Athena Picarelli

Publication Activity (10 Years)

Years Active: 2011-2024
Publications (10 Years): 10

Top Topics

Hamilton Jacobi Bellman

Approximation Schemes

Error Estimates

Top Venues

SIAM J. Control. Optim.

Math. Comput. Simul.

J. Optim. Theory Appl.

Publications

Alessandro Fina, Alessandro Gnoatto, Athena Picarelli
Quantization of stochastic volatility models: Numerical tests and an open source implementation. Math. Comput. Simul. 225 (2024)
Alessandro Gnoatto, Athena Picarelli, Christoph Reisinger
Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework. SIAM J. Financial Math. 14 (1) (2023)
Alessandro Gnoatto, Marco Patacca, Athena Picarelli
A deep solver for BSDEs with jumps. CoRR (2022)
Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli
Deep Quadratic Hedging. CoRR (2022)
Olivier Bokanowski, Athena Picarelli, Christoph Reisinger
Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations. Numerische Mathematik 148 (1) (2021)
Athena Picarelli, Christoph Reisinger
error estimates for some approximation schemes for optimal investment problems. Comput. Math. Appl. 79 (7) (2020)
Géraldine Bouveret, Athena Picarelli
A Level-Set Approach for Stochastic Optimal Control Problems Under Controlled-Loss Constraints. J. Optim. Theory Appl. 186 (3) (2020)
Athena Picarelli, Christoph Reisinger
Probabilistic error analysis for some approximation schemes to optimal control problems. Syst. Control. Lett. 137 (2020)
Axel Kröner, Athena Picarelli, Hasnaa Zidani
Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost. SIAM J. Control. Optim. 56 (5) (2018)
Olivier Bokanowski, Athena Picarelli, Hasnaa Zidani
State-Constrained Stochastic Optimal Control Problems via Reachability Approach. SIAM J. Control. Optim. 54 (5) (2016)
Simone Cacace, Emiliano Cristiani, Maurizio Falcone, Athena Picarelli
A Patchy Dynamic Programming Scheme for a Class of Hamilton-Jacobi-Bellman Equations. SIAM J. Sci. Comput. 34 (5) (2012)
Simone Cacace, Emiliano Cristiani, Maurizio Falcone, Athena Picarelli
A patchy Dynamic Programming scheme for a class of Hamilton-Jacobi-Bellman equations CoRR (2011)