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40 Publikationen

2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936024
De Angelis, T., Ferrari, G., and Moriarty, J. (2019). A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs. MATHEMATICS OF OPERATIONS RESEARCH 44, 512-531.
PUB | DOI | WoS
 
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933813
Ferrari, G., and 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., and 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., and 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., and Yang, S. (2018). ON AN OPTIMAL EXTRACTION PROBLEM WITH REGIME SWITCHING. ADVANCES IN APPLIED PROBABILITY 50, 671-705.
PUB | DOI | WoS | arXiv
 
2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930440
Ferrari, G., and 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., and Ferrari, G. (2018). Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . ADVANCES IN APPLIED PROBABILITY 50, 347-372.
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., and 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., and Steg, J. - H. (2017). Subgame-perfect equilibria in stochastic timing games. Journal of Mathematical Economics 72, 36-50.
PUB | DOI | WoS
 
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2916438
De Angelis, T., Federico, S., and Ferrari, G. (2017). Optimal Boundary Surface for Irreversible Investment with Stochastic Costs. Mathematics of Operations Research 42, 1135-1161.
PUB | DOI | WoS
 
2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2906562
Ferrari, G., and Salminen, P. (2016). IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY. ADVANCES IN APPLIED PROBABILITY 48, 298-314.
PUB | DOI | WoS
 
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756
de Angelis, T., Ferrari, G., Martyr, R., and 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., and 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., and 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., and 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., and 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., and Moriarty, J. (2015). A NONCONVEX SINGULAR STOCHASTIC CONTROL PROBLEM AND ITS RELATED OPTIMAL STOPPING BOUNDARIES. SIAM Journal on Control and Optimization 53, 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, 150-176.
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., and 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., and 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., and 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., and Ferrari, G. (2014). A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis. Stochastic Processes and their Applications 124, 4080-4119.
PUB | DOI | WoS
 
2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888
Chiarolla, M. B., and 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, 1048-1070.
PUB | DOI | WoS
 
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544
de Angelis, T., Federico, S., and 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., and 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., and 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., and Riedel, F. (2013). Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources. Siam Journal On Control And Optimization 51, 3863-3885.
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., and 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., and 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, 857-908.
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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