Published papers
Milazzo, A. and Siorpaes, P. (2026)
An abstract decomposition of measures and its many applications. Journal of Mathematical Analysis and Applications, 556 (1).
Link to journal article. ArXiv: https://arxiv.org/abs/2204.07487
Milazzo, A. (2024)
On the monotonicity of the stopping boundary for time-inhomogeneous optimal stopping problems. Journal of Optimization Theory and Applications, 203, 336-358.
Link to journal article. ArXiv: https://arxiv.org/abs/2301.05458
Ekström, E. and Milazzo, A. (2024)
A detection problem with a monotone observation rate. Stochastic Processes and Their Applications, 172.
Link to journal article.
Ekström, E., Milazzo, A. and Olofsson, M. (2023)
The de Finetti problem with uncertain competition. SIAM Journal on Control and Optimization, 61 (5), 2997-3017.
Link to journal article. ArXiv: https://arxiv.org/abs/2204.07016
De Angelis, T. and Milazzo, A. (2023)
Dynamic programming principle for classical and singular stochastic control with discretionary stopping. Applied Mathematics and Optimization, 88 (1), 7.
Link to journal article. ArXiv: https://arxiv.org/abs/2111.09608
De Angelis, T. and Milazzo, A. (2020)
Optimal stopping for the exponential of a Brownian bridge. Journal of Applied Probability, 57 (1), 361-384.
Link to journal article. ArXiv: https://arxiv.org/abs/1904.00075. Collection: Stochastic Calculus and Diffusions.
Milazzo, A. and Vigna, E. (2018)
The Italian pension gap: a stochastic optimal control approach. Risks, 6 (2), 48-68.
Link to journal article. ArXiv: https://arxiv.org/abs/1804.05354
Pre-prints
Bovo, A. and Milazzo, A. (2025)
Global regularity of the value function in a stopper vs. singular-controller game.
ArXiv: https://arxiv.org/abs/2506.19129
Ekström, E., Kitapbayev, Y., Milazzo, A. and Tolonen, T. (2024)
An irreversible investment problem with a learning-by-doing feature.
ArXiv: https://arxiv.org/abs/2406.16493
De Angelis, T., Milazzo, A. and Stabile, G. (2024)
On variable annuities with surrender charges.
ArXiv: https://arxiv.org/abs/2405.02115
PhD thesis
Milazzo, A. (2021)
Various topics in stochastic control and measure theory: singular stochastic control, optimal stopping and decompositions of measures
Link to PhD thesis