38 citations · 108 across the 26 of their papers we have counts for
12 papers · 1 filter
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 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 (…
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…
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…
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…
Integral equations for Rost's reversed barriers: existence and uniqueness results
Tiziano De Angelis, Yerkin Kitapbayev
We establish that the boundaries of the so-called Rost's reversed barrier are the unique couple of left-continuous monotonic functions solving a suitable system of nonlinear integr…
Nash equilibria of threshold type for two-player nonzero-sum games of stopping
Tiziano De Angelis, Giorgio Ferrari, John Moriarty
This paper analyses two-player nonzero-sum games of optimal stopping on a class of linear regular diffusions with not non-singular boundary behaviour (in the sense of Itô and McKea…
From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding
Tiziano De Angelis
We provide a new probabilistic proof of the connection between Rost's solution of the Skorokhod embedding problem and a suitable family of optimal stopping problems for Brownian mo…
Optimal Boundary Surface for Irreversible Investment with Stochastic Costs
Tiziano De Angelis, Salvatore Federico, Giorgio Ferrari
This paper examines a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty…