Andrew Papanicolaou

Publication Activity (10 Years)

Years Active: 2010-2023
Publications (10 Years): 8

Top Topics

Partially Observed

Nonlinear Dynamical Systems

Dimension Reduction

Top Venues

SIAM J. Financial Math.

SIAM/ASA J. Uncertain. Quantification

Publications

Andrew Papanicolaou, Hao Fu, Prashanth Krishnamurthy, Farshad Khorrami
A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization With MGARCH and Small Transaction Costs. IEEE Access 11 (2023)
Bolun Dai, Prashanth Krishnamurthy, Andrew Papanicolaou, Farshad Khorrami
State constrained stochastic optimal control for continuous and hybrid dynamical systems using DFBSDE. Autom. 155 (2023)
Bolun Dai, Prashanth Krishnamurthy, Andrew Papanicolaou, Farshad Khorrami
State Constrained Stochastic Optimal Control for Continuous and Hybrid Dynamical Systems Using DFBSDE. CoRR (2023)
Negash Medhin, Andrew Papanicolaou, Marwen Zrida
Partial-Information Q-Learning for General Two-Player Stochastic Games. CoRR (2023)
Marco Avellaneda, Brian Healy, Andrew Papanicolaou, George Papanicolaou
Principal Eigenportfolios for U.S. Equities. SIAM J. Financial Math. 13 (3) (2022)
Bolun Dai, Prashanth Krishnamurthy, Andrew Papanicolaou, Farshad Khorrami
State Constrained Stochastic Optimal Control Using LSTMs. ACC (2021)
Bolun Dai, Prashanth Krishnamurthy, Andrew Papanicolaou, Farshad Khorrami
State Constrained Stochastic Optimal Control Using LSTMs. CoRR (2021)
Andrew Papanicolaou, Konstantinos Spiliopoulos
Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes. SIAM/ASA J. Uncertain. Quantification 5 (1) (2017)
Andrew Papanicolaou, Konstantinos Spiliopoulos
Filtering the Maximum Likelihood for Multiscale Problems. Multiscale Model. Simul. 12 (3) (2014)
Andrew Papanicolaou
Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information. SIAM J. Financial Math. 4 (1) (2013)
Andrew Papanicolaou
Nonlinear Filters for Hidden Markov Models of Regime Change with Fast Mean-Reverting States. Multiscale Model. Simul. 10 (3) (2012)
Andrew Papanicolaou
Filtering for fast mean-reverting processes. Asymptot. Anal. 70 (3-4) (2010)