Andrew Papanicolaou

According to our database, Andrew Papanicolaou authored at least 10 papers between 2010 and 2023.

Collaborative distances:

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

2023

State constrained stochastic optimal control for continuous and hybrid dynamical systems using DFBSDE.

Bolun Dai, Prashanth Krishnamurthy, Andrew Papanicolaou, Farshad Khorrami

Autom., September, 2023

Partial-Information Q-Learning for General Two-Player Stochastic Games.

Negash Medhin, Andrew Papanicolaou, Marwen Zrida

CoRR, 2023

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

2022

Principal Eigenportfolios for U.S. Equities.

Marco Avellaneda, Brian Healy, Andrew Papanicolaou, George Papanicolaou

SIAM J. Financial Math., 2022

2021

State Constrained Stochastic Optimal Control Using LSTMs.

Bolun Dai, Prashanth Krishnamurthy, Andrew Papanicolaou, Farshad Khorrami

Proceedings of the 2021 American Control Conference, 2021

2017

Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes.

Andrew Papanicolaou, Konstantinos Spiliopoulos

SIAM/ASA J. Uncertain. Quantification, 2017

2014

Filtering the Maximum Likelihood for Multiscale Problems.

Andrew Papanicolaou, Konstantinos Spiliopoulos

Multiscale Model. Simul., 2014

2013

Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information.

Andrew Papanicolaou

SIAM J. Financial Math., 2013

2012

Nonlinear Filters for Hidden Markov Models of Regime Change with Fast Mean-Reverting States.

Andrew Papanicolaou

Multiscale Model. Simul., 2012

2010

Filtering for fast mean-reverting processes.

Andrew Papanicolaou

Asymptot. Anal., 2010