Tiziano De Angelis

:::[Research]:::

Published papers

1. BOVO, A., DE ANGELIS, T. AND ISSOGLIO, E. (2024)
  Variational inequalities on unbounded domains for zero-sum singular-controller vs. stopper games. To appear in Mathematics of Operations Research (link to journal article). ArXiv: http://arxiv.org/abs/2203.06247
2. 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) (link to journal article). ArXiv: http://arxiv.org/abs/2206.11534
3. 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
4. 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
5. 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
6. 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
7. 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
8. 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)
9. 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
10. 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
11. 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
12. 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
13. 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
14. 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
15. 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
16. 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
17. 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
18. 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). ArXiv: https://arxiv.org/abs/1904.00075
19. 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
20. 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
21. 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
22. 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
23. 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
24. 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
25. 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). ArXiv: http://arxiv.org/abs/1601.05709
26. 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
27. 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
28. 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
29. 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
30. 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
31. 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
32. 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
33. 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
34. 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
35. 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
36. 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
37. 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
38. 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

Papers under review

1. BOVO, A. AND DE ANGELIS, T. (2024)
  On the saddle point of a zero-sum stopper vs. singular-controller game. ArXiv: https://arxiv.org/abs/2401.17719
2. DE ANGELIS, T., GENSBITTEL, F. AND VILLENEUVE, S. (2023)
  Nash equilibria for dividend distribution with competition. ArXiv: http://arxiv.org/abs/2312.07703
3. BOVO, A., DE ANGELIS, T. AND PALCZEWSKI, J. (2023)
  Stopper vs. singular-controller games with degenerate diffusions. ArXiv: https://arxiv.org/abs/2312.00613
4. BOVO, A., DE ANGELIS, T. AND PALCZEWSKI, J. (2023)
  Zero-sum stopper vs. singular-controller games with constrained control directions. ArXiv: http://arxiv.org/abs/2306.05113
5. DE ANGELIS, T., GARG, J. AND ZHOU, Q. (2022)
  A quickest detection problem with false negatives. ArXiv: https://arxiv.org/abs/2210.01844
6. 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

Publications in Physics (from my MSc Thesis)

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)