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40 Publikationen

2019 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2936024
De Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. 2019. “A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs”. MATHEMATICS OF OPERATIONS RESEARCH 44 (2): 512-531.
PUB | DOI | WoS
 
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933813
Ferrari, Giorgio, and Rodosthenous, Neofytos. 2019. Optimal Control of Debt-To-GDP Ratio in an N-State Regime Switching Economy. Aktual. Version Februar 2019. Vol. 589. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
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2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933360
Callegaro, Giorgia, Ceci, Claudia, and Ferrari, Giorgio. 2019. Optimal Reduction of Public Debt under Partial Observation of the Economic Growth. Vol. 608. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
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2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933147
Grigorova, Miryana, Quenez, Marie-Claire, and Sulem, Agnès. 2018. Superhedging prices of European and American options in a non-linear incomplete market with default. Vol. 607. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
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2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2933126
Li, Hanwu. 2018. Optimal stopping under $\textit{G}$-expectation. Vol. 606. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
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2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2932800
Ferrari, Giorgio, and Yang, Shuzhen. 2018. “ON AN OPTIMAL EXTRACTION PROBLEM WITH REGIME SWITCHING”. ADVANCES IN APPLIED PROBABILITY 50 (3): 671-705.
PUB | DOI | WoS | arXiv
 
2018 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930440
Ferrari, Giorgio, and Schuhmann, Patrick. 2018. An Optimal Dividend Problem with Capital Injections over a Finite Horizon . Vol. 595. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
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2018 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2930530
De Angelis, Tiziano, and Ferrari, Giorgio. 2018. “Stochastic nonzero-sum games: a new connection between singular control and optimal stopping ”. ADVANCES IN APPLIED PROBABILITY 50 (2): 347-372.
PUB | DOI | WoS | arXiv
 
2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930433
Ferrari, Giorgio. 2017. On a Class of Singular Stochastic Control Problems for Reflected Diffusions . Vol. 592. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
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2017 | Diskussionspapier | Veröffentlicht | PUB-ID: 2930438
Ferrari, Giorgio, and Vargiolu, Tiziano. 2017. On the Singular Control of Exchange Rates . Vol. 594. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
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2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912499
Riedel, Frank, and Steg, Jan-Henrik. 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, Tiziano, Federico, Salvatore, and Ferrari, Giorgio. 2017. “Optimal Boundary Surface for Irreversible Investment with Stochastic Costs”. Mathematics of Operations Research 42 (4): 1135-1161.
PUB | DOI | WoS
 
2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2906562
Ferrari, Giorgio, and Salminen, Paavo. 2016. “IRREVERSIBLE INVESTMENT UNDER LEVY UNCERTAINTY: AN EQUATION FOR THE OPTIMAL BOUNDARY”. ADVANCES IN APPLIED PROBABILITY 48 (1): 298-314.
PUB | DOI | WoS
 
2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904756
de Angelis, Tiziano, Ferrari, Giorgio, Martyr, Randall, and Moriarty, John. 2016. Optimal entry to an irreversible investment plan with non convex costs . Vol. 566. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2900480
Hellmann, Tobias, and Thijssen, Jacco J.J. 2016. Fear of the market or fear of the competitor? Ambiguity in a real options game. Januar 2016. Vol. 533. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904729
de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. 2016. A solvable two-dimensional singular stochastic control problem with non convex costs. Vol. 561. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904731
Ferrari, Giorgio, and Yang, Shuzhen. 2016. On an optimal extraction problem with regime switching. Vol. 562. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904750
Ferrari, Giorgio. 2016. Controlling public debt without forgetting Inflation. Vol. 564. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
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2016 | Diskussionspapier | Veröffentlicht | PUB-ID: 2904753
de Angelis, Tiziano, and Ferrari, Giorgio. 2016. Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Vol. 565. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
2015 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2766940
De Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. 2015. “A NONCONVEX SINGULAR STOCHASTIC CONTROL PROBLEM AND ITS RELATED OPTIMAL STOPPING BOUNDARIES”. SIAM Journal on Control and Optimization 53 (3): 1199-1223.
PUB | DOI | WoS
 

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