Publications

Azze, A., D’Auria, B., & García-Portugués, E. (2025). Optimal stopping of Gauss–Markov bridges. Advances in Applied Probability (in press). Journal · arXiv
Azze, A., D’Amico, G., D’Auria, B., & Vergine, S. (2025). Modelling a storage system of a wind farm with a ramp-rate limitation: a semi-Markov modulated Brownian bridge approach. Annals of Operations Research, 345, 39–57. Journal · arXiv
Azze, A., D’Auria, B., & García-Portugués, E. (2024). Optimal stopping of an Ornstein–Uhlenbeck bridge. Stochastic Processes and their Applications, 172, 104342. Journal · arXiv
Azze, A., D’Auria, B., & García-Portugués, E. (2024). Optimal exercise of American options under time-dependent Ornstein–Uhlenbeck processes. Stochastics, 96(1), 921–946. Journal · arXiv
D’Auria, B., García-Portugués, E., & Guada, A. (2020). Discounted optimal stopping of a Brownian bridge, with application to American options under pinning. Mathematics, 8(7), 1159. Journal · arXiv

Azze, A., & D’Auria, B. (2025). On the optimal stopping of Gauss–Markov bridges with random pinning points. arXiv