38 citations · 108 across the 26 of their papers we have counts for
37 papers
A continuous-time dynamic contracting problem with limited liability and finite horizon
Andrea Bovo, Tiziano De Angelis, Stéphane Villeneuve
We perform a detailed study of a principal--agent problem in a continuous time version of the celebrated Holmström--Milgrom model (Econometrica 55 (2), 1987) where we add limited l…
A probabilistic approach to continuous differentiability of optimal stopping boundaries
Tiziano De Angelis, Damien Lamberton
We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a o…
On variable annuities with surrender charges
Tiziano De Angelis, Alessandro Milazzo, Gabriele Stabile
In this paper we provide a theoretical analysis of Variable Annuities (VAs) with a focus on the holder's right to an early termination of the contract. Motivated by risk-management…
On the saddle point of a zero-sum stopper vs. singular-controller game
Andrea Bovo, Tiziano De Angelis
We construct a saddle point in a class of zero-sum games between a stopper and a singular-controller. The underlying dynamics is a one-dimensional, time-homogeneous, singularly con…
Nash equilibria for dividend distribution with competition
Tiziano De Angelis, Fabien Gensbittel, Stéphane Villeneuve
We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. M…
Stopper vs. singular-controller games with degenerate diffusions
Andrea Bovo, Tiziano De Angelis, Jan Palczewski
We study zero-sum stochastic games between a singular controller and a stopper when the (state-dependent) diffusion matrix of the underlying controlled diffusion process is degener…
Zero-sum stopper vs. singular-controller games with constrained control directions
Andrea Bovo, Tiziano De Angelis, Jan Palczewski
We consider a class of zero-sum stopper vs. singular-controller games in which the controller can only act on a subset of the coordinates of a controlled diffusion. Due…
A quickest detection problem with false negatives
Tiziano De Angelis, Jhanvi Garg, Quan Zhou
We formulate and solve a variant of the quickest detection problem which features false negatives. A standard Brownian motion acquires a drift at an independent exponential random…
The maximality principle in singular control with absorption and its applications to the dividend problem
Tiziano De Angelis, Erik Ekström, Marcus Olofsson
Motivated by a new formulation of the classical dividend problem, we show that Peskir's maximality principle can be transferred to singular stochastic control problems with 2-dimen…
Variational inequalities on unbounded domains for zero-sum singular-controller vs. stopper games
Andrea Bovo, Tiziano De Angelis, Elena Issoglio
We study a class of zero-sum games between a singular-controller and a stopper over finite-time horizon. The underlying process is a multi-dimensional (locally non-degenerate) cont…
Dynamic programming principle for classical and singular stochastic control with discretionary stopping
Tiziano De Angelis, Alessandro Milazzo
We prove the dynamic programming principle (DPP) in a class of problems where an agent controls a -dimensional diffusive dynamics via both classical and singular controls and, m…
On the continuity of optimal stopping surfaces for jump-diffusions
Cheng Cai, Tiziano De Angelis, Jan Palczewski
We show that optimal stopping surfaces arising from time-inhomogeneous optimal stopping problems on two-dimensional jump-diffusions are continuous (…
The American put with finite-time maturity and stochastic interest rate
Cheng Cai, Tiziano De Angelis, Jan Palczewski
In this paper we study pricing of American put options on the Black and Scholes market with a stochastic interest rate and finite-time maturity. We prove that the option value is a…
A change of variable formula with applications to multi-dimensional optimal stopping problems
Cheng Cai, Tiziano De Angelis
We derive a change of variable formula for functions whose second order spatial derivatives may explode and not be integrable in the neighbourhood of…
Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
Tiziano De Angelis
We consider optimal stopping problems with finite-time horizon and state-dependent discounting. The underlying process is a one-dimensional linear diffusion and the gain function i…
On the value of non-Markovian Dynkin games with partial and asymmetric information
Tiziano De Angelis, Nikita Merkulov, Jan Palczewski
We prove that zero-sum Dynkin games in continuous time with partial and asymmetric information admit a value in randomised stopping times when the stopping payoffs of the players a…
Mean-Field Games of Finite-Fuel Capacity Expansion with Singular Controls
Luciano Campi, Tiziano De Angelis, Maddalena Ghio +1
We study Nash equilibria for a sequence of symmetric -player stochastic games of finite-fuel capacity expansion with singular controls and their mean-field game (MFG) counterpar…
An analytical study of participating policies with minimum rate guarantee and surrender option
Maria B. Chiarolla, Tiziano De Angelis, Gabriele Stabile
We perform a detailed theoretical study of the value of a class of participating policies with four key features: the policyholder is guaranteed a minimum interest rate on th…
Optimal hedging of a perpetual American put with a single trade
Cheng Cai, Tiziano De Angelis, Jan Palczewski
It is well-known that using delta hedging to hedge financial options is not feasible in practice. Traders often rely on discrete-time hedging strategies based on fixed trading time…
A class of recursive optimal stopping problems with applications to stock trading
Katia Colaneri, Tiziano De Angelis
In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the proble…
On the free boundary of an annuity purchase
Tiziano De Angelis, Gabriele Stabile
It is known that the decision to purchase an annuity may be associated to an optimal stopping problem. However, little is known about optimal strategies, if the mortality force is…
A Dynkin game on assets with incomplete information on the return
Tiziano De Angelis, Fabien Gensbittel, Stéphane Villeneuve
This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first…
On Lipschitz continuous optimal stopping boundaries
Tiziano De Angelis, Gabriele Stabile
We obtain a probabilistic proof of the local Lipschitz continuity for the optimal stopping boundary of a class of problems with state space , . To…
The dividend problem with a finite horizon
Tiziano De Angelis, Erik Ekström
We characterise the value function of the optimal dividend problem with a finite time horizon as the unique classical solution of a suitable Hamilton-Jacobi-Bellman equation. The o…