Publications

Published papers

1. Ekström, E. and Milazzo, A. (2024)

A detection problem with a monotone observation rate. To appear in Stochastic Processes and Their Applications.

Link to journal article.

2. 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

3. 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

4. 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

5. 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

Papers under review

1. Milazzo, A. (2023)

On the monotonicity of the stopping boundary for time-inhomogeneous optimal stopping problems.

ArXiv: https://arxiv.org/abs/2301.05458

2. Milazzo, A. and Siorpaes, P. (2022)

An abstract decomposition of measures and its many applications.

ArXiv: https://arxiv.org/abs/2204.07487

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