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40 Publikationen

2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936024
T. De Angelis, G. Ferrari, and J. Moriarty, “A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs”, MATHEMATICS OF OPERATIONS RESEARCH, 2019, 44, 512-531.
PUB | DOI | WoS
 
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933813
G. Ferrari, and N. Rodosthenous, Optimal Control of Debt-To-GDP Ratio in an N-State Regime Switching Economy, Center For Mathematical Economics, Bielefeld, 2019.
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933360
G. Callegaro, C. Ceci, and G. Ferrari, Optimal Reduction of Public Debt under Partial Observation of the Economic Growth, Center For Mathematical Economics, Bielefeld, 2019.
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2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933147
M. Grigorova, M. - C. Quenez, and A. Sulem, Superhedging prices of European and American options in a non-linear incomplete market with default, Center For Mathematical Economics, Bielefeld, 2018.
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2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933126
H. Li, Optimal stopping under $\textit{G}$-expectation, Center For Mathematical Economics, Bielefeld, 2018.
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2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2932800
G. Ferrari, and S. Yang, “ON AN OPTIMAL EXTRACTION PROBLEM WITH REGIME SWITCHING”, ADVANCES IN APPLIED PROBABILITY, 2018, 50, 671-705.
PUB | DOI | WoS | arXiv
 
2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930440
G. Ferrari, and P. Schuhmann, An Optimal Dividend Problem with Capital Injections over a Finite Horizon , Center For Mathematical Economics, Bielefeld, 2018.
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2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2930530
T. De Angelis, and G. Ferrari, “Stochastic nonzero-sum games: a new connection between singular control and optimal stopping ”, ADVANCES IN APPLIED PROBABILITY, 2018, 50, 347-372.
PUB | DOI | WoS | arXiv
 
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930433
G. Ferrari, On a Class of Singular Stochastic Control Problems for Reflected Diffusions , Center For Mathematical Economics, Bielefeld, 2017.
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2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930438
G. Ferrari, and T. Vargiolu, On the Singular Control of Exchange Rates , Center For Mathematical Economics, Bielefeld, 2017.
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2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912499
F. Riedel, and J. - H. Steg, “Subgame-perfect equilibria in stochastic timing games”, Journal of Mathematical Economics, 2017, 72, 36-50.
PUB | DOI | WoS
 
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2916438
T. De Angelis, S. Federico, and G. Ferrari, “Optimal Boundary Surface for Irreversible Investment with Stochastic Costs”, Mathematics of Operations Research, 2017, 42, 1135-1161.
PUB | DOI | WoS
 
2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2906562
G. Ferrari, and P. Salminen, “IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY”, ADVANCES IN APPLIED PROBABILITY, 2016, 48, 298-314.
PUB | DOI | WoS
 
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756
T. de Angelis, G. Ferrari, R. Martyr, and J. Moriarty, Optimal entry to an irreversible investment plan with non convex costs , Center For Mathematical Economics, Bielefeld, 2016.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2900480
T. Hellmann, and J. J. J. Thijssen, Fear of the market or fear of the competitor? Ambiguity in a real options game, Center For Mathematical Economics, Bielefeld, 2016.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729
T. de Angelis, G. Ferrari, and J. Moriarty, A solvable two-dimensional singular stochastic control problem with non convex costs, Center For Mathematical Economics, Bielefeld, 2016.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904731
G. Ferrari, and S. Yang, On an optimal extraction problem with regime switching, Center For Mathematical Economics, Bielefeld, 2016.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904750
G. Ferrari, Controlling public debt without forgetting Inflation, Center For Mathematical Economics, Bielefeld, 2016.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904753
T. de Angelis, and G. Ferrari, Stochastic nonzero-sum games: a new connection between singular control and optimal stopping , Center For Mathematical Economics, Bielefeld, 2016.
PUB | PDF
 
2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940
T. De Angelis, G. Ferrari, and J. Moriarty, “A NONCONVEX SINGULAR STOCHASTIC CONTROL PROBLEM AND ITS RELATED OPTIMAL STOPPING BOUNDARIES”, SIAM Journal on Control and Optimization, 2015, 53, 1199-1223.
PUB | DOI | WoS
 

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