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)

State-Constrained Stochastic Optimal Control Problems via Reachability Approach. - Olivier Bokanowski; Athena Picarelli; Hasnaa Zidani (SIAM J. Control. Optim., 2016)

Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost. - Axel Kröner; Athena Picarelli; Hasnaa Zidani (SIAM J. Control. Optim., 2018)

Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems. - Athena Picarelli; Christoph Reisinger (Comput. Math. Appl., 2020)

A Level-Set Approach for Stochastic Optimal Control Problems Under Controlled-Loss Constraints. - Géraldine Bouveret; Athena Picarelli (J. Optim. Theory Appl., 2020)

Probabilistic error analysis for some approximation schemes to optimal control problems. - Athena Picarelli; Christoph Reisinger (Syst. Control. Lett., 2020)

Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations. - Olivier Bokanowski; Athena Picarelli; Christoph Reisinger (Numerische Mathematik, 2021)

A deep solver for BSDEs with jumps. - Alessandro Gnoatto; Marco Patacca; Athena Picarelli (CoRR, 2022)

Deep Quadratic Hedging. - Alessandro Gnoatto; Silvia Lavagnini; Athena Picarelli (CoRR, 2022)

Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework. - Alessandro Gnoatto; Athena Picarelli; Christoph Reisinger (SIAM J. Financial Math., 2023)

Quantization of stochastic volatility models: Numerical tests and an open source implementation. - Alessandro Fina; Alessandro Gnoatto; Athena Picarelli (Math. Comput. Simul., 2024)

Convergence of a Deep BSDE solver with jumps. - Alessandro Gnoatto; Katharina Oberpriller; Athena Picarelli (CoRR, 2025)

A Semi-Lagrangian scheme for Hamilton-Jacobi-Bellman equations with Dirichlet boundary conditions. - Elisabetta Carlini; Athena Picarelli; Francisco J. Silva 001 (CoRR, 2025)