45 citations · 77 across the 10 of their papers we have counts for
7 papers · 1 filter
Optimal Consumption for Recursive Preferences with Local Substitution -- the Case of Certainty
Hanwu Li, Frank Riedel, Shuzhen Yang
We characterize optimal consumption policies in a recursive intertemporal utility framework with local substitution. We establish existence and uniqueness and a version of the Kuhn…
Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty
Giorgio Ferrari, Hanwu Li, Frank Riedel
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent's preferences exhibit local intertemporal substitution. We also allow…
A Knightian Irreversible Investment Problem
Giorgio Ferrari, Hanwu Li, Frank Riedel
In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in which Knightian uncertainty is modeled through a set of multiple…
On a Class of Infinite-Dimensional Singular Stochastic Control Problems
Salvatore Federico, Giorgio Ferrari, Frank Riedel +1
We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evo…
Subgame-Perfect Equilibria in Stochastic Timing Games
Frank Riedel, Jan-Henrik Steg
We introduce a notion of subgames for stochastic timing games and the related notion of subgame-perfect equilibrium in possibly mixed strategies. While a good notion of subgame-per…
Continuous-Time Public Good Contribution under Uncertainty: A Stochastic Control Approach
Giorgio Ferrari, Frank Riedel, Jan-Henrik Steg
In this paper we study continuous-time stochastic control problems with both monotone and classical controls motivated by the so-called public good contribution problem. That is th…