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Variational inequalities on unbounded domains for zero-sum singular controller vs. stopper games
Bovo, Andrea; De Angelis, Tiziano; Issoglio, Elena - In: Mathematics of operations research 50 (2025) 1, pp. 277-312
Persistent link: https://www.econbiz.de/10015211681
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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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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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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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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
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Dynkin games with incomplete and asymmetric information
De Angelis, Tiziano; Ekström, Erik; Glover, Kristoffer - In: Mathematics of operations research 47 (2022) 1, pp. 560-586
Persistent link: https://www.econbiz.de/10013364901
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A class of recursive optimal stopping problems with applications to stock trading
Colaneri, Katia; De Angelis, Tiziano - In: Mathematics of operations research 47 (2022) 3, pp. 1833-1861
Persistent link: https://www.econbiz.de/10013374973
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Quickest detection problems for Ornstein-Uhlenbeck processes
Glover, Kristoffer; Peskir, Goran - In: Mathematics of operations research 49 (2024) 2, pp. 1045-1064
Persistent link: https://www.econbiz.de/10014564929