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  • Search: subject:"singular stochastic control"
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Year of publication
Subject
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singular stochastic control 70 Stochastic process 47 Stochastischer Prozess 47 optimal stopping 42 Control theory 40 Kontrolltheorie 40 Singular stochastic control 32 irreversible investment 28 Search theory 26 Suchtheorie 26 free boundary 20 Mathematical programming 19 Mathematische Optimierung 19 Game theory 11 Markov chain 11 Spieltheorie 11 variational inequality 11 debt-to-GDP ratio 10 free-boundary 10 viscosity solution 10 Optimal stopping 9 Portfolio selection 9 Portfolio-Management 9 finite-fuel singular stochastic control 9 Hamilton-Jacobi-Bellman equation 8 Markov-Kette 8 Nash equilibrium 8 smooth-fit 8 Dynkin game 7 Option pricing theory 7 Optionspreistheorie 7 Theorie 7 Theory 7 Dividend 6 Dividende 6 Public debt 6 electricity market 6 free-boundary problem 6 inflation rate 6 regime switching 6
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Online availability
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Free 83 Undetermined 31 CC license 12
Type of publication
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Book / Working Paper 83 Article 37
Type of publication (narrower categories)
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Working Paper 72 Graue Literatur 38 Non-commercial literature 38 Arbeitspapier 37 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 97 Undetermined 23
Author
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Ferrari, Giorgio 80 Federico, Salvatore 17 De Angelis, Tiziano 15 Moriarty, John 12 Schuhmann, Patrick 12 Riedel, Frank 11 Dianetti, Jodi 9 Dammann, Felix 6 Vargiolu, Tiziano 6 Rodosthenous, Neofytos 5 Steg, Jan-Henrik 5 Angelis, Tiziano De 4 Callegaro, Giorgia 4 Cannerozzi, Federico 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 Calvia, Alessandro 2 Dai, Hongshuai 2 Dumitrescu, Roxana 2 Federico, Salavatore 2 Huang, Yao Tung 2 Kaczmarek, P. 2 Kent, S. 2 Koch, Torben 2 Liu, Zaiming 2 Luan, Nana 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) 32 Center for Mathematical Economics Working Papers 31 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 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) 58 EconStor 37 RePEc 25
Showing 11 - 20 of 120
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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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Debt management game and debt ceiling
Dammann, Felix; Rodosthenous, Neofytos; Villeneuve, … - 2023
Persistent link: https://www.econbiz.de/10014251823
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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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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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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/10014277006
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Optimal execution with multiplicative price impact and incomplete information on the return
Dammann, Felix; Ferrari, Giorgio - 2022
mathematical modelling leads to a singular stochastic control problem featuring a finite-fuel constraint and partial observation …
Persistent link: https://www.econbiz.de/10014304789
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A unifying framework for submodular mean field games
Dianetti, Jodi; Ferrari, Giorgio; Fischer, Markus; … - 2022
We provide an abstract framework for submodular mean field games and identify verifiable sufficient conditions that allow to prove existence and approximation of strong mean field equilibria in models where data may not be continuous with respect to the measure parameter and common noise is...
Persistent link: https://www.econbiz.de/10012819025
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Optimal dxecution with multiplicative price impact and incomplete information on the return
Dammann, Felix; Ferrari, Giorgio - 2022
mathematical modelling leads to a singular stochastic control problem featuring a finite-fuel constraint and partial observation …
Persistent link: https://www.econbiz.de/10012880685
Saved in:
Cover Image
A unifying framework for submodular mean field games
Dianetti, Jodi; Ferrari, Giorgio; Fischer, Markus; … - 2022
We provide an abstract framework for submodular mean field games and identify verifiable sufficient conditions that allow to prove existence and approximation of strong mean field equilibria in models where data may not be continuous with respect to the measure parameter and common noise is...
Persistent link: https://www.econbiz.de/10012803218
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Multidimensional singular control and related Skorokhod problem: Sufficient conditions for the characterization of optimal controls
Dianetti, Jodi; Ferrari, Giorgio - 2021
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a …
Persistent link: https://www.econbiz.de/10012606398
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