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40 Publikationen

2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936024
A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs
De Angelis, Tiziano, A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs. MATHEMATICS OF OPERATIONS RESEARCH 44 (2). , 2019
PUB | DOI | WoS
 
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933813
Optimal Control of Debt-To-GDP Ratio in an N-State Regime Switching Economy
Ferrari, Giorgio, Optimal Control of Debt-To-GDP Ratio in an N-State Regime Switching Economy. 589 (). Bielefeld, 2019
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933360
Optimal Reduction of Public Debt under Partial Observation of the Economic Growth
Callegaro, Giorgia, Optimal Reduction of Public Debt under Partial Observation of the Economic Growth. 608 (). Bielefeld, 2019
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2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933147
Superhedging prices of European and American options in a non-linear incomplete market with default
Grigorova, Miryana, Superhedging prices of European and American options in a non-linear incomplete market with default. 607 (). Bielefeld, 2018
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2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933126
Optimal stopping under $\textit{G}$-expectation
Li, Hanwu, Optimal stopping under $\textit{G}$-expectation. 606 (). Bielefeld, 2018
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2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2932800
ON AN OPTIMAL EXTRACTION PROBLEM WITH REGIME SWITCHING
Ferrari, Giorgio, ON AN OPTIMAL EXTRACTION PROBLEM WITH REGIME SWITCHING. ADVANCES IN APPLIED PROBABILITY 50 (3). , 2018
PUB | DOI | WoS | arXiv
 
2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930440
An Optimal Dividend Problem with Capital Injections over a Finite Horizon
Ferrari, Giorgio, An Optimal Dividend Problem with Capital Injections over a Finite Horizon . 595 (). Bielefeld, 2018
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2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2930530
Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
De Angelis, Tiziano, Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . ADVANCES IN APPLIED PROBABILITY 50 (2). , 2018
PUB | DOI | WoS | arXiv
 
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930433
On a Class of Singular Stochastic Control Problems for Reflected Diffusions
Ferrari, Giorgio, On a Class of Singular Stochastic Control Problems for Reflected Diffusions . 592 (). Bielefeld, 2017
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2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930438
On the Singular Control of Exchange Rates
Ferrari, Giorgio, On the Singular Control of Exchange Rates . 594 (). Bielefeld, 2017
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2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912499
Subgame-perfect equilibria in stochastic timing games
Riedel, Frank, Subgame-perfect equilibria in stochastic timing games. Journal of Mathematical Economics 72 (). , 2017
PUB | DOI | WoS
 
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2916438
Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
De Angelis, Tiziano, Optimal Boundary Surface for Irreversible Investment with Stochastic Costs. Mathematics of Operations Research 42 (4). , 2017
PUB | DOI | WoS
 
2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2906562
IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY
Ferrari, Giorgio, IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY. ADVANCES IN APPLIED PROBABILITY 48 (1). , 2016
PUB | DOI | WoS
 
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756
Optimal entry to an irreversible investment plan with non convex costs
de Angelis, Tiziano, Optimal entry to an irreversible investment plan with non convex costs . 566 (). Bielefeld, 2016
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2900480
Fear of the market or fear of the competitor? Ambiguity in a real options game
Hellmann, Tobias, Fear of the market or fear of the competitor? Ambiguity in a real options game. 533 (). Bielefeld, 2016
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729
A solvable two-dimensional singular stochastic control problem with non convex costs
de Angelis, Tiziano, A solvable two-dimensional singular stochastic control problem with non convex costs. 561 (). Bielefeld, 2016
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904731
On an optimal extraction problem with regime switching
Ferrari, Giorgio, On an optimal extraction problem with regime switching. 562 (). Bielefeld, 2016
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904750
Controlling public debt without forgetting Inflation
Ferrari, Giorgio, Controlling public debt without forgetting Inflation. 564 (). Bielefeld, 2016
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904753
Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
de Angelis, Tiziano, Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . 565 (). Bielefeld, 2016
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2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940
A NONCONVEX SINGULAR STOCHASTIC CONTROL PROBLEM AND ITS RELATED OPTIMAL STOPPING BOUNDARIES
De Angelis, Tiziano, A NONCONVEX SINGULAR STOCHASTIC CONTROL PROBLEM AND ITS RELATED OPTIMAL STOPPING BOUNDARIES. SIAM Journal on Control and Optimization 53 (3). , 2015
PUB | DOI | WoS
 
