Andrew Papanicolaou

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