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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 1 - 10 of 120
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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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Entropy regularization in mean-field games of optimal stopping
Dianetti, Jodi; Dumitrescu, Roxana; Ferrari, Giorgio; … - 2025
We study mean-field games of optimal stopping (OS-MFGs) and introduce an entropy-regularized framework to enable learning-based solution methods. By utilizing randomized stopping times, we reformulate the OS-MFG as a mean-field game of singular stochastic controls (SC-MFG) with entropy...
Persistent link: https://www.econbiz.de/10015472851
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Entropy regularization in mean-field games of optimal stopping
Dianetti, Jodi; Dumitrescu, Roxana; Ferrari, Giorgio; … - 2025
We study mean-field games of optimal stopping (OS-MFGs) and introduce an entropy-regularized framework to enable learning-based solution methods. By utilizing randomized stopping times, we reformulate the OS-MFG as a mean-field game of singular stochastic controls (SC-MFG) with entropy...
Persistent link: https://www.econbiz.de/10015551745
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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/10015551774
Saved in:
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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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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:
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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
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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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