Athena Picarelli

16 papers Journal 16
YearRankTypeTitle / Venue / Authors
2025 J jnl
A Deep Solver for BSDEs with Jumps.
SIAM J. Financial Math.
Kristoffer Andersson, Alessandro Gnoatto, Marco Patacca, Athena Picarelli
2025 J jnl
A Semi-Lagrangian scheme for Hamilton-Jacobi-Bellman equations with Dirichlet boundary conditions.
CoRR
Elisabetta Carlini, Athena Picarelli, Francisco J. Silva
2025 J jnl
Convergence of a Deep BSDE solver with jumps.
CoRR
Alessandro Gnoatto, Katharina Oberpriller, Athena Picarelli
2025 J jnl
Deep Quadratic Hedging.
Math. Oper. Res.
Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli
2024 J jnl
Quantization of stochastic volatility models: Numerical tests and an open source implementation.
Math. Comput. Simul.
Alessandro Fina, Alessandro Gnoatto, Athena Picarelli
2023 J jnl
Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework.
SIAM J. Financial Math.
Alessandro Gnoatto, Athena Picarelli, Christoph Reisinger
2022 J jnl
A deep solver for BSDEs with jumps.
CoRR
Alessandro Gnoatto, Marco Patacca, Athena Picarelli
2022 J jnl
Deep Quadratic Hedging.
CoRR
Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli
2021 J jnl
Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations.
Numerische Mathematik
Olivier Bokanowski, Athena Picarelli, Christoph Reisinger
2020 J jnl
A Level-Set Approach for Stochastic Optimal Control Problems Under Controlled-Loss Constraints.
J. Optim. Theory Appl.
Géraldine Bouveret, Athena Picarelli
2020 J jnl
Duality-based
Comput. Math. Appl.
Athena Picarelli, Christoph Reisinger
2020 J jnl
Probabilistic error analysis for some approximation schemes to optimal control problems.
Syst. Control. Lett.
Athena Picarelli, Christoph Reisinger
2018 J jnl
Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost.
SIAM J. Control. Optim.
Axel Kröner, Athena Picarelli, Hasnaa Zidani
2016 J jnl
State-Constrained Stochastic Optimal Control Problems via Reachability Approach.
SIAM J. Control. Optim.
Olivier Bokanowski, Athena Picarelli, Hasnaa Zidani
2012 J jnl
A Patchy Dynamic Programming Scheme for a Class of Hamilton-Jacobi-Bellman Equations.
SIAM J. Sci. Comput.
Simone Cacace, Emiliano Cristiani, Maurizio Falcone, Athena Picarelli
2011 J jnl
A patchy Dynamic Programming scheme for a class of Hamilton-Jacobi-Bellman equations
CoRR
Simone Cacace, Emiliano Cristiani, Maurizio Falcone, Athena Picarelli