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40 Publikationen

2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936024
De Angelis T, Ferrari G, Moriarty J. A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs. MATHEMATICS OF OPERATIONS RESEARCH. 2019;44(2):512-531.
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933813
Ferrari G, Rodosthenous N. Optimal Control of Debt-To-GDP Ratio in an N-State Regime Switching Economy. Center for Mathematical Economics Working Papers. Vol 589 Aktual. Version Februar 2019. Bielefeld: Center for Mathematical Economics; 2019.
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933360
Callegaro G, Ceci C, Ferrari G. Optimal Reduction of Public Debt under Partial Observation of the Economic Growth. Center for Mathematical Economics Working Papers. Vol 608. Bielefeld: Center for Mathematical Economics; 2019.
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2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933147
Grigorova M, Quenez M-C, Sulem A. Superhedging prices of European and American options in a non-linear incomplete market with default. Center for Mathematical Economics Working Papers. Vol 607. Bielefeld: Center for Mathematical Economics; 2018.
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2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933126
Li H. Optimal stopping under $\textit{G}$-expectation. Center for Mathematical Economics Working Papers. Vol 606. Bielefeld: Center for Mathematical Economics; 2018.
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2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2932800
Ferrari G, Yang S. ON AN OPTIMAL EXTRACTION PROBLEM WITH REGIME SWITCHING. ADVANCES IN APPLIED PROBABILITY. 2018;50(3):671-705.
PUB | DOI | WoS | arXiv
 
2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930440
Ferrari G, Schuhmann P. An Optimal Dividend Problem with Capital Injections over a Finite Horizon . Center for Mathematical Economics Working Papers. Vol 595. Bielefeld: Center for Mathematical Economics; 2018.
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2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2930530
De Angelis T, Ferrari G. Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . ADVANCES IN APPLIED PROBABILITY. 2018;50(2):347-372.
PUB | DOI | WoS | arXiv
 
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930433
Ferrari G. On a Class of Singular Stochastic Control Problems for Reflected Diffusions . Center for Mathematical Economics Working Papers. Vol 592. Bielefeld: Center for Mathematical Economics; 2017.
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2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930438
Ferrari G, Vargiolu T. On the Singular Control of Exchange Rates . Center for Mathematical Economics Working Papers. Vol 594. Bielefeld: Center for Mathematical Economics; 2017.
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2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912499
Riedel F, Steg J-H. Subgame-perfect equilibria in stochastic timing games. Journal of Mathematical Economics. 2017;72:36-50.
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2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2916438
De Angelis T, Federico S, Ferrari G. Optimal Boundary Surface for Irreversible Investment with Stochastic Costs. Mathematics of Operations Research. 2017;42(4):1135-1161.
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2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2906562
Ferrari G, Salminen P. IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY. ADVANCES IN APPLIED PROBABILITY. 2016;48(1):298-314.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756
de Angelis T, Ferrari G, Martyr R, Moriarty J. Optimal entry to an irreversible investment plan with non convex costs . Center for Mathematical Economics Working Papers. Vol 566. Bielefeld: Center for Mathematical Economics; 2016.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2900480
Hellmann T, Thijssen JJJ. Fear of the market or fear of the competitor? Ambiguity in a real options game. Center for Mathematical Economics Working Papers. Vol 533 Januar 2016. Bielefeld: Center for Mathematical Economics; 2016.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729
de Angelis T, Ferrari G, Moriarty J. A solvable two-dimensional singular stochastic control problem with non convex costs. Center for Mathematical Economics Working Papers. Vol 561. Bielefeld: Center for Mathematical Economics; 2016.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904731
Ferrari G, Yang S. On an optimal extraction problem with regime switching. Center for Mathematical Economics Working Papers. Vol 562. Bielefeld: Center for Mathematical Economics; 2016.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904750
Ferrari G. Controlling public debt without forgetting Inflation. Center for Mathematical Economics Working Papers. Vol 564. Bielefeld: Center for Mathematical Economics; 2016.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904753
de Angelis T, Ferrari G. Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Center for Mathematical Economics Working Papers. Vol 565. Bielefeld: Center for Mathematical Economics; 2016.
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2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940
De Angelis T, Ferrari G, Moriarty J. A NONCONVEX SINGULAR STOCHASTIC CONTROL PROBLEM AND ITS RELATED OPTIMAL STOPPING BOUNDARIES. SIAM Journal on Control and Optimization. 2015;53(3):1199-1223.
PUB | DOI | WoS
 
