38 citations · 108 across the 26 of their papers we have counts for
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math.PR2016
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…
math.OC2016
Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
Tiziano De Angelis, Giorgio Ferrari
In this paper we establish a new connection between a class of 2-player nonzero-sum games of optimal stopping and certain -player nonzero-sum games of singular control. We show…