DE ANGELIS, T., GENSBITTEL, F. AND VILLENEUVE, S. (2025)
Nash equilibria for dividend distribution with competition. To appear in Mathematics of Operations Research. ArXiv: http://arxiv.org/abs/2312.07703
BOVO, A. AND DE ANGELIS, T. (2025)
On the saddle point of a zero-sum stopper vs. singular-controller game. Stochastic Processes and Their Applications 182: 104555 (link to journal article). ArXiv: https://arxiv.org/abs/2401.17719
BOVO, A., DE ANGELIS, T. AND PALCZEWSKI, J. (2025)
Stopper vs. singular-controller games with degenerate diffusions. Applied Mathematics and Optimization 91 (3) (link to journal article). ArXiv: https://arxiv.org/abs/2312.00613
BOVO, A., DE ANGELIS, T. AND PALCZEWSKI, J. (2024)
Zero-sum stopper vs. singular-controller games with constrained control directions. SIAM Journal on Control and Optimization 62 (4), pp. 2203-2228 (link to journal article). ArXiv: http://arxiv.org/abs/2306.05113
BOVO, A., DE ANGELIS, T. AND ISSOGLIO, E. (2025)
Variational inequalities on unbounded domains for zero-sum singular-controller vs. stopper games. Mathematics of Operations Research 50 (1), pp. 277-312 (link to journal article). ArXiv: http://arxiv.org/abs/2203.06247
DE ANGELIS, T., EKSTROM, E. AND OLOFSSON, M. (2024)
The maximality principle in singular control with absorption and its applications to the dividend problem. SIAM Journal on Control and Optimization 62 (1), pp. 91-117 (link to journal article). ArXiv: http://arxiv.org/abs/2206.11534
CAI, C. AND DE ANGELIS, T. (2023)
A change of variable formula with applications to multi-dimensional optimal stopping problems. Stochastic Processes and Their Applications 164, pp. 33-61 (link to journal article). ArXiv: http://arxiv.org/abs/2104.05835
DE ANGELIS, T. AND MILAZZO, A. (2023)
Dynamic programming principle for classical and singular stochastic control with discretionary stopping. Applied Mathematics and Optimization 88 (7) (link to journal article). ArXiv: https://arxiv.org/abs/2111.09608
CAI, C., DE ANGELIS, T. AND PALCZEWSKI, J. (2023)
On the continuity of optimal stopping surfaces for jump diffusions. SIAM Journal on Control and Optimization 61 (3), pp. 1513-1531 (link to journal article).
ArXiv: http://arxiv.org/abs/2109.10810
DE ANGELIS, T., TANKOV, P. AND ZERBIB, O.D. (2023)
Climate impact investing. Management Science 69 (12), pp. 7151-7882 (link to journal article).
SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3562534
DE ANGELIS, T., GERMAIN, M. AND ISSOGLIO, E. (2022)
A numerical scheme for stochastic differential equations with distributional drift. Stochastic Processes and Their Applications 154, pp. 55-90 (link to journal article).
ArXiv: https://arxiv.org/abs/1906.11026
CAI, C., DE ANGELIS, T. AND PALCZEWSKI, J. (2022)
The American put with finite-time maturity and stochastic interest rate. Mathematical Finance 32 (4), pp. 1170-1213 (link to journal article and link to online appendix).
