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Year of publication
Subject
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Theorie 18 Stochastic process 17 Theory 17 Stochastischer Prozess 16 Markov chain 11 Markov-Kette 11 Risiko 10 Risk 10 Game theory 9 Spieltheorie 9 singular control 8 Ergodic theory 7 Zeitreihenanalyse 7 Bayes-Statistik 6 Bayesian inference 6 Ergodic diffusion process 6 Estimation theory 6 Schätztheorie 6 ZLB 6 ergodic 6 uncertainty 6 Entropy 5 Keynesian economics 5 Keynesianismus 5 Lyapunov exponents 5 Nash equilibrium 5 Neoclassical synthesis 5 Neoklassische Synthese 5 Simulation 5 Time series analysis 5 ergodic diffusion 5 ergodic distribution 5 stationary 5 stochastic simulation 5 Algorithm 4 Algorithmus 4 DSGE 4 Dynamische Wirtschaftstheorie 4 Economic dynamics 4 Ergodic 4
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Online availability
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Undetermined 102 Free 65 CC license 6
Type of publication
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Article 122 Book / Working Paper 70
Type of publication (narrower categories)
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Article in journal 38 Aufsatz in Zeitschrift 38 Working Paper 31 Arbeitspapier 19 Graue Literatur 19 Non-commercial literature 19 Article 4 research-article 1
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Language
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Undetermined 103 English 88 Spanish 1
Author
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Ferrari, Giorgio 10 Davidson, Paul 7 Schuerger, Klaus 7 Maliar, Lilia 6 Maliar, Serguei 6 Dianetti, Jodi 5 Neusser, Klaus 5 O'Donnell, Rod 4 Tzouanas, Ioannis 4 Braido, Luis H. B. 3 Cannerozzi, Federico 3 Cao, Haoyang 3 Chen, Xiaohong 3 Cheng, Tingting 3 Gao, Jiti 3 Györfi, László 3 Koenker, Roger 3 Kutoyants, Yury 3 Meyer-Gohde, Alexander 3 Negri, Ilia 3 Page, Frank H. 3 Phillips, Peter C. B. 3 Poulsen, Odile 3 Ramírez, José Carlos 3 Schnack, J. 3 Xiao, Zhijie 3 Aiash, Mahdi 2 Blasques, Francisco 2 Dai, Darong 2 Duncan, T. 2 Feleqi, Ermal 2 Galtchouk, L. 2 Giesecke, Kay 2 Goenka, Aditya 2 Kadelbach, Vivian 2 Koopman, Siem Jan 2 Kovalenko, Igor 2 Krupa, Tadeusz 2 Kunst, Robert M. 2 Large, Jeremy 2
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Institution
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University of Bonn, Germany 7 Department of Economics and Business, Universitat Pompeu Fabra 2 HAL 2 Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät 2 C.E.P.R. Discussion Papers 1 Cowles Foundation for Research in Economics, Yale University 1 Departamento de Estadistica, Universidad Carlos III de Madrid 1 Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 Department of Economics, Boston College 1 Department of Economics, Oxford University 1 Department of Economics, Simon Fraser University 1 Department of Economics, University of Crete 1 Dipartimento di Economia, Management e Metodi Quantitativi (DEMM), Università degli Studi di Milano 1 Dipartimento di Matematica Applicata, Università Ca' Foscari Venezia 1 EconWPA 1 Econometric Society 1 Economics Group, Nuffield College, University of Oxford 1 Fondazione ENI Enrico Mattei (FEEM) 1 Institut ekonomických studií, Univerzita Karlova v Praze 1 Instituto Valenciano de Investigaciones Económicas (IVIE) 1 Nationalökonomisk Institut, Institut for Økonomi 1 Nationaløkonomiske Instituttet <Århus> 1 Research Institute for Economics and Business Administration, Kobe University 1 School of Economics and Management, University of Aarhus 1 School of Economics, University of Edinburgh 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Vanderbilt University Department of Economics 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1 World Scientific Publishing Co. Pte. Ltd. 1 Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 1
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Published in...
