53 citations · 72 across the 9 of their papers we have counts for
13 papers
Integral equations for the optimal boundary surface of a mean-field game of capacity expansion
Tiziano De Angelis, Giulia Livieri, Maddalena Ghio
We prove that the optimal boundary surface that splits the action and inaction regions in a mean-field game of capacity expansion studied in (Campi et al.,\ Ann.\ Appl.\ Probab.,\…
A class of stochastic control problems with state constraints
Tiziano De Angelis, Erik Ekström
We obtain a probabilistic solution to linear-quadratic optimal control problems with state constraints. Given a closed set , a diffusi…
Martingale theory for Dynkin games with asymmetric information
Tiziano De Angelis, Jan Palczewski, Jacob Smith
This paper provides necessary and sufficient conditions for a pair of randomised stopping times to form a saddle point of a zero-sum Dynkin game with partial and/or asymmetric info…
Optimal Annuitization with stochastic mortality: Piecewise Deterministic Mortality Force
Matteo Buttarazzi, Tiziano De Angelis, Gabriele Stabile
This paper addresses the problem of determining the optimal time for an individual to convert retirement savings into a lifetime annuity. The individual invests their wealth into a…
Finite-time horizon, stopper vs. singular-controller games on the half-line
Andrea Bovo, Tiziano De Angelis
We prove existence of a value for two-player zero-sum stopper vs. singular-controller games on finite-time horizon, when the underlying dynamics is one-dimensional, diffusive and b…
Optimal Dividend Payout under Stochastic Discounting
Elena Bandini, Tiziano De Angelis, Giorgio Ferrari +1
Adopting a probabilistic approach we determine the optimal dividend payout policy of a firm whose surplus process follows a controlled arithmetic Brownian motion and whose cash-flo…