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41 Publikationen

2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2937742
Ferrari, Giorgio, and Schuhmann, Patrick. “An Optimal Dividend Problem with Capital Injections over a Finite Horizon”. SIAM Journal on Control and Optimization 57.4 (2019): 2686-2719.
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2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936024
De Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. “A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs”. MATHEMATICS OF OPERATIONS RESEARCH 44.2 (2019): 512-531.
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933813
Ferrari, Giorgio, and Rodosthenous, Neofytos. Optimal Control of Debt-To-GDP Ratio in an N-State Regime Switching Economy. Aktual. Version Februar 2019. Bielefeld: Center for Mathematical Economics, 2019. Center for Mathematical Economics Working Papers. 589.
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933360
Callegaro, Giorgia, Ceci, Claudia, and Ferrari, Giorgio. Optimal Reduction of Public Debt under Partial Observation of the Economic Growth. Bielefeld: Center for Mathematical Economics, 2019. Center for Mathematical Economics Working Papers. 608.
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2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933147
Grigorova, Miryana, Quenez, Marie-Claire, and Sulem, Agnès. Superhedging prices of European and American options in a non-linear incomplete market with default. Bielefeld: Center for Mathematical Economics, 2018. Center for Mathematical Economics Working Papers. 607.
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2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933126
Li, Hanwu. Optimal stopping under $\textit{G}$-expectation. Bielefeld: Center for Mathematical Economics, 2018. Center for Mathematical Economics Working Papers. 606.
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2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2932800
Ferrari, Giorgio, and Yang, Shuzhen. “ON AN OPTIMAL EXTRACTION PROBLEM WITH REGIME SWITCHING”. ADVANCES IN APPLIED PROBABILITY 50.3 (2018): 671-705.
PUB | DOI | WoS | arXiv
 
2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930440
Ferrari, Giorgio, and Schuhmann, Patrick. An Optimal Dividend Problem with Capital Injections over a Finite Horizon . Bielefeld: Center for Mathematical Economics, 2018. Center for Mathematical Economics Working Papers. 595.
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2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2930530
De Angelis, Tiziano, and Ferrari, Giorgio. “Stochastic nonzero-sum games: a new connection between singular control and optimal stopping ”. ADVANCES IN APPLIED PROBABILITY 50.2 (2018): 347-372.
PUB | DOI | WoS | arXiv
 
