53 citations · 72 across the 9 of their papers we have counts for
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math.PR2019★ 18 cited
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…
math.PR2019
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,…