8 citations · 9 across the 10 of their papers we have counts for
Showing math.PRShow all
2 papers · 1 filter
math.PR2022
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…
math.PR2019★ 8 cited
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…