95 Publikationen
-
2024 | Diskussionspapier | Veröffentlicht | PUB-ID: 2988384A Mean-Field Model of Optimal InvestmentPUB | PDF
Calvia, Alessandro, A Mean-Field Model of Optimal Investment. 690 (). Bielefeld, 2024 -
2024 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2987947Optimal production management when there is regime switching and production constraintsPUB | DOI | WoS
Cadenillas, Abel, Optimal production management when there is regime switching and production constraints. Annals of Operations Research (). , 2024 -
2024 | Diskussionspapier | Veröffentlicht | PUB-ID: 2987416A Stationary Equilibrium Model of Green Technology Adoption with Endogenous Carbon PricePUB | PDF
Dammann, Felix, A Stationary Equilibrium Model of Green Technology Adoption with Endogenous Carbon Price. 688 (). Bielefeld, 2024 -
2023 | Preprint | Veröffentlicht | PUB-ID: 2987708Numerical approximation of Dynkin games with asymmetric informationPUB | DOI
Banas, Lubomir, Numerical approximation of Dynkin games with asymmetric information. (). , 2023 -
2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2985970On a Merton Problem with Irreversible Healthcare InvestmentPUB | PDF
Ferrari, Giorgio, On a Merton Problem with Irreversible Healthcare Investment. 671 (). Bielefeld, 2023 -
2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2985076Striking the Balance: Life Insurance Timing and Asset Allocation in Financial PlanningPUB | PDF
Chen, An, Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning. 684 (). Bielefeld, 2023 -
2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2984621Optimal Retirement Choice under Age-dependent Force of MortalityPUB | PDF
Ferrari, Giorgio, Optimal Retirement Choice under Age-dependent Force of Mortality. 683 (). Bielefeld, 2023 -
2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2983417Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed CostPUB | PDF
Federico, Salvatore, Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost. 682 (). Bielefeld, 2023 -
2023 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2981371Optimal execution with multiplicative price impact and incomplete information on the returnPUB | DOI | WoS
Dammann, Felix, Optimal execution with multiplicative price impact and incomplete information on the return. Finance and Stochastics (). , 2023 -
2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2981284Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version)PUB | PDF
Dianetti, Jodi, Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version). 681 (). Bielefeld, 2023 -
2023 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2980533Multidimensional singular control and related Skorokhod problem: Sufficient conditions for the characterization of optimal controlsPUB | DOI | WoS
Dianetti, Jodi, Multidimensional singular control and related Skorokhod problem: Sufficient conditions for the characterization of optimal controls. Stochastic Processes and their Applications 162 (). , 2023 -
2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978796A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime EconomyPUB | PDF
Aïd, René, A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy. 679 (). Bielefeld, 2023 -
2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978674Uncertainty over Uncertainty in Environmental Policy Adoption: Bayesian Learning of Unpredictable Socioeconomic CostsPUB | PDF
Basei, Matteo, Uncertainty over Uncertainty in Environmental Policy Adoption: Bayesian Learning of Unpredictable Socioeconomic Costs. 677 (). Bielefeld, 2023 -
2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2967537Consumption Descision, Portfolio Choice and Healthcare Irreversible InvestmentPUB | PDF
Ferrari, Giorgio, Consumption Descision, Portfolio Choice and Healthcare Irreversible Investment. 671 (). Bielefeld, 2022 -
2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2979039Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectationsPUB | DOI | WoS
Ferrari, Giorgio, Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations. Advances in Applied Probability 54 (4). , 2022 -
2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2978299A Unifying Framework for Submodular Mean Field GamesPUB | DOI | WoS
Dianetti, Jodi, A Unifying Framework for Submodular Mean Field Games. Mathematics of Operations Research (). , 2022 -
2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2968012Optimal vaccination in a SIRS epidemic modelPUB | DOI | WoS | PubMed | Europe PMC
Federico, Salvatore, Optimal vaccination in a SIRS epidemic model. Economic Theory (). , 2022 -
2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2967384Stationary Discounted and Ergodic Mean Field Games with Singular ControlsPUB | DOI | WoS
Cao, Haoyang, Stationary Discounted and Ergodic Mean Field Games with Singular Controls. Mathematics of Operations Research (). , 2022 -
2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2964637Optimal dividends under Markov-modulated bankruptcy levelPUB | DOI | WoS
