28 citations · 117 across the 37 of their papers we have counts for
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Continuous Differentiability of the Value Function for Infinite-Dimensional Finite-Horizon Optimal Stopping and Related Variational Inequalities
Gabriele Bolli, Giorgio Ferrari
This paper studies finite-horizon optimal stopping problems for semilinear stochastic evolution equations in real, separable Hilbert spaces, together with their associated paraboli…
A note on a new existence result for reflected BSDEs with interconnected obstacles
Tiziano De Angelis, Giorgio Ferrari, Saïd Hamadène
In this note we prove existence of a solution to a system of Markovian BSDEs with interconnected obstacles. A key feature of our system, and the main novelty of this paper, is that…
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…
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…