ArXiv: https://arxiv.org/abs/2104.08502 (including corrections to proofs of Prop. 3.3 and Prop. 3.11 from the published version)
DE ANGELIS, T. (2022)
Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon. Electronic Journal of Probability 27, pp. 1-41 (link to journal article). ArXiv: http://arxiv.org/abs/2009.01276
CAMPI, L., DE ANGELIS, T., GHIO, M. AND LIVIERI, G. (2022)
Mean-field games of finite-fuel capacity expansion with singular controls. Annals of Applied Probability 32 (5), pp.3674-3717 (link to journal article). ArXiv: https://arxiv.org/abs/2006.02074
CHIAROLLA, M.B., DE ANGELIS, T. AND STABILE, G. (2022)
An analytical study of participating policies with minimum rate guarantee and surrender option. Finance and Stochastics 26, pp. 173-216 (link to journal article). ArXiv: http://arxiv.org/abs/2004.06982
BANDINI, E., DE ANGELIS, T., FERRARI, G. AND GOZZI, F. (2022)
Optimal dividend payout under stochastic discounting. Mathematical Finance 32 (2), pp. 627-677 (link to journal article). ArXiv: https://arxiv.org/abs/2005.11538
DE ANGELIS, T., MERKULOV, N. AND PALCZEWSKI, J. (2022)
On the value of non-Markovian Dynkin games with partial and asymmetric information. Annals of Applied Probability 32 (3), pp. 1774-1813 (link to journal article). ArXiv: https://arxiv.org/abs/2007.10643
COLANERI, K. AND DE ANGELIS, T. (2022)
A class of recursive optimal stopping problems with applications to stock trading. Mathematics of Operations Research 47 (3), pp. 1833-1861 (link to journal article). ArXiv: http://arxiv.org/abs/1905.02650
DE ANGELIS, T., EKSTROM, E. AND GLOVER, K. (2022)
Dynkin games with incomplete and asymmetric information. Mathematics of Operations Research 47 (1), pp. 560-586 (link to journal article). ArXiv: https://arxiv.org/abs/1810.07674
CAI, C., DE ANGELIS, T. AND PALCZEWSKI, J. (2021)
Optimal hedging of a perpetual American put with a single trade. SIAM Journal on Financial Mathematics 12 (2), pp. 823-866 (link to journal article). ArXiv: https://arxiv.org/abs/2003.06249
DE ANGELIS, T. AND EKSTROM, E. (2020)
Playing with ghosts in a Dynkin game. Stochastic Processes and Their Applications 130, pp. 6133-6156 (link to journal article). ArXiv: https://arxiv.org/abs/1905.06564
DE ANGELIS, T. AND MILAZZO, A. (2020)
Optimal stopping for the exponential of a Brownian bridge. Journal of Applied Probability 57 (1), pp. 361-384 (link to journal article). Highlighted in the April 2024 Collection: Stochastic Calculus and Diffusions.
ArXiv: https://arxiv.org/abs/1904.00075
DE ANGELIS, T., GENSBITTEL, F. AND VILLENEUVE, S. (2021)
A Dynkin game on assets with incomplete information on the return. Mathematics of Operations Research 46 (1), pp. 28-60 (link to journal article)
ArXiv: http://arxiv.org/abs/1705.07352
DE ANGELIS, T. AND PESKIR, G. (2020)
Global C1 Regularity of the Value Function in Optimal Stopping Problems. Annals of Applied Probability 30 (3), pp. 1007-1031 (link to journal article). ArXiv: https://arxiv.org/abs/1812.04564
DE ANGELIS, T. (2020)
Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. Finance and Stochastics 24(1), 71-123 (link to open access journal article). ArXiv: https://arxiv.org/abs/1805.12035
DE ANGELIS, T. AND STABILE, G. (2019)
On Lipschitz continuous optimal stopping boundaries. SIAM Journal on Control and Optimization 57 (1), 402-436 (link to journal article). ArXiv: http://arxiv.org/abs/1701.07491
DE ANGELIS, T. AND STABILE, G. (2019)
On the free boundary of an annuity purchase. Finance and Stochastics 23, pp. 97-137 (link to open access journal article). ArXiv: http://arxiv.org/abs/1707.09494
DE ANGELIS, T., FERRARI G. AND MORIARTY J. (2019)
A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. Mathematics of Operations Research 44 (2), pp. 512-531 (link to journal article). ArXiv: http://arxiv.org/abs/1411.2428
DE ANGELIS, T. AND FERRARI, G. (2018)
Stochastic nonzero-sum games: a new connection between singular control and optimal stopping. Advances in Applied Probability 50 (2), pp. 347-372 (link to journal article). Highlighted in the October 2024 Collection: Stochastic Games.
