53 citations · 72 across the 9 of their papers we have counts for
6 papers · 1 filter
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…
A numerical scheme for stochastic differential equations with distributional drift
Tiziano De Angelis, Maximilien Germain, Elena Issoglio
In this paper we present a scheme for the numerical solution of one-dimensional stochastic differential equations (SDEs) whose drift belongs to a fractional Sobolev space of negati…
Playing with ghosts in a Dynkin game
Tiziano De Angelis, Erik Ekström
We study a class of optimal stopping games (Dynkin games) of preemption type, with uncertainty about the existence of competitors. The set-up is well-suited to model, for example,…
Global Regularity of the Value Function in Optimal Stopping Problems
Tiziano De Angelis, Goran Peskir
We show that if either the process is strong Feller and the boundary point is probabilistically regular for the stopping set, or the process is strong Markov and the boundary point…
Dynkin games with incomplete and asymmetric information
Tiziano De Angelis, Erik Ekström, Kristoffer Glover
We study the value and the optimal strategies for a two-player zero-sum optimal stopping game with incomplete and asymmetric information. In our Bayesian set-up, the drift of the u…
Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
Tiziano De Angelis
We study the optimal dividend problem for a firm's manager who has partial information on the profitability of the firm. The problem is formulated as one of singular stochastic con…