Dr Tiziano De Angelis

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.

Student education

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

• Statistics
• Probability and Financial Mathematics

Current postgraduate researchers

• Cheng Cai
• Andrea Bovo
• Jacob Smith

Projects

<li><a href="//phd.leeds.ac.uk/project/266-stochastic-control-models-for-financial-applications">Stochastic control models for financial applications</a></li>