38 citations · 105 across the 18 of their papers we have counts for
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math.OC2014★ 5 cited
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-…
math.OC2014★ 28 cited
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…