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  • Search: subject:"singular stochastic control"
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Year of publication
Subject
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singular stochastic control 54 optimal stopping 33 Stochastic process 26 Stochastischer Prozess 26 Control theory 23 Kontrolltheorie 23 irreversible investment 23 Search theory 15 Suchtheorie 15 free boundary 14 Mathematical programming 11 Mathematische Optimierung 11 Singular stochastic control 10 free-boundary 9 Game theory 8 Spieltheorie 8 debt-to-GDP ratio 8 variational inequality 8 Markov chain 7 Nash equilibrium 7 viscosity solution 7 Hamilton-Jacobi-Bellman equation 6 Markov-Kette 6 finite-fuel singular stochastic control 6 free-boundary problem 6 regime switching 6 Dynkin game 5 Portfolio selection 5 Portfolio-Management 5 inflation rate 5 smooth-fit 5 Dividend 4 Dividende 4 Knightian uncertainty 4 Optimal stopping 4 Public debt 4 Risiko 4 Risk 4 Theorie 4 Theory 4
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Online availability
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Free 75 CC license 8
Type of publication
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Book / Working Paper 70 Article 5
Type of publication (narrower categories)
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Working Paper 60 Graue Literatur 30 Non-commercial literature 30 Arbeitspapier 29 Article in journal 3 Aufsatz in Zeitschrift 3 Article 2 Konferenzschrift 1 Mehrbändiges Werk 1 Multi-volume publication 1
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Language
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English 68 Undetermined 7
Author
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Ferrari, Giorgio 61 Riedel, Frank 11 Federico, Salvatore 10 Schuhmann, Patrick 9 De Angelis, Tiziano 8 Moriarty, John 8 Dammann, Felix 6 Dianetti, Jodi 6 Rodosthenous, Neofytos 5 Angelis, Tiziano De 4 Li, Hanwu 4 Röckner, Michael 4 Steg, Jan-Henrik 4 Vargiolu, Tiziano 4 Callegaro, Giorgia 3 Ceci, Claudia 3 Salminen, Paavo 3 Alvarez, Luis H. R. 2 Cannerozzi, Federico 2 Federico, Salavatore 2 Fischer, Markus 2 Koch, Torben 2 Martyr, Randall 2 Nendel, Max 2 Rakkolainen, Teppo A. 2 Villeneuve, Stéphane 2 Yang, Shuzhen 2 Zhu, Shihao 2 Aid, René 1 Boetius, Frederik 1 Kruk, Łukasz 1 Lindensjö, Kristoffer 1 Lindskog, Filip 1 Oksendal, Bernt 1 Pham, Huyen 1 Rodosthenous, Néofytos 1 Sulem, Agnès 1 Villeneuve, Bertrand 1
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Institution
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Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld 6 HAL 2 Turun Kauppakorkeakoulu, Turun Yliopisto 1
Published in...
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Center for Mathematical Economics Working Papers 27 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 25 Working Papers / Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld 6 Working Papers 3 Finance and Stochastics 2 Mathematical methods of operations research : ZOR 2 Working Papers / HAL 2 Working papers / TSE : WP 2 CoFE discussion papers 1 Discussion Papers / Turun Kauppakorkeakoulu, Turun Yliopisto 1 Discussion paper 1 Finance and stochastics 1 Institute of Mathematical Economics Working Paper 1 Quaderni del Dipartimento di economia politica e statistica 1
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Source
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ECONIS (ZBW) 33 EconStor 33 RePEc 9
Showing 1 - 10 of 75
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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 settings. The state process dynamics of a representative player follow geometric Brownian motion, controlled additively through a nondecreasing process. Agents aim to maximize a...
Persistent link: https://www.econbiz.de/10014540101
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Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces
Federico, Salvatore; Ferrari, Giorgio; Riedel, Frank; … - 2024
We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial …
Persistent link: https://www.econbiz.de/10014563912
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A stochastic non-zero-sum game of controlling the debt-to-GDP ratio
Dammann, Felix; Rodosthenous, Néofytos; Villeneuve, … - 2024
Persistent link: https://www.econbiz.de/10015097460
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Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces
Federico, Salvatore; Ferrari, Giorgio; Riedel, Frank; … - 2024
We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial …
Persistent link: https://www.econbiz.de/10014547458
Saved in:
Cover Image
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 settings. The state process dynamics of a representative player follow geometric Brownian motion, controlled additively through a nondecreasing process. Agents aim to maximize a...
Persistent link: https://www.econbiz.de/10014526152
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Optimal execution with multiplicative price impact and incomplete information on the return
Dammann, Felix; Ferrari, Giorgio - In: Finance and Stochastics 27 (2023) 3, pp. 713-768
mathematical modelling leads to a singular stochastic control problem featuring a finite-fuel constraint and partial observation …
Persistent link: https://www.econbiz.de/10015098877
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Linear-quadratic-singular stochastic differential games and applications
Dianetti, Jodi - 2023
We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is quadratic in the state and linear in the control. We call...
Persistent link: https://www.econbiz.de/10014374580
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A singular stochastic control problem with direction switching cost
Kruk, Łukasz - In: Mathematical methods of operations research : ZOR 98 (2023) 3, pp. 325-349
Persistent link: https://www.econbiz.de/10014514912
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Cover Image
Optimal execution with multiplicative price impact and incomplete information on the return
Dammann, Felix; Ferrari, Giorgio - In: Finance and stochastics 27 (2023) 3, pp. 713-768
Persistent link: https://www.econbiz.de/10014328989
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Debt management game and debt ceiling
Dammann, Felix; Rodosthenous, Neofytos; Villeneuve, … - 2023
Persistent link: https://www.econbiz.de/10014251823
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