Filtering for fast mean-reverting processes. - Andrew Papanicolaou (Asymptot. Anal., 2010)

Nonlinear Filters for Hidden Markov Models of Regime Change with Fast Mean-Reverting States. - Andrew Papanicolaou (Multiscale Model. Simul., 2012)

Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information. - Andrew Papanicolaou (SIAM J. Financial Math., 2013)

Filtering the Maximum Likelihood for Multiscale Problems. - Andrew Papanicolaou; Konstantinos Spiliopoulos (Multiscale Model. Simul., 2014)

Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes. - Andrew Papanicolaou; Konstantinos Spiliopoulos (SIAM/ASA J. Uncertain. Quantification, 2017)

State Constrained Stochastic Optimal Control Using LSTMs. - Bolun Dai; Prashanth Krishnamurthy; Andrew Papanicolaou; Farshad Khorrami (ACC, 2021)

Principal Eigenportfolios for U.S. Equities. - Marco Avellaneda; Brian Healy; Andrew Papanicolaou; George Papanicolaou (SIAM J. Financial Math., 2022)

A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization With MGARCH and Small Transaction Costs. - Andrew Papanicolaou; Hao Fu; Prashanth Krishnamurthy; Farshad Khorrami (IEEE Access, 2023)

Partial-Information Q-Learning for General Two-Player Stochastic Games. - Negash Medhin; Andrew Papanicolaou; Marwen Zrida (CoRR, 2023)

State constrained stochastic optimal control for continuous and hybrid dynamical systems using DFBSDE. - Bolun Dai; Prashanth Krishnamurthy; Andrew Papanicolaou; Farshad Khorrami (Autom., 2023)