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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), p 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), p 150-176.
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2763830
Steg, J.-H., 2015. Symmetric equilibria in stochastic timing games, Center for Mathematical Economics Working Papers, no.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, no.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, no.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, no.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, no.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), p 4080-4119.
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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), p 1048-1070.
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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, no.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, no.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, no.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), p 3863-3885.
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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, no.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, no.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, no.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, no.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, no.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), p 857-908.
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