Athena Picarelli

According to our database, Athena Picarelli authored at least 10 papers between 2012 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2023

Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework.

Alessandro Gnoatto, Athena Picarelli, Christoph Reisinger

SIAM J. Financial Math., March, 2023

2022

Deep Quadratic Hedging.

Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli

CoRR, 2022

A deep solver for BSDEs with jumps.

Alessandro Gnoatto, Marco Patacca, Athena Picarelli

CoRR, 2022

2021

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

Olivier Bokanowski, Athena Picarelli, Christoph Reisinger

Numerische Mathematik, 2021

2020

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

Athena Picarelli, Christoph Reisinger

Syst. Control. Lett., 2020

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

Géraldine Bouveret, Athena Picarelli

J. Optim. Theory Appl., 2020

Duality-based <i>a posteriori</i> error estimates for some approximation schemes for optimal investment problems.

Athena Picarelli, Christoph Reisinger

Comput. Math. Appl., 2020

2018

Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost.

Axel Kröner, Athena Picarelli, Hasnaa Zidani

SIAM J. Control. Optim., 2018

2016

State-Constrained Stochastic Optimal Control Problems via Reachability Approach.

Olivier Bokanowski, Athena Picarelli, Hasnaa Zidani

SIAM J. Control. Optim., 2016

2012

A Patchy Dynamic Programming Scheme for a Class of Hamilton-Jacobi-Bellman Equations.

Simone Cacace, Emiliano Cristiani, Maurizio Falcone, Athena Picarelli

SIAM J. Sci. Comput., 2012