28 citations · 117 across the 37 of their papers we have counts for
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Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary
Giorgio Ferrari, Paavo Salminen
We derive a new equation for the optimal investment boundary of a general irreversible investment problem under exponential Lévy uncertainty. The problem is set as an infinite time…
A solvable two-dimensional singular stochastic control problem with non convex costs
Tiziano De Angelis, Giorgio Ferrari, John Moriarty
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-…
Optimal Dynamic Procurement Policies for a Storable Commodity with Lévy Prices and Convex Holding Costs
Maria B. Chiarolla, Giorgio Ferrari, Gabriele Stabile
In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty.…
Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
Tiziano De Angelis, Salvatore Federico, Giorgio Ferrari
This paper examines a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty…
A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
Tiziano De Angelis, Giorgio Ferrari, John Moriarty
Equivalences are known between problems of singular stochastic control (SSC) with convex performance criteria and related questions of optimal stopping, see for example Karatzas an…