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41 Publikationen

2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940
De Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. “A NONCONVEX SINGULAR STOCHASTIC CONTROL PROBLEM AND ITS RELATED OPTIMAL STOPPING BOUNDARIES”. SIAM Journal on Control and Optimization 53.3 (2015): 1199-1223.
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2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2718995
Ferrari, Giorgio. “On an integral equation for the free-boundary of stochastic, irreversible investment problems”. The Annals of Applied Probability 25.1 (2015): 150-176.
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2763830
Steg, Jan-Henrik. Symmetric equilibria in stochastic timing games. Bielefeld: Center for Mathematical Economics, 2015. Center for Mathematical Economics Working Papers. 543.
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2757310
Steg, Jan-Henrik, and Thijssen, Jacco. Quick or Persistent? Strategic Investment Demanding Versatility. Bielefeld: Center for Mathematical Economics, 2015. Center for Mathematical Economics Working Papers. 541.
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2785971
Steg, Jan-Henrik. Preemptive Investment under Uncertainty. Bielefeld: Center for Mathematical Economics, 2015. Center for Mathematical Economics Working Papers. 549.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528
de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. A non convex singular stochastic control problem and its related optimal stopping boundaries. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 508.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2698773
Riedel, Frank, and Steg, Jan-Henrik. Subgame-Perfect Equilibria in Stochastic Timing Games. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 524.
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2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2705522
De Angelis, Tiziano, and Ferrari, Giorgio. “A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis”. Stochastic Processes and their Applications 124.12 (2014): 4080-4119.
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2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888
Chiarolla, Maria B., and Ferrari, Giorgio. “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 (2014): 1048-1070.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544
de Angelis, Tiziano, Federico, Salvatore, and Ferrari, Giorgio. On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 509.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901685
Ferrari, Giorgio, and Salminen, Paavo. Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 530.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901687
de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 531.
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2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2638626
Chiarolla, Maria B., Ferrari, Giorgio, and Riedel, Frank. “Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources”. Siam Journal On Control And Optimization 51.5 (2013): 3863-3885.
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2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674034
Ferrari, Giorgio. On an integral equation for the free boundary of stochastic, irreversible investment problems. Bielefeld: Center for Mathematical Economics, 2012. Working Papers. Institute of Mathematical Economics. 471.
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2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727
Chiarolla, Maria B., Ferrari, Giorgio, and Riedel, Frank. Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources. Bielefeld: Center for Mathematical Economics, 2012. Working Papers. Institute of Mathematical Economics. 463.
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2011 | Diskussionspapier | Veröffentlicht | PUB-ID: 2900947
Vorbrink, Jörg. American options with multiple priors in continuous time. Bielefeld: Center for Mathematical Economics, 2011. Working Papers. Institute of Mathematical Economics. 448.
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2010 | Diskussionspapier | Veröffentlicht | PUB-ID: 1943934
Riedel, Frank. Optimal Stopping under Ambiguity in Continuous Time. Bielefeld: Universität Bielefeld, 2010. Working Papers. Institute of Mathematical Economics. 429.
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2010 | Bielefelder E-Dissertation | PUB-ID: 2302541
Chudjakow, Tatjana. On Knightian uncertainty models : optimal behavior in presence of model uncertainty. Bielefeld (Germany): Bielefeld University, 2010.
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2009 | Diskussionspapier | Veröffentlicht | PUB-ID: 1943958
Chudjakow, Tatjana, and Riedel, Frank. The Best Choice Problem under Ambiguity. Bielefeld: Universität Bielefeld, 2009. Working Papers. Institute of Mathematical Economics. 413.
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2009 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 1633775
Riedel, Frank. “Optimal Stopping With Multiple Priors”. ECONOMETRICA 77.3 (2009): 857-908.
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