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A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs
De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John - In: Mathematics of operations research 44 (2019) 2, pp. 512-531
Persistent link: https://www.econbiz.de/10012028632
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Optimal entry to an irreversible investment plan with non convex costs
De Angelis, Tiziano; Ferrari, Giorgio; Martyr, Randall; … - In: Mathematics and financial economics 11 (2017) 4, pp. 423-454
Persistent link: https://www.econbiz.de/10011900577
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Optimal boundary surface for irreversible investment with stochastic costs
De Angelis, Tiziano; Federico, Salvatore; Ferrari, Giorgio - In: Mathematics of operations research 42 (2017) 4, pp. 1135-1161
Persistent link: https://www.econbiz.de/10011773311
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Optimal dividend payout under stochastic discounting
Bandini, Elena; De Angelis, Tiziano; Ferrari, Giorgio; … - In: Mathematical finance : an international journal of … 32 (2022) 2, pp. 627-677
Persistent link: https://www.econbiz.de/10013164565
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Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
De Angelis, Tiziano - In: Finance and stochastics 24 (2020) 1, pp. 71-123
Persistent link: https://www.econbiz.de/10012253341
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On the free boundary of an annuity purchase
De Angelis, Tiziano; Stabile, Gabriele - In: Finance and stochastics 23 (2019) 1, pp. 97-137
Persistent link: https://www.econbiz.de/10012023700
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Optimal prediction of resistance and support levels
De Angelis, Tiziano; Peskir, Goran - In: Applied mathematical finance 23 (2016) 5/6, pp. 465-483
Persistent link: https://www.econbiz.de/10011704271
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On the optimal exercise boundaries of swing put options
De Angelis, Tiziano; Kitapbayev, Yerkin - In: Mathematics of operations research 43 (2018) 1, pp. 252-274
Persistent link: https://www.econbiz.de/10011818754
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Climate impact investing
De Angelis, Tiziano; Tankov, Peter; Zerbib, Olivier David - In: Management science : journal of the Institute for … 69 (2023) 12, pp. 7669-7692
Persistent link: https://www.econbiz.de/10014444157
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A Dynkin game on assets with incomplete information on the return
De Angelis, Tiziano; Gensbittel, Fabien; Villeneuve, … - In: Mathematics of operations research 46 (2021) 1, pp. 28-60
Persistent link: https://www.econbiz.de/10012498081