2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2718995
On an integral equation for the free-boundary of stochastic, irreversible investment problems
Ferrari, Giorgio, On an integral equation for the free-boundary of stochastic, irreversible investment problems. The Annals of Applied Probability 25 (1). , 2015
PUB | DOI | WoS
 
2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2763830
Symmetric equilibria in stochastic timing games
Steg, Jan-Henrik, Symmetric equilibria in stochastic timing games. 543 (). Bielefeld, 2015
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2757310
Quick or Persistent? Strategic Investment Demanding Versatility
Steg, Jan-Henrik, Quick or Persistent? Strategic Investment Demanding Versatility. 541 (). Bielefeld, 2015
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2015 | Diskussionspapier | Veröffentlicht | PUB-ID: 2785971
Preemptive Investment under Uncertainty
Steg, Jan-Henrik, Preemptive Investment under Uncertainty. 549 (). Bielefeld, 2015
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901528
A non convex singular stochastic control problem and its related optimal stopping boundaries
de Angelis, Tiziano, A non convex singular stochastic control problem and its related optimal stopping boundaries. 508 (). Bielefeld, 2014
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2698773
Subgame-Perfect Equilibria in Stochastic Timing Games
Riedel, Frank, Subgame-Perfect Equilibria in Stochastic Timing Games. 524 (). Bielefeld, 2014
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2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2705522
A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis
De Angelis, Tiziano, A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis. Stochastic Processes and their Applications 124 (12). , 2014
PUB | DOI | WoS
 
2014 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2681888
Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank--El Karoui Representation Theorem
Chiarolla, Maria B., 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
PUB | DOI | WoS
 
2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901544
On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment
de Angelis, Tiziano, On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment. 509 (). Bielefeld, 2014
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901685
Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary
Ferrari, Giorgio, Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary. 530 (). Bielefeld, 2014
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2014 | Diskussionspapier | Veröffentlicht | PUB-ID: 2901687
A solvable two-dimensional degenerate singular stochastic control problem with non convex costs
de Angelis, Tiziano, A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. 531 (). Bielefeld, 2014
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2013 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2638626
Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources
Chiarolla, Maria B., Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources. Siam Journal On Control And Optimization 51 (5). , 2013
PUB | DOI | WoS
 
2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2674034
On an integral equation for the free boundary of stochastic, irreversible investment problems
Ferrari, Giorgio, On an integral equation for the free boundary of stochastic, irreversible investment problems. 471 (). Bielefeld, 2012
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2012 | Diskussionspapier | Veröffentlicht | PUB-ID: 2671727
Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources
Chiarolla, Maria B., Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources. 463 (). Bielefeld, 2012
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2011 | Diskussionspapier | Veröffentlicht | PUB-ID: 2900947
American options with multiple priors in continuous time
Vorbrink, Jörg, American options with multiple priors in continuous time. 448 (). Bielefeld, 2011
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2010 | Diskussionspapier | Veröffentlicht | PUB-ID: 1943934
Optimal Stopping under Ambiguity in Continuous Time
Riedel, Frank, Optimal Stopping under Ambiguity in Continuous Time. 429 (). Bielefeld, 2010
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2010 | Bielefelder E-Dissertation | PUB-ID: 2302541
On Knightian uncertainty models : optimal behavior in presence of model uncertainty
Chudjakow, Tatjana, On Knightian uncertainty models : optimal behavior in presence of model uncertainty. (). Bielefeld (Germany), 2010
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2009 | Diskussionspapier | Veröffentlicht | PUB-ID: 1943958
The Best Choice Problem under Ambiguity
Chudjakow, Tatjana, The Best Choice Problem under Ambiguity. 413 (). Bielefeld, 2009
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2009 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 1633775
Optimal Stopping With Multiple Priors
Riedel, Frank, Optimal Stopping With Multiple Priors. ECONOMETRICA 77 (3). , 2009
PUB | DOI | WoS
 
2007 | Diskussionspapier | Veröffentlicht | PUB-ID: 1944648
Optimal Stopping under Ambiguity
Riedel, Frank, Optimal Stopping under Ambiguity. 390 (). Bielefeld, 2007
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