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41 Publikationen

2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940
A NONCONVEX SINGULAR STOCHASTIC CONTROL PROBLEM AND ITS RELATED OPTIMAL STOPPING BOUNDARIES
De Angelis, Tiziano, A NONCONVEX SINGULAR STOCHASTIC CONTROL PROBLEM AND ITS RELATED OPTIMAL STOPPING BOUNDARIES. SIAM Journal on Control and Optimization 53 (3). , 2015
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2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2718995
On an integral equation for the free-boundary of stochastic, irreversible investment problems
Ferrari, Giorgio, On an integral equation for the free-boundary of stochastic, irreversible investment problems. The Annals of Applied Probability 25 (1). , 2015
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2763830
Symmetric equilibria in stochastic timing games
Steg, Jan-Henrik, Symmetric equilibria in stochastic timing games. 543 (). Bielefeld, 2015
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2757310
Quick or Persistent? Strategic Investment Demanding Versatility
Steg, Jan-Henrik, Quick or Persistent? Strategic Investment Demanding Versatility. 541 (). Bielefeld, 2015
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2785971
Preemptive Investment under Uncertainty
Steg, Jan-Henrik, Preemptive Investment under Uncertainty. 549 (). Bielefeld, 2015
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528
A non convex singular stochastic control problem and its related optimal stopping boundaries
de Angelis, Tiziano, A non convex singular stochastic control problem and its related optimal stopping boundaries. 508 (). Bielefeld, 2014
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2698773
Subgame-Perfect Equilibria in Stochastic Timing Games
Riedel, Frank, Subgame-Perfect Equilibria in Stochastic Timing Games. 524 (). Bielefeld, 2014
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2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2705522
A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis
De Angelis, Tiziano, A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis. Stochastic Processes and their Applications 124 (12). , 2014
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2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888
Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank--El Karoui Representation Theorem
Chiarolla, Maria B., 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
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544
On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment
de Angelis, Tiziano, On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment. 509 (). Bielefeld, 2014
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901685
Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary
Ferrari, Giorgio, Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary. 530 (). Bielefeld, 2014
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901687
A solvable two-dimensional degenerate singular stochastic control problem with non convex costs
de Angelis, Tiziano, A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. 531 (). Bielefeld, 2014
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2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2638626
Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources
Chiarolla, Maria B., Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources. Siam Journal On Control And Optimization 51 (5). , 2013
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2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674034
On an integral equation for the free boundary of stochastic, irreversible investment problems
Ferrari, Giorgio, On an integral equation for the free boundary of stochastic, irreversible investment problems. 471 (). Bielefeld, 2012
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2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727
Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources
Chiarolla, Maria B., Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources. 463 (). Bielefeld, 2012
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2011 | Diskussionspapier | Veröffentlicht | PUB-ID: 2900947
American options with multiple priors in continuous time
Vorbrink, Jörg, American options with multiple priors in continuous time. 448 (). Bielefeld, 2011
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2010 | Diskussionspapier | Veröffentlicht | PUB-ID: 1943934
Optimal Stopping under Ambiguity in Continuous Time
Riedel, Frank, Optimal Stopping under Ambiguity in Continuous Time. 429 (). Bielefeld, 2010
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2010 | Bielefelder E-Dissertation | PUB-ID: 2302541
On Knightian uncertainty models : optimal behavior in presence of model uncertainty
Chudjakow, Tatjana, On Knightian uncertainty models : optimal behavior in presence of model uncertainty. (). Bielefeld (Germany), 2010
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2009 | Diskussionspapier | Veröffentlicht | PUB-ID: 1943958
The Best Choice Problem under Ambiguity
Chudjakow, Tatjana, The Best Choice Problem under Ambiguity. 413 (). Bielefeld, 2009
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2009 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 1633775
Optimal Stopping With Multiple Priors
Riedel, Frank, Optimal Stopping With Multiple Priors. ECONOMETRICA 77 (3). , 2009
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