ArXiv: http://arxiv.org/abs/1601.05709
DE ANGELIS, T., FERRARI G. AND MORIARTY J. (2018)
Nash equilibria of threshold type for two-player nonzero-sum games of stopping. Annals of Applied Probability 28 (1), pp. 112-147 (link to journal article). ArXiv: http://arxiv.org/abs/1508.03989
DE ANGELIS, T. (2018)
From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding. Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques 54 (2), 1098-1133 (link to journal article). ArXiv: http://arxiv.org/abs/1505.02724
DE ANGELIS, T. AND KITAPBAYEV, Y. (2018)
On the optimal exercise boundaries of swing put options. Mathematics of Operations Research 43 (1), pp. 252-274 (link to journal article). ArXiv: http://arxiv.org/abs/1407.6860
DE ANGELIS, T. AND EKSTROM, E. (2017)
The dividend problem with a finite horizon. Annals of Applied Probability 27 (6), pp. 3525-3546 (link to journal article). ArXiv: http://arxiv.org/abs/1609.01655
DE ANGELIS, T. AND KITAPBAYEV, Y. (2017)
Integral equations for Rost's reversed barriers: existence and uniqueness results. Stochastic Processes and Their Applications 127, pp. 3447-3464 (link to journal article). ArXiv: http://arxiv.org/abs/1508.05858
DE ANGELIS, T., FERRARI, G., MARTYR, R. AND MORIARTY, J. (2017)
Optimal entry to an irreversible investment plan with non convex costs. Mathematics and Financial Economics 11 (4), pp. 423–454 (link to journal article). ArXiv: http://arxiv.org/abs/1602.03106
DE ANGELIS, T., FEDERICO, S. AND FERRARI, G. (2017)
Optimal Boundary Surface for Irreversible Investment with Stochastic Costs. Mathematics of Operations Research 42 (4), pp. 1135-1161 (link to journal article). ArXiv: http://arxiv.org/abs/1406.4297
DE ANGELIS, T. AND PESKIR, G. (2016)
Optimal prediction of resistance and support levels. Applied Mathematical Finance 23 (6), pp. 465-483 (link to journal article). Preprint: http://www.maths.manchester.ac.uk/~goran/levels.pdf
CHIAROLLA, M.B. AND DE ANGELIS, T. (2016)
Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality. Applied Mathematics and Optimization 73 (2), pp. 271-312 (link to journal article). ArXiv: http://arxiv.org/abs/1207.0720
DE ANGELIS, T., FERRARI, G. AND MORIARTY, J. (2015)
A non convex singular stochastic control problem and its related optimal stopping boundaries. SIAM Journal on Control and Optimization 53 (3), pp. 1199-1223 (link to journal article). ArXiv: http://arxiv.org/abs/1405.2442
CHIAROLLA, M.B. AND DE ANGELIS, T. (2015)
Analytical pricing of American Put options on a Zero Coupon Bond in the Heath-Jarrow-Morton model. Stochastic Processes and Their Applications 125, pp. 678-707 (link to journal article). ArXiv: http://arxiv.org/abs/1212.0781
DE ANGELIS, T. (2015)
A note on the continuity of free-boundaries in finite-horizon optimal stopping problems for one dimensional diffusions. SIAM Journal on Control and Optimization 53 (1) , pp. 167-184 (link to journal article). ArXiv: http://arxiv.org/abs/1305.1125
DE ANGELIS, T. AND FERRARI, G. (2014)
A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis. Stochastic Processes and Their Applications 124 (12), pp. 4080-4119 (link to journal article). ArXiv: http://arxiv.org/abs/1303.6189
DE ANGELIS, T., GRACIANI-RODRIGUES, C.C. AND TANKOV, P. (2024)
A model of strategic sustainable investment. ArXiv: https://arxiv.org/abs/2412.00986
BOVO, A. AND DE ANGELIS, T. (2024)
Finite-time horizon, stopper vs. singular-controller games on the half-line. ArXiv: https://arxiv.org/abs/2409.06049
DE ANGELIS, T. AND LAMBERTON, D. (2024)
A probabilistic approach to continuous differentiability of optimal stopping boundaries. ArXiv: https://arxiv.org/pdf/2405.16636
DE ANGELIS, T., MILAZZO, A. AND STABILE, G. (2024)
On variable annuities with surrender charges. ArXiv: https://arxiv.org/abs/2405.02115
DE ANGELIS, T., GARG, J. AND ZHOU, Q. (2022)
A quickest detection problem with false negatives. ArXiv: https://arxiv.org/abs/2210.01844
DE ANGELIS, T., FERRARI, G. AND HAMADENE, S. (2017)
A note on a new existence result for reflected BSDEs with interconnected obstacles. ArXiv: https://arxiv.org/abs/1710.02389
SPAGNOLO, N., VITELLI, C., DE ANGELIS, T., SCIARRINO, F. AND DE MARTINI, F. (2009)
Wigner-function theory and decoherence of the quantum-injected optical parametric amplifier.
Physical Review A 80 (032318). (http://pra.aps.org/abstract/PRA/v80/i3/e032318)
DE ANGELIS, T., NAGALI, E., SCIARRINO, F. AND DE MARTINI, F. (2007)
Experimental Test of the No-Signaling Theorem. Physical Review Letters 99 (193601). (http://prl.aps.org/abstract/PRL/v99/i19/e193601)
NAGALI, E., DE ANGELIS, T., SCIARRINO, F. AND DE MARTINI, F. (2007)
Experimental realization of macroscopic coherence by phase-covariant cloning of single photon. Physical Review A 76 (042126). (http://pra.aps.org/abstract/PRA/v76/i4/e042126)