Ferrari, Giorgio, Optimal dividends under Markov-modulated bankruptcy level. Insurance: Mathematics and Economics 106 (). , 2022 -
2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2963714Optimal Vaccination in a SIRS Epidemic ModelPUB | PDF
Federico, Salvatore, Optimal Vaccination in a SIRS Epidemic Model. 667 (). Bielefeld, 2022 -
2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2962706Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal ControlPUB | DOI | WoS
Calvia, Alessandro, Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control. Applied Mathematics and Optimization 85 (2). , 2022 -
2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2961488Optimal Execution with Multiplicative Price Impact and Incomplete Information on the ReturnPUB | PDF
Dammann, Felix, Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return. 663 (). Bielefeld, 2022 -
2022 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2961096Optimal dividend payout under stochastic discountingPUB | DOI | WoS
Bandini, Elena, Optimal dividend payout under stochastic discounting. Mathematical Finance (). , 2022 -
2022 | Diskussionspapier | Veröffentlicht | PUB-ID: 2960759A Unifying Framework for Submodular Mean Field GamesPUB | PDF
Dianetti, Jodi, A Unifying Framework for Submodular Mean Field Games. 661 (). Bielefeld, 2022 -
2022 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2958433A Knightian irreversible investment problemPUB | DOI | WoS
Ferrari, Giorgio, A Knightian irreversible investment problem. Journal of Mathematical Analysis and Applications 507 (1). , 2022 -
2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2960414Submodular mean field games: Existence and approximation of solutionsPUB | DOI | WoS
Dianetti, Jodi, Submodular mean field games: Existence and approximation of solutions. Annals of Applied Probability 31 (6). , 2021 -
2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2960182On an irreversible investment problem with two-factor uncertaintyPUB | DOI | WoS
Dammann, Felix, On an irreversible investment problem with two-factor uncertainty. Quantitative Finance (). , 2021 -
2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2955492Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal ControlPUB | PDF
Calvia, Alessandro, Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control. 651 (). Bielefeld, 2021 -
2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2955165Stationary Discounted and Ergodic Mean Field Games of Singular ControlPUB | PDF
Cao, Haoyang, Stationary Discounted and Ergodic Mean Field Games of Singular Control. 650 (). Bielefeld, 2021 -
2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952857Multidimensional Singular Control and Related Skorokhod Problem: Suficient Conditions for the Characterization of Optimal ControlsPUB | PDF
Dianetti, Jodi, Multidimensional Singular Control and Related Skorokhod Problem: Suficient Conditions for the Characterization of Optimal Controls. 645 (). Bielefeld, 2021 -
2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952860On an Irreversible Investment Problem with Two-Factor UncertaintyPUB | PDF
Dammann, Felix, On an Irreversible Investment Problem with Two-Factor Uncertainty. 646 (). Bielefeld, 2021 -
2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2959047Optimal Dividends under Markov-Modulated Bankruptcy LevelPUB | PDF
Ferrari, Giorgio, Optimal Dividends under Markov-Modulated Bankruptcy Level. 657 (). Bielefeld, 2021 -
2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2952182Two-Sided Singular Control of an Inventory with Unknown Demand TrendPUB | PDF
Federico, Salvatore, Two-Sided Singular Control of an Inventory with Unknown Demand Trend. 643 (). Bielefeld, 2021 -
2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2959491Optimal switch from a fossil-fueled to an electric vehiclePUB | DOI | WoS
Falbo, Paolo, Optimal switch from a fossil-fueled to an electric vehicle. Decisions in Economics and Finance (). , 2021 -
2021 | Preprint | Veröffentlicht | PUB-ID: 2939728Numerical approximation of the value of a stochastic differential game with asymmetric informationPUB | DOI | WoS | arXiv
Banas, Lubomir, Numerical approximation of the value of a stochastic differential game with asymmetric information. arXiv:1912.13248 (). , 2021 -
2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2955128On a Class of Infinite-Dimensional Singular Stochastic Control ProblemsPUB | DOI | WoS
Federico, Salvatore, On a Class of Infinite-Dimensional Singular Stochastic Control Problems . SIAM Journal on Control and Optimization 59 (2). , 2021 -
2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2955114Singular Control of the Drift of a Brownian SystemPUB | DOI | WoS
Federico, Salvatore, Singular Control of the Drift of a Brownian System. Applied Mathematics & Optimization (). , 2021 -
2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2946500Optimal reduction of public debt under partial observation of the economic growthPUB | PDF | DOI | WoS
