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ORCIDTiziano De Angelis
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2020 – today
- 2024
[j16]Tiziano De Angelis
, Erik Ekström, Marcus Olofsson:
The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem. SIAM J. Control. Optim. 62(1): 91-117 (2024)- [j15]Andrea Bovo, Tiziano De Angelis, Jan Palczewski:
Zero-Sum Stopper Versus Singular-Controller Games with Constrained Control Directions. SIAM J. Control. Optim. 62(4): 2203-2228 (2024) - 2023
- [j14]Tiziano De Angelis, Peter Tankov, Olivier David Zerbib:
Climate Impact Investing. Manag. Sci. 69(12): 7669-7692 (2023) - [j13]Cheng Cai, Tiziano De Angelis, Jan Palczewski:
On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions. SIAM J. Control. Optim. 61(3): 1513-1531 (2023) - 2022
- [j12]Tiziano De Angelis, Erik Ekström, Kristoffer J. Glover:
Dynkin Games with Incomplete and Asymmetric Information. Math. Oper. Res. 47(1): 560-586 (2022) - [j11]Katia Colaneri, Tiziano De Angelis:
A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading. Math. Oper. Res. 47(3): 1833-1861 (2022) - 2021
- [j10]Tiziano De Angelis, Fabien Gensbittel, Stéphane Villeneuve:
A Dynkin Game on Assets with Incomplete Information on the Return. Math. Oper. Res. 46(1): 28-60 (2021) - [j9]Cheng Cai, Tiziano De Angelis, Jan Palczewski:
Optimal Hedging of a Perpetual American Put with a Single Trade. SIAM J. Financial Math. 12(2): 823-866 (2021) - 2020
- [j8]Tiziano De Angelis, Alessandro Milazzo:
Optimal stopping for the exponential of a Brownian bridge. J. Appl. Probab. 57(1): 361-384 (2020)
2010 – 2019
- 2019
- [j7]Tiziano De Angelis, Gabriele Stabile:
On the free boundary of an annuity purchase. Finance Stochastics 23(1): 97-137 (2019) - [j6]Tiziano De Angelis, Giorgio Ferrari, John Moriarty:
A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs. Math. Oper. Res. 44(2): 512-531 (2019) - [j5]Tiziano De Angelis, Gabriele Stabile:
On Lipschitz Continuous Optimal Stopping Boundaries. SIAM J. Control. Optim. 57(1): 402-436 (2019) - [i1]Tiziano De Angelis, Maximilien Germain, Elena Issoglio:
A numerical scheme for stochastic differential equations with distributional drift. CoRR abs/1906.11026 (2019) - 2018
- [j4]Tiziano De Angelis, Yerkin Kitapbayev:
On the Optimal Exercise Boundaries of Swing Put Options. Math. Oper. Res. 43(1): 252-274 (2018) - 2017
- [j3]Tiziano De Angelis, Salvatore Federico, Giorgio Ferrari:
Optimal Boundary Surface for Irreversible Investment with Stochastic Costs. Math. Oper. Res. 42(4): 1135-1161 (2017) - 2015
- [j2]Tiziano De Angelis:
A Note on the Continuity of Free-Boundaries in Finite-Horizon Optimal Stopping Problems for One-Dimensional Diffusions. SIAM J. Control. Optim. 53(1): 167-184 (2015) - [j1]Tiziano De Angelis, Giorgio Ferrari, John Moriarty:
A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries. SIAM J. Control. Optim. 53(3): 1199-1223 (2015)
Coauthor Index
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