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math.OC2013★ 19 cited
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…
math.OC2013
A Stochastic Partially Reversible Investment Problem on a Finite Time-Horizon: Free-Boundary Analysis
Tiziano De Angelis, Giorgio Ferrari
We study a continuous-time, finite horizon, stochastic partially reversible investment problem for a firm producing a single good in a market with frictions. The production capacit…