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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.
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.
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.
PUB | DOI | WoS
 
2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888
Chiarolla MB, 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.
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 MB, 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.
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 MB, 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.
PUB | DOI | WoS
 

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