8 citations · 9 across the 10 of their papers we have counts for
10 papers
Rigidity and default in production networks
Giacomo Como, Fabio Fagnani, Elisa Luciano +2
This paper studies the transmission of productivity shocks in general equilibrium production networks, when firms in different sectors operate under informational rigidity and rely…
Global regularity of the value function in a stopper vs. singular-controller game
Andrea Bovo, Alessandro Milazzo
We study a class of zero-sum stochastic games between a stopper and a singular-controller, previously considered in [Bovo and De Angelis (2025)]. The underlying singularly-controll…
An irreversible investment problem with a learning-by-doing feature
Erik Ekström, Yerkin Kitapbayev, Alessandro Milazzo +1
We study a model of irreversible investment for a decision-maker who has the possibility to gradually invest in a project with unknown value. In this setting, we introduce and expl…
On variable annuities with surrender charges
Tiziano De Angelis, Alessandro Milazzo, Gabriele Stabile
In this paper we provide a theoretical analysis of Variable Annuities (VAs) with a focus on the holder's right to an early termination of the contract. Motivated by risk-management…
On the monotonicity of the stopping boundary for time-inhomogeneous optimal stopping problems
Alessandro Milazzo
We consider a class of time-inhomogeneous optimal stopping problems and we provide sufficient conditions on the data of the problem that guarantee monotonicity of the optimal stopp…
The de Finetti problem with unknown competition
Erik Ekström, Alessandro Milazzo, Marcus Olofsson
We consider a resource extraction problem which extends the classical de Finetti problem for a Wiener process to include the case when a competitor, who is equipped with the possib…
An abstract decomposition of measures and its many applications
Alessandro Milazzo, Pietro Siorpaes
We consider a little-known abstract decomposition result for positive measures due to Dellacherie, and show that it yields many decompositions of measures, several of which are new…
Dynamic programming principle for classical and singular stochastic control with discretionary stopping
Tiziano De Angelis, Alessandro Milazzo
We prove the dynamic programming principle (DPP) in a class of problems where an agent controls a -dimensional diffusive dynamics via both classical and singular controls and, m…
Optimal stopping for the exponential of a Brownian bridge
Tiziano De Angelis, Alessandro Milazzo
In this paper we study the problem of stopping a Brownian bridge in order to maximise the expected value of an exponential gain function. In particular, we solve the stopping p…
The Italian Pension Gap: a Stochastic Optimal Control Approach
Alessandro Milazzo, Elena Vigna
We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pens…