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  • Search: subject:"singular stochastic control"
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Year of publication
Subject
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singular stochastic control 64 Stochastic process 43 Stochastischer Prozess 43 optimal stopping 40 Control theory 37 Kontrolltheorie 37 Singular stochastic control 32 irreversible investment 28 Search theory 24 Suchtheorie 24 Mathematical programming 18 Mathematische Optimierung 18 free boundary 16 Markov chain 11 Game theory 10 Spieltheorie 10 free-boundary 10 Optimal stopping 9 Portfolio selection 9 Portfolio-Management 9 finite-fuel singular stochastic control 9 variational inequality 9 Hamilton-Jacobi-Bellman equation 8 Markov-Kette 8 Nash equilibrium 8 debt-to-GDP ratio 8 viscosity solution 8 Option pricing theory 7 Optionspreistheorie 7 Theorie 7 Theory 7 Dividend 6 Dividende 6 electricity market 6 free-boundary problem 6 regime switching 6 smooth-fit 6 Decision under uncertainty 5 Dynkin game 5 Entscheidung unter Unsicherheit 5
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Online availability
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Free 75 Undetermined 31 CC license 8
Type of publication
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Book / Working Paper 75 Article 37
Type of publication (narrower categories)
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Working Paper 64 Graue Literatur 34 Non-commercial literature 34 Arbeitspapier 33 Article in journal 19 Aufsatz in Zeitschrift 19 Article 2 Aufsatz im Buch 1 Book section 1 Konferenzschrift 1 Mehrbändiges Werk 1 Multi-volume publication 1
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Language
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English 89 Undetermined 23
Author
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Ferrari, Giorgio 72 De Angelis, Tiziano 15 Federico, Salvatore 15 Moriarty, John 12 Riedel, Frank 11 Schuhmann, Patrick 10 Dianetti, Jodi 7 Dammann, Felix 6 Vargiolu, Tiziano 6 Rodosthenous, Neofytos 5 Steg, Jan-Henrik 5 Angelis, Tiziano De 4 Callegaro, Giorgia 4 Ceci, Claudia 4 Li, Hanwu 4 Röckner, Michael 4 Villeneuve, Bertrand 4 Aïd, René 3 Fischer, Markus 3 Martyr, Randall 3 Moreno-Bromberg, Santiago 3 Nendel, Max 3 Pham, Huyên 3 Salminen, Paavo 3 Zhu, Shihao 3 Alvarez, Luis 2 Alvarez, Luis H. R. 2 Barth, Andrea 2 Benth, Fred Espen 2 Cannerozzi, Federico 2 Dai, Hongshuai 2 Federico, Salavatore 2 Huang, Yao Tung 2 Kaczmarek, P. 2 Kent, S. 2 Koch, Torben 2 Liu, Zaiming 2 Luan, Nana 2 Matomäki, Pekka 2 Rakkolainen, Teppo 2
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Institution
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Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld 6 HAL 2 Turun Kauppakorkeakoulu, Turun Yliopisto 1 Université Paris-Dauphine (Paris IX) 1
Published in...
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Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 28 Center for Mathematical Economics Working Papers 27 Working Papers / Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld 6 Finance and Stochastics 5 Computational Statistics 4 Mathematical Methods of Operations Research 4 Institute of Mathematical Economics Working Paper 3 Mathematics of operations research 3 Working Papers 3 Finance and stochastics 2 Insurance / Mathematics & economics 2 Journal of Economic Dynamics and Control 2 Journal of economic dynamics & control 2 Mathematical methods of operations research : ZOR 2 Mathematics and financial economics 2 The journal of computational finance 2 Working Papers / HAL 2 Working papers / TSE : WP 2 Asia-Pacific Financial Markets 1 Center for Mathematical Economics Working Paper 1 CoFE discussion papers 1 Computational economics 1 Decisions in economics and finance : a journal of applied mathematics 1 Discussion Papers / Turun Kauppakorkeakoulu, Turun Yliopisto 1 Discussion paper 1 Discussion papers / CEPR 1 Economics Papers from University Paris Dauphine 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1 Quaderni del Dipartimento di economia politica e statistica 1 Stochastic Processes and their Applications 1 Stochastic optimization: theory and applications 1 The journal of energy markets 1
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Source
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ECONIS (ZBW) 54 EconStor 33 RePEc 25
Showing 1 - 10 of 112
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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
Saved in:
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
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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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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