38 citations · 108 across the 26 of their papers we have counts for
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math.PR2015
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…
math.PR2015
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…
math.PR2015
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…