28 citations · 31 across the 2 of their papers we have counts for
2 papers
math.PR2017★ 3 cited
A note on a new existence result for reflected BSDEs with interconnected obstacles
Tiziano De Angelis, Giorgio Ferrari, Saïd Hamadène
In this note we prove existence of a solution to a system of Markovian BSDEs with interconnected obstacles. A key feature of our system, and the main novelty of this paper, is that…
math.OC2014★ 28 cited
A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
Tiziano De Angelis, Giorgio Ferrari, John Moriarty
Equivalences are known between problems of singular stochastic control (SSC) with convex performance criteria and related questions of optimal stopping, see for example Karatzas an…