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930433
Ferrari, Giorgio. On a Class of Singular Stochastic Control Problems for Reflected Diffusions . Bielefeld: Center for Mathematical Economics, 2017. Center for Mathematical Economics Working Papers. 592.
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2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930438
Ferrari, Giorgio, and Vargiolu, Tiziano. On the Singular Control of Exchange Rates . Bielefeld: Center for Mathematical Economics, 2017. Center for Mathematical Economics Working Papers. 594.
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2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912499
Riedel, Frank, and Steg, Jan-Henrik. “Subgame-perfect equilibria in stochastic timing games”. Journal of Mathematical Economics 72 (2017): 36-50.
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2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2916438
De Angelis, Tiziano, Federico, Salvatore, and Ferrari, Giorgio. “Optimal Boundary Surface for Irreversible Investment with Stochastic Costs”. Mathematics of Operations Research 42.4 (2017): 1135-1161.
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2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2906562
Ferrari, Giorgio, and Salminen, Paavo. “IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY”. ADVANCES IN APPLIED PROBABILITY 48.1 (2016): 298-314.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756
de Angelis, Tiziano, Ferrari, Giorgio, Martyr, Randall, and Moriarty, John. Optimal entry to an irreversible investment plan with non convex costs . Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 566.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2900480
Hellmann, Tobias, and Thijssen, Jacco J.J. Fear of the market or fear of the competitor? Ambiguity in a real options game. Januar 2016. Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 533.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729
de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. A solvable two-dimensional singular stochastic control problem with non convex costs. Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 561.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904731
Ferrari, Giorgio, and Yang, Shuzhen. On an optimal extraction problem with regime switching. Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 562.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904750
Ferrari, Giorgio. Controlling public debt without forgetting Inflation. Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 564.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904753
de Angelis, Tiziano, and Ferrari, Giorgio. Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 565.
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2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940
De Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. “A NONCONVEX SINGULAR STOCHASTIC CONTROL PROBLEM AND ITS RELATED OPTIMAL STOPPING BOUNDARIES”. SIAM Journal on Control and Optimization 53.3 (2015): 1199-1223.
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2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2718995
Ferrari, Giorgio. “On an integral equation for the free-boundary of stochastic, irreversible investment problems”. The Annals of Applied Probability 25.1 (2015): 150-176.
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2763830
Steg, Jan-Henrik. Symmetric equilibria in stochastic timing games. Bielefeld: Center for Mathematical Economics, 2015. Center for Mathematical Economics Working Papers. 543.
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2757310
Steg, Jan-Henrik, and Thijssen, Jacco. Quick or Persistent? Strategic Investment Demanding Versatility. Bielefeld: Center for Mathematical Economics, 2015. Center for Mathematical Economics Working Papers. 541.
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2785971
Steg, Jan-Henrik. Preemptive Investment under Uncertainty. Bielefeld: Center for Mathematical Economics, 2015. Center for Mathematical Economics Working Papers. 549.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528
de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. A non convex singular stochastic control problem and its related optimal stopping boundaries. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 508.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2698773
Riedel, Frank, and Steg, Jan-Henrik. Subgame-Perfect Equilibria in Stochastic Timing Games. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 524.
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2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2705522
De Angelis, Tiziano, and Ferrari, Giorgio. “A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis”. Stochastic Processes and their Applications 124.12 (2014): 4080-4119.
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2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888
Chiarolla, Maria B., and Ferrari, Giorgio. “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): 1048-1070.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544
de Angelis, Tiziano, Federico, Salvatore, and Ferrari, Giorgio. On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 509.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901685
Ferrari, Giorgio, and Salminen, Paavo. Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 530.
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901687
de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 531.
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2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2638626
Chiarolla, Maria B., Ferrari, Giorgio, and Riedel, Frank. “Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources”. Siam Journal On Control And Optimization 51.5 (2013): 3863-3885.
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2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674034
Ferrari, Giorgio. On an integral equation for the free boundary of stochastic, irreversible investment problems. Bielefeld: Center for Mathematical Economics, 2012. Working Papers. Institute of Mathematical Economics. 471.
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2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727
Chiarolla, Maria B., Ferrari, Giorgio, and Riedel, Frank. Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources. Bielefeld: Center for Mathematical Economics, 2012. Working Papers. Institute of Mathematical Economics. 463.
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2011 | Diskussionspapier | Veröffentlicht | PUB-ID: 2900947
Vorbrink, Jörg. American options with multiple priors in continuous time. Bielefeld: Center for Mathematical Economics, 2011. Working Papers. Institute of Mathematical Economics. 448.
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2010 | Diskussionspapier | Veröffentlicht | PUB-ID: 1943934
Riedel, Frank. Optimal Stopping under Ambiguity in Continuous Time. Bielefeld: Universität Bielefeld, 2010. Working Papers. Institute of Mathematical Economics. 429.
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2010 | Bielefelder E-Dissertation | PUB-ID: 2302541
Chudjakow, Tatjana. 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, Tatjana, and Riedel, Frank. The Best Choice Problem under Ambiguity. Bielefeld: Universität Bielefeld, 2009. Working Papers. Institute of Mathematical Economics. 413.
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2009 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 1633775
Riedel, Frank. “Optimal Stopping With Multiple Priors”. ECONOMETRICA 77.3 (2009): 857-908.
PUB | DOI | WoS
 
2007 | Diskussionspapier | Veröffentlicht | PUB-ID: 1944648
Riedel, Frank. Optimal Stopping under Ambiguity. Bielefeld: Universität Bielefeld, 2007. Working Papers. Institute of Mathematical Economics. 390.
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