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648 Publikationen
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945081 
Nendel, M., Schmeck, M.D., Riedel, F.: Decomposition of General Premium Principles into Risk and Deviation. Center for Mathematical Economics Working Papers, 638, aktual. Version July 2020. Center for Mathematical Economics, Bielefeld (2020).
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2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943342
Kemper, A., Schmeck, M.D., Khripunova Balci, A.: The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. Center for Mathematical Economics Working Papers, 635. Center for Mathematical Economics, Bielefeld (2020).
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2939974
Banas, L., Ferrari, G., Randrianasolo, T.A.: Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information. Center for Mathematical Economics Working Papers, 630. Center for Mathematical Economics, Bielefeld (2019).
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2938811
Koch, T., Vargiolu, T.: Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem. Center for Mathematical Economics Working Papers, 627. Center for Mathematical Economics, Bielefeld (2019).
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937756
Piccirilli, M., Schmeck, M.D., Vargiolu, T.: Capturing the power options smile by an additive two-factor model for overlapping futures prices. Center for Mathematical Economics Working Papers, 625. Center for Mathematical Economics, Bielefeld (2019).
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2936699
Dianetti, J., Ferrari, G., Fischer, M., Nendel, M.: Submodular Mean Field Games. Existence and Approximation of Solutions. Center for Mathematical Economics Working Papers, 621. Center for Mathematical Economics, Bielefeld (2019).
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2936013
Nendel, M., Röckner, M.: Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems. Center for Mathematical Economics Working Papers, 618. Center for Mathematical Economics, Bielefeld (2019).
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935374
Federico, S., Ferrari, G., Riedel, F., Röckner, M.: On a Class of Infinite-Dimensional Singular Stochastic Control Problems. Center for Mathematical Economics Working Papers, 614. Center for Mathematical Economics, Bielefeld (2019).
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2934840
Hölzermann, J., Lin, Q.: Term Structure Modeling under Volatility Uncertainty: A Forward Rate Model driven by G-Brownian Motion . Center for Mathematical Economics Working Papers, 613. Center for Mathematical Economics, Bielefeld (2019).
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933813
Ferrari, G., Rodosthenous, N.: Optimal Control of Debt-To-GDP Ratio in an N-State Regime Switching Economy. Center for Mathematical Economics Working Papers, 589, Aktual. Version Februar 2019. Center for Mathematical Economics, Bielefeld (2019).
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932994
Dianetti, J., Ferrari, G.: Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria. Center for Mathematical Economics Working Papers, 605. Center for Mathematical Economics, Bielefeld (2019).
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2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933147
Grigorova, M., Quenez, M.-C., Sulem, A.: Superhedging prices of European and American options in a non-linear incomplete market with default. Center for Mathematical Economics Working Papers, 607. Center for Mathematical Economics, Bielefeld (2018).
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2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2932726
Damdinsuren, E., Zaharieva, A.: Expectation Formation and Learning in the Labour Market with On-the-Job Search and Nash Bargaining. Center for Mathematical Economics Working Papers, 604. Center for Mathematical Economics, Bielefeld (2018).
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2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930570
Barraz Martínez, B., Denk, R., Hernández Monzón, J., Kammerlander, F., Nendel, M.: Regularity and Asymptotic Behaviour for a Damped Plate-Membrane Transmission Problem. Center for Mathematical Economics Working Papers, 596. Center for Mathematical Economics, Bielefeld (2018).
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2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930446
Grigorova, M., Imkeller, P., Quenez, M.-C., Ouknine, Y.: Doubly Reflected BSDEs and $\mathcal{E}$$^ƒ$-Dynkin games: beyond the right-continuous case. Center for Mathematical Economics Working Papers, 598. Center for Mathematical Economics, Bielefeld (2018).
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2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930380
Demeze-Jouatsa, G.-H.: A note on ”Necessary and sufficient conditions for the perfect finite horizon folk theorem” [Econometrica, 63 (2): 425-430, 1995.]. Center for Mathematical Economics Working Papers, 583. Center for Mathematical Economics, Bielefeld (2018).
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2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930430
de Angelis, T., Ferrari, G., Hamadène, S.: A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles. Center for Mathematical Economics Working Papers, 591. Center for Mathematical Economics, Bielefeld (2017).
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2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2910671
Sürücü, O., Brangewitz, S., Mir Djawadi, B.: Asymmetric dominance effect with multiple decoys for low- and high-variance lotteries. Center for Mathematical Economics Working Papers, 574. Center for Mathematical Economics, Bielefeld (2017).
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2900384
Duman, P., Trockel, W.: On non-cooperative foundation and implementation of the Nash Solution in subgame perfect equilibrium via Rubinstein’s game. Center for Mathematical Economics Working Papers, 550. Center for Mathematical Economics, Bielefeld (2016).
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756
de Angelis, T., Ferrari, G., Martyr, R., Moriarty, J.: Optimal entry to an irreversible investment plan with non convex costs . Center for Mathematical Economics Working Papers, 566. Center for Mathematical Economics, Bielefeld (2016).
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2900480
Hellmann, T., Thijssen, J.J.J.: Fear of the market or fear of the competitor? Ambiguity in a real options game. Center for Mathematical Economics Working Papers, 533, Januar 2016. Center for Mathematical Economics, Bielefeld (2016).
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729
de Angelis, T., Ferrari, G., Moriarty, J.: A solvable two-dimensional singular stochastic control problem with non convex costs. Center for Mathematical Economics Working Papers, 561. Center for Mathematical Economics, Bielefeld (2016).
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904748
de Angelis, T., Ferrari, G., Moriarty, J.: Nash equilibria of threshold type for two-player nonzero-sum games of stopping. Center for Mathematical Economics Working Papers, 563. Center for Mathematical Economics, Bielefeld (2016).
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904753
de Angelis, T., Ferrari, G.: Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Center for Mathematical Economics Working Papers, 565. Center for Mathematical Economics, Bielefeld (2016).
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