Tiziano De Angelis
Università degli Studi di Torino
H-index: 15
Europe-Italy
Top articles of Tiziano De Angelis
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
The maximality principle in singular control with absorption and its applications to the dividend problem | SIAM Journal on Control and Optimization | Tiziano De Angelis Erik Ekström Marcus Olofsson | 2024/4/29 |
Variational Inequalities on Unbounded Domains for Zero-Sum Singular Controller vs. Stopper Games | Mathematics of Operations Research | Andrea Bovo Tiziano De Angelis Elena Issoglio | 2024/2/21 |
On the saddle point of a zero-sum stopper vs. singular-controller game | arXiv preprint arXiv:2401.17719 | Andrea Bovo Tiziano De Angelis | 2024/1/31 |
Climate impact investing | Management Science | Tiziano De Angelis Peter Tankov Olivier David Zerbib | 2023/12 |
A change of variable formula with applications to multi-dimensional optimal stopping problems | Stochastic Processes and their Applications | Cheng Cai Tiziano De Angelis | 2023/10/1 |
Dynamic programming principle for classical and singular stochastic control with discretionary stopping | Applied Mathematics & Optimization | Tiziano De Angelis Alessandro Milazzo | 2023/8 |
On the continuity of optimal stopping surfaces for jump-diffusions | SIAM Journal on Control and Optimization | Cheng Cai Tiziano De Angelis Jan Palczewski | 2023/6/30 |
Zero-sum stopper vs. singular-controller games with constrained control directions | arXiv preprint arXiv:2306.05113 | Andrea Bovo Tiziano De Angelis Jan Palczewski | 2023/6/8 |
Nash equilibria for dividend distribution with competition | arXiv preprint arXiv:2312.07703 | Tiziano De Angelis Fabien Gensbittel Stéphane Villeneuve | 2023/12/12 |
An analytical study of participating policies with minimum rate guarantee and surrender option | Finance and Stochastics | Maria B Chiarolla Tiziano De Angelis Gabriele Stabile | 2022/4 |
A quickest detection problem with false negatives | arXiv preprint arXiv:2210.01844 | Tiziano De Angelis Jhanvi Garg Quan Zhou | 2022/10/4 |
Optimal dividend payout under stochastic discounting | Mathematical Finance | Elena Bandini Tiziano De Angelis Giorgio Ferrari Fausto Gozzi | 2022/4 |
The American put with finite‐time maturity and stochastic interest rate | Mathematical Finance | Cheng Cai Tiziano De Angelis Jan Palczewski | 2022/10 |
Dynkin games with incomplete and asymmetric information | Mathematics of Operations Research | Tiziano De Angelis Erik Ekström Kristoffer Glover | 2022/2 |
Mean-field games of finite-fuel capacity expansion with singular controls | The Annals of Applied Probability | Luciano Campi Tiziano De Angelis Maddalena Ghio Giulia Livieri | 2022/10 |
Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon | Electronic Journal of Probability | Tiziano De Angelis | 2022 |
A class of recursive optimal stopping problems with applications to stock trading | Mathematics of Operations Research | Katia Colaneri Tiziano De Angelis | 2022/8 |
On the value of non-Markovian Dynkin games with partial and asymmetric information | The Annals of Applied Probability | Tiziano De Angelis Nikita Merkulov Jan Palczewski | 2022/6 |
A numerical scheme for stochastic differential equations with distributional drift | Stochastic Processes and their applications | Tiziano De Angelis Maximilien Germain Elena Issoglio | 2022/12/1 |
Optimal hedging of a perpetual American put with a single trade | SIAM Journal on Financial Mathematics | Cheng Cai Tiziano De Angelis Jan Palczewski | 2021 |