Callegaro, Giorgia, Optimal reduction of public debt under partial observation of the economic growth. Finance and stochastics 24 (4). , 2020 -
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943684Optimal Dividend Payout under Stochastic DiscountingPUB | PDF
Bandini, Elena, Optimal Dividend Payout under Stochastic Discounting. 636 (). Bielefeld, 2020 -
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943686Singular Control of the Drift of a Brownian SystemPUB | PDF
Federico, Salvatore, Singular Control of the Drift of a Brownian System. 637 (). Bielefeld, 2020 -
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945084Taming the Spread of an Epidemic by Lockdown PoliciesPUB | PDF
Federico, Salvatore, Taming the Spread of an Epidemic by Lockdown Policies. 639 (). Bielefeld, 2020 -
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2942252A Knightian Irreversible Investment ProblemPUB | PDF
Ferrari, Giorgio, A Knightian Irreversible Investment Problem. 634 (). Bielefeld, 2020 -
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2949956Optimal Switch from a Fossil-Fueled to an Electric VehiclePUB | PDF
Falbo, Paolo, Optimal Switch from a Fossil-Fueled to an Electric Vehicle. 642 (). Bielefeld, 2020 -
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2948952Optimal Consumption with Intertemporal Substitution under Knightian UncertaintyPUB | PDF
Ferrari, Giorgio, Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty. 641 (). Bielefeld, 2020 -
2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2944790OPTIMAL CONTROL OF DEBT-TO-GDP RATIO IN AN N-STATE REGIME SWITCHING ECONOMYPUB | DOI | WoS
Ferrari, Giorgio, OPTIMAL CONTROL OF DEBT-TO-GDP RATIO IN AN N-STATE REGIME SWITCHING ECONOMY. SIAM JOURNAL ON CONTROL AND OPTIMIZATION 58 (2). , 2020 -
2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2945133NONZERO-SUM SUBMODULAR MONOTONE-FOLLOWER GAMES: EXISTENCE AND APPROXIMATION OF NASH EQUILIBRIAPUB | DOI | WoS
Dianetti, Jodi, NONZERO-SUM SUBMODULAR MONOTONE-FOLLOWER GAMES: EXISTENCE AND APPROXIMATION OF NASH EQUILIBRIA. SIAM JOURNAL ON CONTROL AND OPTIMIZATION 58 (3). , 2020 -
2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2939181On the singular control of exchange ratesPUB | DOI | WoS
Ferrari, Giorgio, On the singular control of exchange rates. Annals of Operations Research 292 (). , 2020 -
2020 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2949212A Singular Stochastic Control Problem with Interconnected DynamicsPUB | DOI | WoS
Federico, Salvatore, A Singular Stochastic Control Problem with Interconnected Dynamics . SIAM Journal on Control and Optimization 58 (5). , 2020 -
2020 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2949981Taming the spread of an epidemic by lockdown policies.PUB | DOI | WoS | PubMed | Europe PMC
Federico, Salvatore, Taming the spread of an epidemic by lockdown policies.. Journal of mathematical economics (). , 2020 -
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933813Optimal Control of Debt-To-GDP Ratio in an N-State Regime Switching EconomyPUB | PDF
Ferrari, Giorgio, Optimal Control of Debt-To-GDP Ratio in an N-State Regime Switching Economy. 589 (). Bielefeld, 2019 -
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2939974Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric InformationPUB | PDF
Banas, Lubomir, Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information. 630 (). Bielefeld, 2019 -
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2936699Submodular Mean Field Games. Existence and Approximation of SolutionsPUB | PDF
Dianetti, Jodi, Submodular Mean Field Games. Existence and Approximation of Solutions. 621 (). Bielefeld, 2019 -
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937637A Model for the Optimal Management of InflationPUB | PDF
Federico, Salvatore, A Model for the Optimal Management of Inflation. 624 (). Bielefeld, 2019 -
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932994Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash EquilibriaPUB | PDF
Dianetti, Jodi, Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria. 605 (). Bielefeld, 2019 -
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933360Optimal Reduction of Public Debt under Partial Observation of the Economic GrowthPUB | PDF
Callegaro, Giorgia, Optimal Reduction of Public Debt under Partial Observation of the Economic Growth. 608 (). Bielefeld, 2019 -
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935374On a Class of Infinite-Dimensional Singular Stochastic Control ProblemsPUB | PDF
Federico, Salvatore, On a Class of Infinite-Dimensional Singular Stochastic Control Problems. 614 (). Bielefeld, 2019 -
2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936024A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex CostsPUB | DOI | WoS
De Angelis, Tiziano, A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs. MATHEMATICS OF OPERATIONS RESEARCH 44 (2). , 2019 -
