5 papers
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…