PICARELLI, Athena
PICARELLI, Athena
DIPARTIMENTO DI SCIENZE ECONOMICHE
A deep solver for BSDEs with jumps
2022-01-01 Gnoatto, Alessandro; Patacca, Marco; Picarelli, Athena
A Hamilton-Jacobi-Bellman Approach for the Numerical Computation of Probabilistic State Constrained Reachable Sets
2018-01-01 Assellaou, Mohamed; Picarelli, Athena
A Level-Set Approach for Stochastic Optimal Control Problems under Controlled-Loss Constraints
2020-01-01 Bouveret, Geraldine; Picarelli, Athena
A Patchy Dynamic Programming Scheme for a Class of Hamilton--Jacobi--Bellman Equations
2012-01-01 Cacace, Simone; Cristiani, Emiliano; Falcone, Maurizio; Picarelli, Athena
Boundary Mesh Refinement For Semi-Lagrangian Schemes
2018-01-01 Picarelli, Athena; Reisinger, Christoph; Rotaetxe Arto, Julen
Deep Quadratic Hedging
In corso di stampa Gnoatto, Alessandro; Lavagnini, Silvia; Picarelli, Athena
Deep xVA solver - A neural network based counterparty credit risk management framework
2023-01-01 Gnoatto, Alessandro; Picarelli, Athena; Reisinger, Christoph
Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems
2020-01-01 Picarelli, Athena; Reisinger, Christoph
Dynamic Programming and Error Estimates for Stochastic Control Problems with Maximum Cost
2015-01-01 Bokanowski, Olivier; Picarelli, Athena; Zidani, Hasnaa
Hamilton–Jacobi–Bellman Equations
2017-01-01 Festa, Adriano; Guglielmi, Roberto; Hermosilla, Christopher; Picarelli, Athena; Sahu, Smita; Sassi, Achille; Silva, Francisco J.
High-order filtered schemes for time-dependent second order HJB equations
2018-01-01 Bokanowski, Olivier; Picarelli, Athena; Reisinger, Christoph
Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems
2019-01-01 Robstad Jakobsen, Espen; Picarelli, Athena; Reisinger, Christoph
Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost
2018-01-01 Kröner, Axel; Picarelli, Athena; Zidani, Hasnaa
On the set of robust sustainable thresholds
2021-01-01 Gajardo, Pedro; Hermosilla, Cristopher; Picarelli, Athena
Optimal management of pumped hydroelectric production with state constrained optimal control
2021-01-01 Picarelli, Athena; Vargiolu, Tiziano
Probabilistic error analysis for some approximation schemes to optimal control problems
2020-01-01 Picarelli, Athena; Reisinger, Christoph
Quantization of stochastic volatility models: Numerical tests and an open source implementation
2024-01-01 Fina, Alessandro; Gnoatto, Alessandro; Picarelli, Athena
Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains
2020-01-01 Picarelli, Athena; Reisinger, Christoph; Rotaetxe Arto, Julen
Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations
2021-01-01 Bokanowski, O; Picarelli, A; Reisinger, C
State-Constrained Stochastic Optimal Control Problems via Reachability Approach
2016-01-01 Bokanowski, Olivier; Picarelli, Athena; Zidani, Hasnaa