Details about Giorgio Ferrari

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Short-id: pfe394

Working Papers

2017

1. Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
   Papers, arXiv.org View citations (23)

2016

2. A non convex singular stochastic control problem and its related optimal stopping boundaries
   Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University View citations (1)
   Also in Papers, arXiv.org (2014) View citations (10)
3. On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment
   Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University View citations (2)

2015

4. Continuous-Time Public Good Contribution under Uncertainty: A Stochastic Control Approach
   Papers, arXiv.org View citations (6)
5. On an integral equation for the free-boundary of stochastic, irreversible investment problems
   Papers, arXiv.org View citations (22)
   Also in Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University (2014) View citations (11)
6. Optimal Dynamic Procurement Policies for a Storable Commodity with L\'evy Prices and Convex Holding Costs
   Papers, arXiv.org View citations (2)

2014

7. A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis
   Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University View citations (19)
8. Generalized Kuhn–Tucker conditions for N-Firm stochastic irreversible investment under limited resources
   Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University View citations (7)
   Also in Papers, arXiv.org (2013) View citations (8)

2013

9. Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank-El Karoui Representation Theorem
   Papers, arXiv.org View citations (22)

2011

10. Power Series Representations for European Option Prices under Stochastic Volatility Models
    Papers, arXiv.org