Please note that PUB no longer supports Internet Explorer versions 8 or 9 (or earlier).

We recommend upgrading to the latest Internet Explorer, Google Chrome, or Firefox.

41 Publikationen

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
 
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
 
2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2763830
Steg J-H. Symmetric equilibria in stochastic timing games. Center for Mathematical Economics Working Papers. Vol 543. Bielefeld: Center for Mathematical Economics; 2015.
PUB | PDF
 
2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2757310
Steg J-H, Thijssen J. Quick or Persistent? Strategic Investment Demanding Versatility. Center for Mathematical Economics Working Papers. Vol 541. Bielefeld: Center for Mathematical Economics; 2015.
PUB | PDF
 
2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2785971
Steg J-H. Preemptive Investment under Uncertainty. Center for Mathematical Economics Working Papers. Vol 549. Bielefeld: Center for Mathematical Economics; 2015.
PUB | PDF
 
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528
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
 
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2698773
Riedel F, Steg J-H. Subgame-Perfect Equilibria in Stochastic Timing Games. Center for Mathematical Economics Working Papers. Vol 524. Bielefeld: Center for Mathematical Economics; 2014.
PUB | PDF
 
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
 
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
 
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544
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
 
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901685
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
 
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901687
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
 
2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2638626
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
 
2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674034
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
 
2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727
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
 
2011 | Diskussionspapier | Veröffentlicht | PUB-ID: 2900947
Vorbrink J. American options with multiple priors in continuous time. Working Papers. Institute of Mathematical Economics. Vol 448. Bielefeld: Center for Mathematical Economics; 2011.
PUB | PDF
 
2010 | Diskussionspapier | Veröffentlicht | PUB-ID: 1943934
Riedel F. Optimal Stopping under Ambiguity in Continuous Time. Working Papers. Institute of Mathematical Economics. Vol 429. Bielefeld: Universität Bielefeld; 2010.
PUB | PDF
 
2010 | Bielefelder E-Dissertation | PUB-ID: 2302541
Chudjakow T. On Knightian uncertainty models : optimal behavior in presence of model uncertainty. Bielefeld (Germany): Bielefeld University; 2010.
PUB | PDF
 
2009 | Diskussionspapier | Veröffentlicht | PUB-ID: 1943958
Chudjakow T, Riedel F. The Best Choice Problem under Ambiguity. Working Papers. Institute of Mathematical Economics. Vol 413. Bielefeld: Universität Bielefeld; 2009.
PUB | PDF
 
2009 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 1633775
Riedel F. Optimal Stopping With Multiple Priors. ECONOMETRICA. 2009;77(3):857-908.
PUB | DOI | WoS
 

Filter und Suchbegriffe

keyword="optimal stopping"

Suche

Publikationen filtern

Darstellung / Sortierung

Zitationsstil: ama

Export / Einbettung