Search Results - "Picarelli, Athena"

Deep Quadratic Hedging.

Authors: Gnoatto, Alessandro Lavagnini, Silvia Picarelli, Athena

Source: Mathematics of Operations Research (INFORMS); Nov2025, Vol. 50 Issue 4, p2972-3009, 38p

Stability and convergence of second order backward differentiation schemes for parabolic Hamilton–Jacobi–Bellman equations.

Authors: Bokanowski, Olivier Picarelli, Athena Reisinger, Christoph

Source: Numerische Mathematik. May2021, Vol. 148 Issue 1, p187-222. 36p.

A Level-Set Approach for Stochastic Optimal Control Problems Under Controlled-Loss Constraints.

Authors: Bouveret, Géraldine Picarelli, Athena

Source: Journal of Optimization Theory & Applications; Sep2020, Vol. 186 Issue 3, p779-805, 27p

Quantization of stochastic volatility models: Numerical tests and an open source implementation.

Authors: Fina, Alessandro Gnoatto, Alessandro Picarelli, Athena

Source: Mathematics & Computers in Simulation; Nov2024, Vol. 225, p29-51, 23p

High-order filtered schemes for time-dependent second order HJB equations.

Authors: Bokanowski, Olivier Picarelli, Athena Reisinger, Christoph

Source: ESAIM: Mathematical Modelling & Numerical Analysis (ESAIM: M2AN). 2018, Vol. 52 Issue 1, p69-97. 29p.

Dynamic Programming and Error Estimates for Stochastic Control Problems with Maximum Cost.

Authors: Bokanowski, Olivier Picarelli, Athena Zidani, Hasnaa

Source: Applied Mathematics & Optimization. Feb2015, Vol. 71 Issue 1, p125-163. 39p.

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Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems.

Authors: Picarelli, Athena Reisinger, Christoph

Source: Computers & Mathematics with Applications. Apr2020, Vol. 79 Issue 7, p2099-2118. 20p.

Subjects: Markov processes, Estimates, Piecewise constant approximation

INFINITE HORIZON STOCHASTIC OPTIMAL CONTROL PROBLEMS WITH RUNNING MAXIMUM COST.

Authors: KRÖNER, AXEL PICARELLI, ATHENA ZIDANI, HASNAA

Source: SIAM Journal on Control & Optimization. 2018, Vol. 56 Issue 5, p3296-3319. 24p.

Subjects: Stochastic control theory, Viscosity solutions, Hamilton-Jacobi-Bellman equation, Boundary value problems, Optimal control theory

Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains.

Authors: Picarelli, Athena Reisinger, Christoph Rotaetxe Arto, Julen

Source: Journal of Differential Equations. Jun2020, Vol. 268 Issue 12, p7843-7876. 34p.

STATE-CONSTRAINED STOCHASTIC OPTIMAL CONTROL PROBLEMS VIA REACHABILITY APPROACH.

Authors: BOKANOWSKI, OLIVIER PICARELLI, ATHENA ZIDANI, HASNAA

Source: SIAM Journal on Control & Optimization. 2016, Vol. 54 Issue 5, p2568-2593. 26p.

Subjects: Stochastic analysis, Optimal control theory, Problem solving, Hamilton-Jacobi equations, Reachable sets (Set theory)

A PATCHY DYNAMIC PROGRAMMING SCHEME FOR A CLASS OF HAMILTON-JACOBI-BELLMAN EQUATIONS.

Authors: CACACE, SIMONE CRISTIANI, EMILIANO FALCONE, MAURIZIO et al.

Source: SIAM Journal on Scientific Computing; 2012, Vol. 34 Issue 5, pA2625-A2649, 25p

Optimal management of pumped hydroelectric production with state constrained optimal control.

Authors: Picarelli, Athena Vargiolu, Tiziano

Source: Journal of Economic Dynamics & Control. May2021, Vol. 126, pN.PAG-N.PAG. 1p.

Probabilistic error analysis for some approximation schemes to optimal control problems.

Authors: Picarelli, Athena Reisinger, Christoph

Source: Systems & Control Letters. Mar2020, Vol. 137, pN.PAG-N.PAG. 1p.

Subjects: Stochastic control theory, Krylov subspace, Piecewise constant approximation, Error analysis in mathematics, Markov processes, Diffusion processes, Lipschitz spaces