Tiziano De Angelis

Publication Activity (10 Years)

Years Active: 2015-2024
Publications (10 Years): 14

Top Topics

Optimal Stopping

Stochastic Control

Top Venues

Math. Oper. Res.

SIAM J. Control. Optim.

Finance Stochastics

Publications

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) (2024)
Tiziano De Angelis, Peter Tankov, Olivier David Zerbib
Climate Impact Investing. Manag. Sci. 69 (12) (2023)
Cheng Cai, Tiziano De Angelis, Jan Palczewski
On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions. SIAM J. Control. Optim. 61 (3) (2023)
Katia Colaneri, Tiziano De Angelis
A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading. Math. Oper. Res. 47 (3) (2022)
Tiziano De Angelis, Erik Ekström, Kristoffer Glover
Dynkin Games with Incomplete and Asymmetric Information. Math. Oper. Res. 47 (1) (2022)
Cheng Cai, Tiziano De Angelis, Jan Palczewski
Optimal Hedging of a Perpetual American Put with a Single Trade. SIAM J. Financial Math. 12 (2) (2021)
Tiziano De Angelis, Fabien Gensbittel, Stéphane Villeneuve
A Dynkin Game on Assets with Incomplete Information on the Return. Math. Oper. Res. 46 (1) (2021)
Tiziano De Angelis, Alessandro Milazzo
Optimal stopping for the exponential of a Brownian bridge. J. Appl. Probab. 57 (1) (2020)
Tiziano De Angelis, Gabriele Stabile
On the free boundary of an annuity purchase. Finance Stochastics 23 (1) (2019)
Tiziano De Angelis, Giorgio Ferrari, John Moriarty
A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs. Math. Oper. Res. 44 (2) (2019)
Tiziano De Angelis, Gabriele Stabile
On Lipschitz Continuous Optimal Stopping Boundaries. SIAM J. Control. Optim. 57 (1) (2019)
Tiziano De Angelis, Maximilien Germain, Elena Issoglio
A numerical scheme for stochastic differential equations with distributional drift. CoRR (2019)
Tiziano De Angelis, Yerkin Kitapbayev
On the Optimal Exercise Boundaries of Swing Put Options. Math. Oper. Res. 43 (1) (2018)
Tiziano De Angelis, Salvatore Federico, Giorgio Ferrari
Optimal Boundary Surface for Irreversible Investment with Stochastic Costs. Math. Oper. Res. 42 (4) (2017)
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) (2015)
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) (2015)