Dr Tiziano De Angelis
- Position: Lecturer in Actuarial/Financial Maths
- Areas of expertise: probability; singular stochastic control; optimal stopping; free-boundary problems; mathematical finance; mathematical economics.
- Email: T.DeAngelis@leeds.ac.uk
- Phone: +44(0)113 343 0392
- Location: 9.309 Physics Research Deck (E.C. Stoner)
- Website: Personal home page | Probability and Financial Mathematics Group | Googlescholar
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.
I am module leader for financial mathematics modules both at BSc and MSc level. I also supervise third year projects (BSc) and MSc dissertations in financial mathematics
Research groups and institutes
- Probability and Financial Mathematics
Current postgraduate researchers
<li><a href="//phd.leeds.ac.uk/project/266-stochastic-control-models-for-financial-applications">Stochastic control models for financial applications</a></li>