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41 Publikationen

2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940
De 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. doi:10.1137/14096801X
PUB | DOI | WoS
 
2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2718995
Ferrari, G. (2015). On an integral equation for the free-boundary of stochastic, irreversible investment problems. The Annals of Applied Probability, 25(1), 150-176. doi:10.1214/13-AAP991
PUB | DOI | WoS
 
2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2763830
Steg, J. - H. (2015). Symmetric equilibria in stochastic timing games (Center for Mathematical Economics Working Papers, 543). Bielefeld: Center for Mathematical Economics.
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2757310
Steg, J. - H., & Thijssen, J. (2015). Quick or Persistent? Strategic Investment Demanding Versatility (Center for Mathematical Economics Working Papers, 541). Bielefeld: Center for Mathematical Economics.
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2785971
Steg, J. - H. (2015). Preemptive Investment under Uncertainty (Center for Mathematical Economics Working Papers, 549). Bielefeld: Center for Mathematical Economics.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528
de 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.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2698773
Riedel, F., & Steg, J. - H. (2014). Subgame-Perfect Equilibria in Stochastic Timing Games (Center for Mathematical Economics Working Papers, 524). Bielefeld: Center for Mathematical Economics.
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2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2705522
De 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. doi:10.1016/j.spa.2014.07.008
PUB | DOI | WoS
 
2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888
Chiarolla, 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:10.1137/11085195X
PUB | DOI | WoS
 
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544
de 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.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901685
Ferrari, G., & Salminen, P. (2014). Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary (Center for Mathematical Economics Working Papers, 530). Bielefeld: Center for Mathematical Economics.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901687
de 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.
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2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2638626
Chiarolla, 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. doi:10.1137/120870360
PUB | DOI | WoS
 
2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674034
Ferrari, G. (2012). On an integral equation for the free boundary of stochastic, irreversible investment problems (Working Papers. Institute of Mathematical Economics, 471). Bielefeld: Center for Mathematical Economics.
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2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727
Chiarolla, 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.
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2011 | Diskussionspapier | Veröffentlicht | PUB-ID: 2900947
Vorbrink, J. (2011). American options with multiple priors in continuous time (Working Papers. Institute of Mathematical Economics, 448). Bielefeld: Center for Mathematical Economics.
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2010 | Diskussionspapier | Veröffentlicht | PUB-ID: 1943934
Riedel, F. (2010). Optimal Stopping under Ambiguity in Continuous Time (Working Papers. Institute of Mathematical Economics, 429). Bielefeld: Universität Bielefeld.
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2010 | Bielefelder E-Dissertation | PUB-ID: 2302541
Chudjakow, T. (01T00:00:00Z.01.1970). On Knightian uncertainty models : optimal behavior in presence of model uncertainty. Bielefeld (Germany): Bielefeld University.
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2009 | Diskussionspapier | Veröffentlicht | PUB-ID: 1943958
Chudjakow, T., & Riedel, F. (2009). The Best Choice Problem under Ambiguity (Working Papers. Institute of Mathematical Economics, 413). Bielefeld: Universität Bielefeld.
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2009 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 1633775
Riedel, F. (2009). Optimal Stopping With Multiple Priors. ECONOMETRICA, 77(3), 857-908. doi:10.3982/ECTA7594
PUB | DOI | WoS
 

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