53 citations · 72 across the 9 of their papers we have counts for
Showing 2018Show all
3 papers · 1 filter
math.PR2018
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…
math.PR2018
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…
math.PR2018
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…