Tiziano De Angelis

18 papers Journal 18
YearRankTypeTitle / Venue / Authors
2025 J jnl
Variational Inequalities on Unbounded Domains for Zero-Sum Singular Controller vs. Stopper Games.
Math. Oper. Res.
Andrea Bovo, Tiziano De Angelis, Elena Issoglio
2024 J jnl
The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem.
SIAM J. Control. Optim.
Tiziano De Angelis, Erik Ekström, Marcus Olofsson
2024 J jnl
Zero-Sum Stopper Versus Singular-Controller Games with Constrained Control Directions.
SIAM J. Control. Optim.
Andrea Bovo, Tiziano De Angelis, Jan Palczewski
2023 J jnl
Climate Impact Investing.
Manag. Sci.
Tiziano De Angelis, Peter Tankov, Olivier David Zerbib
2023 J jnl
On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions.
SIAM J. Control. Optim.
Cheng Cai, Tiziano De Angelis, Jan Palczewski
2022 J jnl
A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading.
Math. Oper. Res.
Katia Colaneri, Tiziano De Angelis
2022 J jnl
Dynkin Games with Incomplete and Asymmetric Information.
Math. Oper. Res.
Tiziano De Angelis, Erik Ekström, Kristoffer J. Glover
2021 J jnl
A Dynkin Game on Assets with Incomplete Information on the Return.
Math. Oper. Res.
Tiziano De Angelis, Fabien Gensbittel, Stéphane Villeneuve
2021 J jnl
Optimal Hedging of a Perpetual American Put with a Single Trade.
SIAM J. Financial Math.
Cheng Cai, Tiziano De Angelis, Jan Palczewski
2020 J jnl
Optimal stopping for the exponential of a Brownian bridge.
J. Appl. Probab.
Tiziano De Angelis, Alessandro Milazzo
2019 J jnl
A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs.
Math. Oper. Res.
Tiziano De Angelis, Giorgio Ferrari, John Moriarty
2019 J jnl
A numerical scheme for stochastic differential equations with distributional drift.
CoRR
Tiziano De Angelis, Maximilien Germain, Elena Issoglio
2019 J jnl
On Lipschitz Continuous Optimal Stopping Boundaries.
SIAM J. Control. Optim.
Tiziano De Angelis, Gabriele Stabile
2019 J jnl
On the free boundary of an annuity purchase.
Finance Stochastics
Tiziano De Angelis, Gabriele Stabile
2018 J jnl
On the Optimal Exercise Boundaries of Swing Put Options.
Math. Oper. Res.
Tiziano De Angelis, Yerkin Kitapbayev
2017 J jnl
Optimal Boundary Surface for Irreversible Investment with Stochastic Costs.
Math. Oper. Res.
Tiziano De Angelis, Salvatore Federico, Giorgio Ferrari
2015 J jnl
A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries.
SIAM J. Control. Optim.
Tiziano De Angelis, Giorgio Ferrari, John Moriarty
2015 J jnl
A Note on the Continuity of Free-Boundaries in Finite-Horizon Optimal Stopping Problems for One-Dimensional Diffusions.
SIAM J. Control. Optim.
Tiziano De Angelis