2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2718995
Ferrari G. On an integral equation for the free-boundary of stochastic, irreversible investment problems. The Annals of Applied Probability. 2015;25(1):150-176.
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2763830
Steg J-H. Symmetric equilibria in stochastic timing games. Center for Mathematical Economics Working Papers. Vol 543. Bielefeld: Center for Mathematical Economics; 2015.
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2757310
Steg J-H, Thijssen J. Quick or Persistent? Strategic Investment Demanding Versatility. Center for Mathematical Economics Working Papers. Vol 541. Bielefeld: Center for Mathematical Economics; 2015.
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2785971
Steg J-H. Preemptive Investment under Uncertainty. Center for Mathematical Economics Working Papers. Vol 549. Bielefeld: Center for Mathematical Economics; 2015.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528
de Angelis T, Ferrari G, Moriarty J. A non convex singular stochastic control problem and its related optimal stopping boundaries. Center for Mathematical Economics Working Papers. Vol 508. Bielefeld: Center for Mathematical Economics; 2014.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2698773
Riedel F, Steg J-H. Subgame-Perfect Equilibria in Stochastic Timing Games. Center for Mathematical Economics Working Papers. Vol 524. Bielefeld: Center for Mathematical Economics; 2014.
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2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2705522
De Angelis T, Ferrari G. A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis. Stochastic Processes and their Applications. 2014;124(12):4080-4119.
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2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888
Chiarolla MB, Ferrari G. Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank--El Karoui Representation Theorem. SIAM Journal on Control and Optimization. 2014;52(2):1048-1070.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544
de Angelis T, Federico S, Ferrari G. On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment. Center for Mathematical Economics Working Papers. Vol 509. Bielefeld: Center for Mathematical Economics; 2014.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901685
Ferrari G, Salminen P. Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary. Center for Mathematical Economics Working Papers. Vol 530. Bielefeld: Center for Mathematical Economics; 2014.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901687
de Angelis T, Ferrari G, Moriarty J. A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. Center for Mathematical Economics Working Papers. Vol 531. Bielefeld: Center for Mathematical Economics; 2014.
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2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2638626
Chiarolla MB, Ferrari G, Riedel F. Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources. Siam Journal On Control And Optimization. 2013;51(5):3863-3885.
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2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674034
Ferrari G. On an integral equation for the free boundary of stochastic, irreversible investment problems. Working Papers. Institute of Mathematical Economics. Vol 471. Bielefeld: Center for Mathematical Economics; 2012.
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2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727
Chiarolla MB, Ferrari G, Riedel F. Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources. Working Papers. Institute of Mathematical Economics. Vol 463. Bielefeld: Center for Mathematical Economics; 2012.
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2011 | Diskussionspapier | Veröffentlicht | PUB-ID: 2900947
Vorbrink J. American options with multiple priors in continuous time. Working Papers. Institute of Mathematical Economics. Vol 448. Bielefeld: Center for Mathematical Economics; 2011.
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2010 | Diskussionspapier | Veröffentlicht | PUB-ID: 1943934
Riedel F. Optimal Stopping under Ambiguity in Continuous Time. Working Papers. Institute of Mathematical Economics. Vol 429. Bielefeld: Universität Bielefeld; 2010.
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2010 | Bielefelder E-Dissertation | PUB-ID: 2302541
Chudjakow T. 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 T, Riedel F. The Best Choice Problem under Ambiguity. Working Papers. Institute of Mathematical Economics. Vol 413. Bielefeld: Universität Bielefeld; 2009.
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2009 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 1633775
Riedel F. Optimal Stopping With Multiple Priors. ECONOMETRICA. 2009;77(3):857-908.
PUB | DOI | WoS
 
2007 | Diskussionspapier | Veröffentlicht | PUB-ID: 1944648
Riedel F. Optimal Stopping under Ambiguity. Working Papers. Institute of Mathematical Economics. Vol 390. Bielefeld: Universität Bielefeld; 2007.
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