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
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
Current postgraduate research students
Postgraduate research opportunities
We welcome enquiries from motivated and qualified applicants from all around the world who are interested in PhD study. Our research opportunities allow you to search for projects and scholarships.
Projects currently available:
- Probabilistic methods for free boundary problems in stochastic control
- Stochastic control models for financial applications