2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2937742An Optimal Dividend Problem with Capital Injections over a Finite HorizonPUB | DOI | WoS
Ferrari, Giorgio, An Optimal Dividend Problem with Capital Injections over a Finite Horizon. SIAM Journal on Control and Optimization 57 (4). , 2019 -
2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2938385An Optimal Extraction Problem with Price ImpactPUB | DOI | WoS
Ferrari, Giorgio, An Optimal Extraction Problem with Price Impact. APPLIED MATHEMATICS AND OPTIMIZATION (). , 2019 -
2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936634On a strategic model of pollution controlPUB | DOI | WoS
Ferrari, Giorgio, On a strategic model of pollution control. Annals of Operations Research 275 (2). , 2019 -
2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2934107On a class of singular stochastic control problems for reflected diffusionsPUB | DOI | WoS
Ferrari, Giorgio, On a class of singular stochastic control problems for reflected diffusions. Journal of Mathematical Analysis and Applications 473 (2). , 2019 -
2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932622An optimal extraction problem with price impactPUB | PDF
Ferrari, Giorgio, An optimal extraction problem with price impact. 603 (). Bielefeld, 2018 -
2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930440An Optimal Dividend Problem with Capital Injections over a Finite HorizonPUB | PDF
Ferrari, Giorgio, An Optimal Dividend Problem with Capital Injections over a Finite Horizon . 595 (). Bielefeld, 2018 -
2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2932800On an Optimal Extraction problem with Regime SwitchingPUB | DOI | WoS | arXiv
Ferrari, Giorgio, On an Optimal Extraction problem with Regime Switching. Advances in Applied Probability 50 (3). , 2018 -
2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2930530Stochastic nonzero-sum games: a new connection between singular control and optimal stoppingPUB | DOI | WoS | arXiv
De Angelis, Tiziano, Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Advances in Applied Probability 50 (2). , 2018 -
2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2920351Nash equilibria of threshold type for two-player nonzero-sum games of stoppingPUB | DOI | WoS | arXiv
De Angelis, Tiziano, Nash equilibria of threshold type for two-player nonzero-sum games of stopping. Annals of Applied Probability 28 (1). , 2018 -
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930430A Note on a New Existence Result for Reflected BSDES with Interconnected ObstaclesPUB | PDF
de Angelis, Tiziano, A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles. 591 (). Bielefeld, 2017 -
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930433On a Class of Singular Stochastic Control Problems for Reflected DiffusionsPUB | PDF
Ferrari, Giorgio, On a Class of Singular Stochastic Control Problems for Reflected Diffusions . 592 (). Bielefeld, 2017 -
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930438On the Singular Control of Exchange RatesPUB | PDF
Ferrari, Giorgio, On the Singular Control of Exchange Rates . 594 (). Bielefeld, 2017 -
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930413On a Strategic Model of Pollution ControlPUB | PDF
Ferrari, Giorgio, On a Strategic Model of Pollution Control . 586 (). Bielefeld, 2017 -
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2916438Optimal Boundary Surface for Irreversible Investment with Stochastic CostsPUB | DOI | WoS
De Angelis, Tiziano, Optimal Boundary Surface for Irreversible Investment with Stochastic Costs. Mathematics of Operations Research 42 (4). , 2017 -
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901752Optimal Entry to an Irreversible Investment Plan with Non Convex CostsPUB | DOI | WoS | arXiv
Angelis, Tiziano De, Optimal Entry to an Irreversible Investment Plan with Non Convex Costs. MATHEMATICS AND FINANCIAL ECONOMICS 11 (4). , 2017 -
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2901747Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control ApproachPUB | DOI | WoS
Ferrari, Giorgio, Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control Approach. Applied Mathematics & Optimization 75 (3). , 2017 -
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729A solvable two-dimensional singular stochastic control problem with non convex costsPUB | PDF
de Angelis, Tiziano, A solvable two-dimensional singular stochastic control problem with non convex costs. 561 (). Bielefeld, 2016 -
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904731On an optimal extraction problem with regime switchingPUB | PDF
Ferrari, Giorgio, On an optimal extraction problem with regime switching. 562 (). Bielefeld, 2016 -
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904748Nash equilibria of threshold type for two-player nonzero-sum games of stoppingPUB | PDF
