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41 Publikationen

2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2937742
Ferrari, G., & Schuhmann, P., 2019. An Optimal Dividend Problem with Capital Injections over a Finite Horizon. SIAM Journal on Control and Optimization, 57(4), p 2686-2719.
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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), p 512-531.
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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, no.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, no.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, no.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, no.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), p 671-705.
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, no.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), p 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, no.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, no.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, p 36-50.
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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), p 1135-1161.
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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), p 298-314.
PUB | DOI | WoS
 
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756
de Angelis, T., et al., 2016. Optimal entry to an irreversible investment plan with non convex costs , Center for Mathematical Economics Working Papers, no.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, no.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, no.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, no.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, no.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, no.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), p 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(1), p 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, no.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, no.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, no.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, no.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, no.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), p 4080-4119.
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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), p 1048-1070.
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, no.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, no.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, no.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), p 3863-3885.
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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, no.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, no.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, no.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, no.429, Bielefeld: Universität Bielefeld.
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2010 | Bielefelder E-Dissertation | PUB-ID: 2302541
Chudjakow, T., 01T00:00:00Z.01.1970 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, no.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), p 857-908.
PUB | DOI | WoS
 
2007 | Diskussionspapier | Veröffentlicht | PUB-ID: 1944648
Riedel, F., 2007. Optimal Stopping under Ambiguity, Working Papers. Institute of Mathematical Economics, no.390, Bielefeld: Universität Bielefeld.
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