Athena Picarelli

Athena Picarelli

Università degli Studi di Verona - Verona / Italy
Natural Sciences / Mathematical Sciences
AD Scientific Index ID: 4876153
University of Verona
person_outline Athena Picarelli's MOST POPULAR ARTICLES
1-) A patchy dynamic programming scheme for a class of Hamilton--Jacobi--Bellman equations S Cacace, E Cristiani, M Falcone, A Picarelli SIAM Journal on Scientific Computing 34 (5), A2625-A2649, 2012 612012
2-) Deep xva solver: A neural network–based counterparty credit risk management frameworkA Gnoatto, A Picarelli, C ReisingerSIAM Journal on Financial Mathematics 14 (1), 314-352, 2023452023
3-) Dynamic programming and error estimates for stochastic control problems with maximum costO Bokanowski, A Picarelli, H ZidaniApplied Mathematics & Optimization 71, 125-163, 2015282015
4-) State-constrained stochastic optimal control problems via reachability approachO Bokanowski, A Picarelli, H ZidaniSIAM Journal on Control and Optimization 54 (5), 2568-2593, 2016272016
5-) High-order filtered schemes for time-dependent second order HJB equationsO Bokanowski, A Picarelli, C ReisingerESAIM: Mathematical Modelling and Numerical Analysis 52 (1), 69-97, 2018222018