1 citations · 1 across the 1 of their papers we have counts for
3 papers
math.OC2022★ 1 cited
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…
math.PR2019
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…
q-fin.RM2018
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…