Athena Picarelli
Orcid: 0000-0003-1103-5324
According to our database1,
Athena Picarelli
authored at least 11 papers
between 2012 and 2024.
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Bibliography
2024
Quantization of stochastic volatility models: Numerical tests and an open source implementation.
Math. Comput. Simul., 2024
2023
Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework.
SIAM J. Financial Math., March, 2023
2022
2021
Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations.
Numerische Mathematik, 2021
2020
Probabilistic error analysis for some approximation schemes to optimal control problems.
Syst. Control. Lett., 2020
A Level-Set Approach for Stochastic Optimal Control Problems Under Controlled-Loss Constraints.
J. Optim. Theory Appl., 2020
Duality-based <i>a posteriori</i> error estimates for some approximation schemes for optimal investment problems.
Comput. Math. Appl., 2020
2018
SIAM J. Control. Optim., 2018
2016
SIAM J. Control. Optim., 2016
2012
A Patchy Dynamic Programming Scheme for a Class of Hamilton-Jacobi-Bellman Equations.
SIAM J. Sci. Comput., 2012