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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
PUB | PDF
 
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
 

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