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40 Publikationen

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.
PUB | DOI | WoS
 
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.
PUB | DOI | WoS
 
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.
PUB | DOI | WoS
 
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
 

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