de Angelis, Tiziano, Nash equilibria of threshold type for two-player nonzero-sum games of stopping. 563 (). Bielefeld, 2016 -
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904750Controlling public debt without forgetting InflationPUB | PDF
Ferrari, Giorgio, Controlling public debt without forgetting Inflation. 564 (). Bielefeld, 2016 -
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904753Stochastic nonzero-sum games: a new connection between singular control and optimal stoppingPUB | PDF
de Angelis, Tiziano, Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . 565 (). Bielefeld, 2016 -
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756Optimal entry to an irreversible investment plan with non convex costsPUB | PDF
de Angelis, Tiziano, Optimal entry to an irreversible investment plan with non convex costs . 566 (). Bielefeld, 2016 -
2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2906562IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARYPUB | DOI | WoS
Ferrari, Giorgio, IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY. ADVANCES IN APPLIED PROBABILITY 48 (1). , 2016 -
2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping BoundariesPUB | DOI | WoS
De Angelis, Tiziano, A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries . SIAM Journal on Control and Optimization 53 (3). , 2015 -
2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901450Continuous-Time Public Good Contribution under UncertaintyPUB | PDF
Ferrari, Giorgio, Continuous-Time Public Good Contribution under Uncertainty. 485 (). Bielefeld, 2015 -
2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2782593Optimal dynamic procurement policies for a storable commodity with Levy prices and convex holding costsPUB | DOI | WoS
Chiarolla, Maria B., Optimal dynamic procurement policies for a storable commodity with Levy prices and convex holding costs. European Journal of Operational Research 247 (3). , 2015 -
2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2718995On an integral equation for the free-boundary of stochastic, irreversible investment problemsPUB | DOI | WoS
Ferrari, Giorgio, On an integral equation for the free-boundary of stochastic, irreversible investment problems. The Annals of Applied Probability 25 (1). , 2015 -
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528A non convex singular stochastic control problem and its related optimal stopping boundariesPUB | PDF
de Angelis, Tiziano, A non convex singular stochastic control problem and its related optimal stopping boundaries. 508 (). Bielefeld, 2014 -
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible InvestmentPUB | PDF
de Angelis, Tiziano, On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment. 509 (). Bielefeld, 2014 -
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901685Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal BoundaryPUB | PDF
Ferrari, Giorgio, Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary. 530 (). Bielefeld, 2014 -
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901687A solvable two-dimensional degenerate singular stochastic control problem with non convex costsPUB | PDF
de Angelis, Tiziano, A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. 531 (). Bielefeld, 2014 -
2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2705522A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysisPUB | DOI | WoS
De Angelis, Tiziano, A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis. Stochastic Processes and their Applications 124 (12). , 2014 -
2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank--El Karoui Representation TheoremPUB | DOI | WoS
Chiarolla, Maria B., 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). , 2014 -
2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2693721Generalized Kuhn--Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited ResourcesPUB | DOI | WoS
Chiarolla, Maria B., Generalized Kuhn--Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources. SIAM Journal on Control and Optimization 51 (5). , 2013 -
2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674083A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary AnalysisPUB | PDF
de Angelis, Tiziano, A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis. 477 (). Bielefeld, 2013 -
2013 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674160Continuous-Time Public Good Contribution under UncertaintyPUB | PDF
Ferrari, Giorgio, Continuous-Time Public Good Contribution under Uncertainty. 485 (). Bielefeld, 2013 -
2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674034On an integral equation for the free boundary of stochastic, irreversible investment problemsPUB | PDF
Ferrari, Giorgio, On an integral equation for the free boundary of stochastic, irreversible investment problems. 471 (). Bielefeld, 2012 -
2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resourcesPUB | PDF
Chiarolla, Maria B., Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources. 463 (). Bielefeld, 2012