Tiziano De Angelis

According to our database, Tiziano De Angelis authored at least 17 papers between 2015 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem.

Tiziano De Angelis, Erik Ekström, Marcus Olofsson

SIAM J. Control. Optim., February, 2024

Zero-Sum Stopper Versus Singular-Controller Games with Constrained Control Directions.

Andrea Bovo, Tiziano De Angelis, Jan Palczewski

SIAM J. Control. Optim., 2024

2023

Climate Impact Investing.

Tiziano De Angelis, Peter Tankov, Olivier David Zerbib

Manag. Sci., December, 2023

On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions.

Cheng Cai, Tiziano De Angelis, Jan Palczewski

SIAM J. Control. Optim., June, 2023

2022

A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading.

Katia Colaneri, Tiziano De Angelis

Math. Oper. Res., 2022

Dynkin Games with Incomplete and Asymmetric Information.

Tiziano De Angelis, Erik Ekström, Kristoffer J. Glover

Math. Oper. Res., 2022

2021

Optimal Hedging of a Perpetual American Put with a Single Trade.

Cheng Cai, Tiziano De Angelis, Jan Palczewski

SIAM J. Financial Math., 2021

A Dynkin Game on Assets with Incomplete Information on the Return.

Tiziano De Angelis, Fabien Gensbittel, Stéphane Villeneuve

Math. Oper. Res., 2021

2020

Optimal stopping for the exponential of a Brownian bridge.

Tiziano De Angelis, Alessandro Milazzo

J. Appl. Probab., 2020

2019

On Lipschitz Continuous Optimal Stopping Boundaries.

Tiziano De Angelis, Gabriele Stabile

SIAM J. Control. Optim., 2019

A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs.

Tiziano De Angelis, Giorgio Ferrari, John Moriarty

Math. Oper. Res., 2019

On the free boundary of an annuity purchase.

Tiziano De Angelis, Gabriele Stabile

Finance Stochastics, 2019

A numerical scheme for stochastic differential equations with distributional drift.

Tiziano De Angelis, Maximilien Germain, Elena Issoglio

CoRR, 2019

2018

On the Optimal Exercise Boundaries of Swing Put Options.

Tiziano De Angelis, Yerkin Kitapbayev

Math. Oper. Res., 2018

2017

Optimal Boundary Surface for Irreversible Investment with Stochastic Costs.

Tiziano De Angelis, Salvatore Federico, Giorgio Ferrari

Math. Oper. Res., 2017

2015

A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries.

Tiziano De Angelis, Giorgio Ferrari, John Moriarty

SIAM J. Control. Optim., 2015

A Note on the Continuity of Free-Boundaries in Finite-Horizon Optimal Stopping Problems for One-Dimensional Diffusions.

Tiziano De Angelis

SIAM J. Control. Optim., 2015