Giorgio Ferrari

Bielefeld University - Center for Mathematical Economics

Postfach 10 01 31

Bielefeld, D-33501

Germany

SCHOLARLY PAPERS

8

DOWNLOADS

241

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (8)

1.

Continuous-Time Public Good Contribution Under Uncertainty

Institute of Mathematical Economics Working Paper No. 485
Number of pages: 34 Posted: 12 Jul 2013
Giorgio Ferrari, Frank Riedel and Jan-Henrik Steg
Bielefeld University - Center for Mathematical Economics, Bielefeld University - Center for Mathematical Economics and Bielefeld University - Center for Mathematical Economics
Downloads 47 (433,399)

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irreversible investment, singular stochastic control, first order conditions for optimality, stochastic games, Nash equilibrium, free-riding

2.

On an Integral Equation for the Free Boundary of Stochastic, Irreversible Investment Problems

Institute of Mathematical Economics Working Paper No. 471
Number of pages: 20 Posted: 09 Nov 2012
Giorgio Ferrari
Bielefeld University - Center for Mathematical Economics
Downloads 42 (453,058)
Citation 1

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integral equation, free boundary, irreversible investment, singular stochastic control, optimal stopping, one-dimensional diff usion, Bank and El Karoui's Representation Theorem, base capacity

3.

On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment

Institute of Mathematical Economics Working Paper No. 509
Number of pages: 41 Posted: 26 Jun 2014 Last Revised: 05 Dec 2014
Tiziano De Angelis, Salvatore Federico and Giorgio Ferrari
University of Manchester, University of Milan and Bielefeld University - Center for Mathematical Economics
Downloads 40 (461,597)

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irreversible investment, singular stochastic control, optimal stopping, free-boundary problems, nonlinear integral equations

4.

A Non Convex Singular Stochastic Control Problem and Its Related Optimal Stopping Boundaries

Institute of Mathematical Economics Working Paper No. 508
Number of pages: 25 Posted: 11 May 2014 Last Revised: 05 Dec 2014
Tiziano De Angelis, Giorgio Ferrari and John Moriarty
University of Manchester, Bielefeld University - Center for Mathematical Economics and Queen Mary University of London - School of Mathematical Sciences
Downloads 32 (498,071)
Citation 1

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fi nite-fuel singular stochastic control, optimal stopping, free-boundary, smooth-fit, Hamilton-Jacobi-Bellman equation, irreversible investment

5.

A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Non Convex Costs

Center for Mathematical Economics Working Paper No. 531
Number of pages: 28 Posted: 05 Dec 2014
Tiziano De Angelis, Giorgio Ferrari and John Moriarty
University of Manchester, Bielefeld University - Center for Mathematical Economics and Queen Mary University of London - School of Mathematical Sciences
Downloads 27 (524,453)

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finite-fuel singular stochastic control, optimal stopping, free boundary, Hamilton-Jacobi-Bellmann equation, irreversible investment, electricity market

6.

Irreversible Investment under Lévy Uncertainty: An Equation for the Optimal Boundary

Center for Mathematical Economics Working Paper No. 530
Number of pages: 20 Posted: 05 Dec 2014
Giorgio Ferrari and Paavo Salminen
Bielefeld University - Center for Mathematical Economics and Åbo Akademi University - Department of Natural Sciences/Mathematics and Statistics
Downloads 27 (524,453)

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free-boundary, irreversible investment, singular stochastic control, optimal stopping, Lévy process, Bank and El Karoui's representation theorem, base capacity

7.

A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis

Institute of Mathematical Economics Working Paper No. 477
Number of pages: 42 Posted: 08 Sep 2013 Last Revised: 29 Nov 2013
Tiziano De Angelis and Giorgio Ferrari
University of Manchester and Bielefeld University - Center for Mathematical Economics
Downloads 26 (530,294)
Citation 2

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reversible investment, singular stochastic control, zero-sum optimal stopping games, free boundary problems, Skorokhod reflection problem

Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment Under Limited Resources

Institute of Mathematical Economics Working Paper No. 463
Posted: 20 Mar 2012
Maria Chiarolla, Giorgio Ferrari and Frank Riedel
Università del Salento - Dipartimento di Scienze dell'Economia (DSE), Bielefeld University - Center for Mathematical Economics and Bielefeld University - Center for Mathematical Economics

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stochastic irreversible investment, optimal stopping, the Bank and El Karoui Representation Theorem, base capacity, Lagrange multiplier optional measure

Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment Under Limited Resources

SIAM Journal on Control and Optimization 2013 51:5, 3863-3885
Posted: 11 Feb 2014
Frank Riedel, Giorgio Ferrari and Maria Chiarolla
Bielefeld University - Center for Mathematical Economics, Bielefeld University - Center for Mathematical Economics and Università del Salento - Dipartimento di Scienze dell'Economia (DSE)

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