38 citations · 108 across the 26 of their papers we have counts for
4 papers · 1 filter
A solvable two-dimensional singular stochastic control problem with non convex costs
Tiziano De Angelis, Giorgio Ferrari, John Moriarty
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-…
On the optimal exercise boundaries of swing put options
Tiziano De Angelis, Yerkin Kitapbayev
We use probabilistic methods to characterise time dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial a…
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…
A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
Tiziano De Angelis, Giorgio Ferrari, John Moriarty
Equivalences are known between problems of singular stochastic control (SSC) with convex performance criteria and related questions of optimal stopping, see for example Karatzas an…