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40 Publikationen

2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936024
De Angelis, T., Ferrari, G., & Moriarty, J. (2019). A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs. MATHEMATICS OF OPERATIONS RESEARCH, 44(2), 512-531. doi:10.1287/moor.2018.0934
PUB | DOI | WoS
 
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933813
Ferrari, G., & Rodosthenous, N. (2019). Optimal Control of Debt-To-GDP Ratio in an N-State Regime Switching Economy (Center for Mathematical Economics Working Papers, 589) Aktual. Version Februar 2019. Bielefeld: Center for Mathematical Economics.
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933360
Callegaro, G., Ceci, C., & Ferrari, G. (2019). Optimal Reduction of Public Debt under Partial Observation of the Economic Growth (Center for Mathematical Economics Working Papers, 608). Bielefeld: Center for Mathematical Economics.
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2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933147
Grigorova, M., Quenez, M. - C., & Sulem, A. (2018). Superhedging prices of European and American options in a non-linear incomplete market with default (Center for Mathematical Economics Working Papers, 607). Bielefeld: Center for Mathematical Economics.
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2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933126
Li, H. (2018). Optimal stopping under $\textit{G}$-expectation (Center for Mathematical Economics Working Papers, 606). Bielefeld: Center for Mathematical Economics.
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2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2932800
Ferrari, G., & Yang, S. (2018). ON AN OPTIMAL EXTRACTION PROBLEM WITH REGIME SWITCHING. ADVANCES IN APPLIED PROBABILITY, 50(3), 671-705. doi:10.1017/apr.2018.31
PUB | DOI | WoS | arXiv
 
2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930440
Ferrari, G., & Schuhmann, P. (2018). An Optimal Dividend Problem with Capital Injections over a Finite Horizon (Center for Mathematical Economics Working Papers, 595). Bielefeld: Center for Mathematical Economics.
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2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2930530
De Angelis, T., & Ferrari, G. (2018). Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . ADVANCES IN APPLIED PROBABILITY, 50(2), 347-372. doi:10.1017/apr.2018.17
PUB | DOI | WoS | arXiv
 
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930433
Ferrari, G. (2017). On a Class of Singular Stochastic Control Problems for Reflected Diffusions (Center for Mathematical Economics Working Papers, 592). Bielefeld: Center for Mathematical Economics.
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2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930438
Ferrari, G., & Vargiolu, T. (2017). On the Singular Control of Exchange Rates (Center for Mathematical Economics Working Papers, 594). Bielefeld: Center for Mathematical Economics.
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2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912499
Riedel, F., & Steg, J. - H. (2017). Subgame-perfect equilibria in stochastic timing games. Journal of Mathematical Economics, 72, 36-50. doi:10.1016/j.jmateco.2017.06.006
PUB | DOI | WoS
 
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2916438
De Angelis, T., Federico, S., & Ferrari, G. (2017). Optimal Boundary Surface for Irreversible Investment with Stochastic Costs. Mathematics of Operations Research, 42(4), 1135-1161. doi:10.1287/moor.2016.0841
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2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2906562
Ferrari, G., & Salminen, P. (2016). IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY. ADVANCES IN APPLIED PROBABILITY, 48(1), 298-314.
PUB | DOI | WoS
 
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756
de Angelis, T., Ferrari, G., Martyr, R., & Moriarty, J. (2016). Optimal entry to an irreversible investment plan with non convex costs (Center for Mathematical Economics Working Papers, 566). Bielefeld: Center for Mathematical Economics.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2900480
Hellmann, T., & Thijssen, J. J. J. (2016). Fear of the market or fear of the competitor? Ambiguity in a real options game (Center for Mathematical Economics Working Papers, 533) Januar 2016. Bielefeld: Center for Mathematical Economics.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729
de Angelis, T., Ferrari, G., & Moriarty, J. (2016). A solvable two-dimensional singular stochastic control problem with non convex costs (Center for Mathematical Economics Working Papers, 561). Bielefeld: Center for Mathematical Economics.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904731
Ferrari, G., & Yang, S. (2016). On an optimal extraction problem with regime switching (Center for Mathematical Economics Working Papers, 562). Bielefeld: Center for Mathematical Economics.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904750
Ferrari, G. (2016). Controlling public debt without forgetting Inflation (Center for Mathematical Economics Working Papers, 564). Bielefeld: Center for Mathematical Economics.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904753
de Angelis, T., & Ferrari, G. (2016). Stochastic nonzero-sum games: a new connection between singular control and optimal stopping (Center for Mathematical Economics Working Papers, 565). Bielefeld: Center for Mathematical Economics.
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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. doi:10.1137/14096801X
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. doi:10.1214/13-AAP991
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. doi:10.1016/j.spa.2014.07.008
PUB | DOI | WoS
 
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), 1048-1070. doi:10.1137/11085195X
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, 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), 3863-3885. doi:10.1137/120870360
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, 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, 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. (2010). 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. doi:10.3982/ECTA7594
PUB | DOI | WoS
 
2007 | Diskussionspapier | Veröffentlicht | PUB-ID: 1944648
Riedel, F. (2007). Optimal Stopping under Ambiguity (Working Papers. Institute of Mathematical Economics, 390). Bielefeld: Universität Bielefeld.
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