# School of Mathematics

## Dr Tiziano De Angelis

Lecturer in Financial / Actuarial Maths

Financial Mathematics

### Contact details

Room: 9.312

Tel: +44 (0)113 3430392

Email: T.DeAngelis @ leeds.ac.uk

### Keywords

Probability

Singular stochastic control

Optimal stopping

Free-boundary problems

Mathematical finance

Mathematical economics

## Research interests

My research is mainly focused on stochastic control theory with applications to mathematical finance, mathematical economics and questions related to energy markets.

I use tools from probability theory and PDE theory to analyse problems of singular stochastic control and optimal stopping. The main aim is to determine optimal control/stopping rules along with regularity properties of the optimization problem's value functions.

I am interested in game theoretical applications of stochastic control including Nash equilibria for zero-sum and non-zero-sum games of control and stopping. One of the aspects of the theory that I have been working on intensively is the connection between singular stochastic control problems and optimal stopping ones.

### Useful links

Visit my personal website for more information

## Publications

**De Angelis T** 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**, 167-184, 2015

DOI:10.1137/130920472

View abstract

**De Angelis T, Chiarolla MB** Analytical pricing of American Put options on a Zero Coupon Bond in the Heath-Jarrow-Morton model. *Stochastic Processes and their Applications*, **125**, 678-707, 2015

**De Angelis T, Ferrari G, Moriarty J** A non convex singular stochastic control problem and its related optimal stopping boundaries. *SIAM Journal on Control and Optimization*, **53**, 1199-1223, 2015

DOI:10.1137/14096801X

View abstract

**De Angelis T, Chiarolla MB** Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality. *Applied Mathematics and Optimization*, 2015

DOI:10.1007/s00245-015-9302-8

**De Angelis T, Ferrari G** A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis. *Stochastic Processes and their Applications*, **124**, 4080-4119, 2014

DOI:10.1016/j.spa.2014.07.008

View abstract

**De Angelis T, Federico S, Ferrari G** Optimal Boundary Surface for Irreversible Investment with Stochastic Costs *Mathematics of Operations Research*

DOI:10.1287/moor.2016.0841

View abstract

**De Angelis T, Kitapbayev Y** Integral equations for Rost's reversed barriers: existence and uniqueness results *Stochastic Processes and their Applications*

DOI:10.1016/j.spa.2017.01.009

View abstract

**De Angelis T, Peskir G** Optimal prediction of resistance and support levels *Applied Mathematical Finance*

DOI:10.1080/1350486X.2017.1297729

**De Angelis T, Kitapbayev Y** On the optimal exercise boundaries of swing put options *Mathematics of Operations Research*

**De Angelis T, Ekstrom E** The dividend problem with a finite horizon *Annals of Applied Probability*

**De Angelis T** From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding *Annales de l'Institut Henri Poincare (B) Probability and Statistics*

**De Angelis T, Ferrari G, Martyr R, Moriarty J** Optimal Entry to an Irreversible Investment Plan with Non Convex Costs *Mathematics and Financial Economics*

DOI:10.1007/s11579-017-0187-y

View abstract

**De Angelis T, Ferrari G, Moriarty J** Nash equilibria of threshold type for two-player nonzero-sum games of stopping *Annals of Applied Probability*

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