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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.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…