution control”. Annals of Operations Research 275 (2): 297-319.
    PUB | DOI | WoS
     
  • [35]
    2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2934107
    Ferrari, Giorgio. 2019. “On a class of singular stochastic control problems for reflected diffusions”. Journal of Mathematical Analysis and Applications 473 (2): 952-979.
    PUB | DOI | WoS
     
  • [34]
    2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932622 OA
    Ferrari, Giorgio, and Koch, Torben. 2018. An optimal extraction problem with price impact. Vol. 603. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [33]
    2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930440 OA
    Ferrari, Giorgio, and Schuhmann, Patrick. 2018. An Optimal Dividend Problem with Capital Injections over a Finite Horizon . Vol. 595. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [32]
    2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2932800
    Ferrari, Giorgio, and Yang, Shuzhen. 2018. “On an Optimal Extraction problem with Regime Switching”. Advances in Applied Probability 50 (3): 671-705.
    PUB | DOI | WoS | arXiv
     
  • [31]
    2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2930530
    De Angelis, Tiziano, and Ferrari, Giorgio. 2018. “Stochastic nonzero-sum games: a new connection between singular control and optimal stopping ”. Advances in Applied Probability 50 (2): 347-372.
    PUB | DOI | WoS | arXiv
     
  • [30]
    2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2920351
    De Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. 2018. “Nash equilibria of threshold type for two-player nonzero-sum games of stopping”. Annals of Applied Probability 28 (1): 112-147.
    PUB | DOI | WoS | arXiv
     
  • [29]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930430 OA
    de Angelis, Tiziano, Ferrari, Giorgio, and Hamadène, Saïd. 2017. A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles. Vol. 591. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
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  • [28]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930433 OA
    Ferrari, Giorgio. 2017. On a Class of Singular Stochastic Control Problems for Reflected Diffusions . Vol. 592. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [27]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930438 OA
    Ferrari, Giorgio, and Vargiolu, Tiziano. 2017. On the Singular Control of Exchange Rates . Vol. 594. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [26]
    2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930413 OA
    Ferrari, Giorgio, and Koch, Torben. 2017. On a Strategic Model of Pollution Control . Vol. 586. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [25]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2916438
    De Angelis, Tiziano, Federico, Salvatore, and Ferrari, Giorgio. 2017. “Optimal Boundary Surface for Irreversible Investment with Stochastic Costs”. Mathematics of Operations Research 42 (4): 1135-1161.
    PUB | DOI | WoS
     
  • [24]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901752
    Angelis, Tiziano De, Ferrari, Giorgio, Martyr, Randall, and Moriarty, John. 2017. “Optimal Entry to an Irreversible Investment Plan with Non Convex Costs”. MATHEMATICS AND FINANCIAL ECONOMICS 11 (4): 423-454.
    PUB | DOI | WoS | arXiv
     
  • [23]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901747
    Ferrari, Giorgio, Riedel, Frank, and Steg, Jan-Henrik. 2017. “Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control Approach”. Applied Mathematics & Optimization 75 (3): 429-470.
    PUB | DOI | WoS
     
  • [22]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729 OA
    de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. 2016. A solvable two-dimensional singular stochastic control problem with non convex costs. Vol. 561. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [21]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904731 OA
    Ferrari, Giorgio, and Yang, Shuzhen. 2016. On an optimal extraction problem with regime switching. Vol. 562. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [20]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904748 OA
    de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. 2016. Nash equilibria of threshold type for two-player nonzero-sum games of stopping. Vol. 563. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [19]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904750 OA
    Ferrari, Giorgio. 2016. Controlling public debt without forgetting Inflation. Vol. 564. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [18]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904753 OA
    de Angelis, Tiziano, and Ferrari, Giorgio. 2016. Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Vol. 565. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [17]
    2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756 OA
    de Angelis, Tiziano, Ferrari, Giorgio, Martyr, Randall, and Moriarty, John. 2016. Optimal entry to an irreversible investment plan with non convex costs . Vol. 566. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [16]
    2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2906562
    Ferrari, Giorgio, and Salminen, Paavo. 2016. “IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY”. ADVANCES IN APPLIED PROBABILITY 48 (1): 298-314.
    PUB | DOI | WoS
     
  • [15]
    2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940
    De Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. 2015. “A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries ”. SIAM Journal on Control and Optimization 53 (3): 1199-1223.
    PUB | DOI | WoS
     
  • [14]
    2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901450 OA
    Ferrari, Giorgio, Riedel, Frank, and Steg, Jan-Henrik. 2015. Continuous-Time Public Good Contribution under Uncertainty. Version February 2015. Vol. 485. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [13]
    2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2782593
    Chiarolla, Maria B., Ferrari, Giorgio, and Stabile, Gabriele. 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.
    PUB | DOI | WoS
     
  • [12]
    2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2718995
    Ferrari, Giorgio. 2015. “On an integral equation for the free-boundary of stochastic, irreversible investment problems”. The Annals of Applied Probability 25 (1): 150-176.
    PUB | DOI | WoS
     
  • [11]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528 OA
    de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. 2014. A non convex singular stochastic control problem and its related optimal stopping boundaries. Vol. 508. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [10]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544 OA
    de Angelis, Tiziano, Federico, Salvatore, and Ferrari, Giorgio. 2014. On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment. Vol. 509. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [9]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901685 OA
    Ferrari, Giorgio, and Salminen, Paavo. 2014. Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary. Vol. 530. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [8]
    2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901687 OA
    de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. 2014. A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. Vol. 531. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [7]
    2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2705522
    De Angelis, Tiziano, and Ferrari, Giorgio. 2014. “A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis”. Stochastic Processes and their Applications 124 (12): 4080-4119.
    PUB | DOI | WoS
     
  • [6]
    2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888
    Chiarolla, Maria B., and Ferrari, Giorgio. 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.
    PUB | DOI | WoS
     
  • [5]
    2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2693721
    Chiarolla, Maria B., Ferrari, Giorgio, and Riedel, Frank. 2013. “Generalized Kuhn--Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources”. SIAM Journal on Control and Optimization 51 (5): 3863-3885.
    PUB | DOI | WoS
     
  • [4]
    2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674083 OA
    de Angelis, Tiziano, and Ferrari, Giorgio. 2013. A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis. Vol. 477. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [3]
    2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674160 OA
    Ferrari, Giorgio, Riedel, Frank, and Steg, Jan-Henrik. 2013. Continuous-Time Public Good Contribution under Uncertainty. Vol. 485. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [2]
    2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674034 OA
    Ferrari, Giorgio. 2012. On an integral equation for the free boundary of stochastic, irreversible investment problems. Vol. 471. Working Papers. Institute of Mathematical Economics. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     
  • [1]
    2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727 OA
    Chiarolla, Maria B., Ferrari, Giorgio, and Riedel, Frank. 2012. Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources. Vol. 463. Working Papers. Institute of Mathematical Economics. Bielefeld: Center for Mathematical Economics.
    PUB | PDF
     

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