Zobrazeno 1 - 10
of 37
pro vyhledávání: '"Milazzo, Alessandro"'
We study a model of irreversible investment for a decision-maker who has the possibility to gradually invest in a project with unknown value. In this setting, we introduce and explore a feature of "learning-by-doing", where the learning rate of the u
Externí odkaz:
http://arxiv.org/abs/2406.16493
In this paper we provide a theoretical analysis of Variable Annuities with a focus on the holder's right to an early termination of the contract. We obtain a rigorous pricing formula and the optimal exercise boundary for the surrender option. We also
Externí odkaz:
http://arxiv.org/abs/2405.02115
Autor:
Milazzo, Alessandro
We consider a class of time-inhomogeneous optimal stopping problems and we provide sufficient conditions on the data of the problem that guarantee monotonicity of the optimal stopping boundary. In our setting, time-inhomogeneity stems not only from t
Externí odkaz:
http://arxiv.org/abs/2301.05458
Autor:
Milazzo, Alessandro, Siorpaes, Pietro
We consider a little-known abstract decomposition result, due to Dellacherie, and show that it yields many decompositions of measures, several of which are new. Then, we investigate how the outputs of the decomposition depend on its inputs, in partic
Externí odkaz:
http://arxiv.org/abs/2204.07487
We consider a resource extraction problem which extends the classical de Finetti problem for a Wiener process to include the case when a competitor, who is equipped with the possibility to extract all the remaining resources in one piece, may exist;
Externí odkaz:
http://arxiv.org/abs/2204.07016
We prove the dynamic programming principle (DPP) in a class of problems where an agent controls a $d$-dimensional diffusive dynamics via both classical and singular controls and, moreover, is able to terminate the optimisation at a time of her choosi
Externí odkaz:
http://arxiv.org/abs/2111.09608
Autor:
Ekström, Erik, Milazzo, Alessandro
Publikováno v:
In Stochastic Processes and their Applications June 2024 172
Akademický článek
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Publikováno v:
J. Appl. Probab. 57 (2020) 361-384
In this paper we study the problem of stopping a Brownian bridge $X$ in order to maximise the expected value of an exponential gain function. In particular, we solve the stopping problem $$\sup_{0\le \tau\le 1}\mathsf{E}[\mathrm{e}^{X_\tau}]$$ which
Externí odkaz:
http://arxiv.org/abs/1904.00075
Autor:
Milazzo, Alessandro, Vigna, Elena
Publikováno v:
Risks 2018, 6(2), 48
We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pension by joining a defined contribution pension scheme and adopting an o
Externí odkaz:
http://arxiv.org/abs/1804.05354