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Stochastic Processes and their Applications 14 Physica A: Statistical Mechanics and its Applications 12 Statistical Inference for Stochastic Processes 11 Discussion Paper Serie B 7 Journal of post-Keynesian economics : JPKE 6 Statistics & Probability Letters 6 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 5 Center for Mathematical Economics Working Papers 4 Computational Statistics 3 Dynamic games and applications : DGA 3 Mathematical Methods of Operations Research 3 Mathematics and Computers in Simulation (MATCOM) 3 Mathematics of operations research 3 Annals of the Institute of Statistical Mathematics 2 Discussion Papers 2 Diskussionsschriften / Universität Bern, Departement Volkswirtschaftlehre 2 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 2 Finance and stochastics 2 IEW - Working Papers 2 Journal of Post Keynesian Economics 2 Journal of economic dynamics & control 2 Quantitative economics : QE ; journal of the Econometric Society 2 Statistics & Risk Modeling 2 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 2 Theoretical Economics 2 Working Papers / HAL 2 Working paper / Department of Econometrics and Business Statistics, Monash University 2 Annals of economics and finance 1 Athens journal of business & economics : AJBE 1 Boston College Working Papers in Economics 1 Bulletin of the Czech Econometric Society 1 CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series 1 CEPR Discussion Papers 1 CREATES Research Papers 1 Cowles Foundation Discussion Papers 1 Czech Economic Review 1 Czech economic review : acta Universitatis Carolinae oeconomica 1 Discussion Paper Series / Research Institute for Economics and Business Administration, Kobe University 1 Discussion Papers / Department of Economics, Simon Fraser University 1 Discussion paper / Tinbergen Institute 1
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Source
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RePEc 115 ECONIS (ZBW) 57 EconStor 16 Other ZBW resources 4
Showing 1 - 10 of 192
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Stationary mean-field games of singular control under Knightian uncertainty
Ferrari, Giorgio; Tzouanas, Ioannis - 2025
In this work, we study a class of stationary mean-field games of singular stochastic control under model uncertainty. The representative agent adjusts the dynamics of an Itô-diffusion via onesided singular stochastic control, aiming to maximize a long-term average expected profit criterion. The...
Persistent link: https://www.econbiz.de/10015407563
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Stationary mean-field games of singular control under Knightian uncertainty
Ferrari, Giorgio; Tzouanas, Ioannis - 2025
In this work, we study a class of stationary mean-field games of singular stochastic control under model uncertainty. The representative agent adjusts the dynamics of an Itô-diffusion via onesided singular stochastic control, aiming to maximize a long-term average expected profit criterion. The...
Persistent link: https://www.econbiz.de/10015405879
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Cover Image
Optimal policy characterization for a class of multi-dimensional ergodic singular stochastic control problems
Calvia, Alessandro; Cannerozzi, Federico; Ferrari, Giorgio - 2025
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state … of multi-dimensional ergodic singular stochastic control problems. These problems involve a linearly controlled one … a connection between multi-dimensional ergodic singular stochastic control and optimal stopping, and to exploit this …
Persistent link: https://www.econbiz.de/10015472838
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Cooperation, correlation and competition in ergodic N-player games and mean-field games of singular controls: A case study
Cannerozzi, Federico; Ferrari, Giorgio - 2024
We consider ergodic symmetric N-player and mean-field games of singular control in both cooperative and competitive …, this paper is the first to characterize coarse correlated equilibria, construct the explicit solution to an ergodic mean …
Persistent link: https://www.econbiz.de/10014540101
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The multivariate fractional Ornstein-Uhlenbeck process
Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024
Persistent link: https://www.econbiz.de/10015084279
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Cooperation, correlation and competition in ergodic N-player games and mean-field games of singular controls : a case study
Cannerozzi, Federico; Ferrari, Giorgio - 2024
We consider ergodic symmetric N-player and mean-field games of singular control in both cooperative and competitive …, this paper is the first to characterize coarse correlated equilibria, construct the explicit solution to an ergodic mean …
Persistent link: https://www.econbiz.de/10014526152
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Ergodic mean-field games of singular control with regime-switching
Dianetti, Jodi; Ferrari, Giorgio; Tzouanas, Ioannis - 2023
ergodic N-player game with singular controls. The proof hinges on the characterization of the optimal solution to the … representative player's ergodic singular stochastic control problem with regime switching, which is of independent interest and …
Persistent link: https://www.econbiz.de/10014374707
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Ergodic mean-field games of singular control with regime-switching
Dianetti, Jodi; Ferrari, Giorgio; Tzouanas, Ioannis - 2023 - Extended version
mean-field equilibrium. Furthermore, we show that this realizes a symmetric εN-Nash equilibrium for a suitable ergodic N …'s ergodic singular stochastic control problem with regime switching, which is of independent interest and appears here for the …
Persistent link: https://www.econbiz.de/10014320775
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On the growth rate of superadditive processes and the stability of functional GARCH models
Kandji, Baye Matar - 2023
Persistent link: https://www.econbiz.de/10014321021
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Multilevel Langevin pathwise average for Gibbs approximation
Egéa, Maxime; Panloup, Fabien - In: Mathematics of operations research 50 (2025) 1, pp. 573-605
Persistent link: https://www.econbiz.de/10015211752
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