A patchy dynamic programming scheme for a class of Hamilton--Jacobi--Bellman equations S Cacace, E Cristiani, M Falcone, A Picarelli SIAM Journal on Scientific Computing 34 (5), A2625-A2649, 2012 | 66 | 2012 |
Deep xva solver: A neural network–based counterparty credit risk management framework A Gnoatto, A Picarelli, C Reisinger SIAM Journal on Financial Mathematics 14 (1), 314-352, 2023 | 48 | 2023 |
Dynamic programming and error estimates for stochastic control problems with maximum cost O Bokanowski, A Picarelli, H Zidani Applied Mathematics & Optimization 71, 125-163, 2015 | 33 | 2015 |
State-constrained stochastic optimal control problems via reachability approach O Bokanowski, A Picarelli, H Zidani SIAM Journal on Control and Optimization 54 (5), 2568-2593, 2016 | 26 | 2016 |
High-order filtered schemes for time-dependent second order HJB equations O Bokanowski, A Picarelli, C Reisinger ESAIM: Mathematical Modelling and Numerical Analysis 52 (1), 69-97, 2018 | 22 | 2018 |
Probabilistic error analysis for some approximation schemes to optimal control problems A Picarelli, C Reisinger Systems & Control Letters 137, 104619, 2020 | 19 | 2020 |
Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems ER Jakobsen, A Picarelli, C Reisinger | 19 | 2019 |
A deep solver for BSDEs with jumps A Gnoatto, M Patacca, A Picarelli arXiv preprint arXiv:2211.04349, 2022 | 13 | 2022 |
Hamilton–Jacobi–Bellman Equations A Festa, R Guglielmi, C Hermosilla, A Picarelli, S Sahu, A Sassi, FJ Silva Optimal control: novel directions and applications, 127-261, 2017 | 12 | 2017 |
Optimal management of pumped hydroelectric production with state constrained optimal control A Picarelli, T Vargiolu Journal of Economic Dynamics and Control 126, 103940, 2021 | 11 | 2021 |
Zubov’s method for controlled diffusions with state constraints L Grüne, A Picarelli Nonlinear Differential Equations and Applications NoDEA 22, 1765-1799, 2015 | 10 | 2015 |
Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains A Picarelli, C Reisinger, JR Arto Journal of Differential Equations 268 (12), 7843-7876, 2020 | 9* | 2020 |
Hamilton-Jacobi-Bellman Equations: Numerical Methods and Applications in Optimal Control M Akian, J Blechschmidt, ND Botkin, M Jensen, A Kröner, A Picarelli, ... Walter de Gruyter GmbH & Co KG, 2018 | 9 | 2018 |
Stability and convergence of second order backward differentiation schemes for parabolic Hamilton–Jacobi–Bellman equations O Bokanowski, A Picarelli, C Reisinger Numerische Mathematik 148 (1), 187-222, 2021 | 7 | 2021 |
Infinite horizon stochastic optimal control problems with running maximum cost A Kroner, A Picarelli, H Zidani SIAM Journal on Control and Optimization 56 (5), 3296-3319, 2018 | 7 | 2018 |
Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems A Picarelli, C Reisinger Computers & Mathematics with Applications 79 (7), 2099-2118, 2020 | 5 | 2020 |
On some stochastic control problems with state constraints A Picarelli Ecole polytechnique X, 2015 | 4 | 2015 |
Boundary mesh refinement for semi-Lagrangian schemes A Picarelli, C Reisinger, JR Arto Hamilton-Jacobi-Bellman Equations: Numerical Methods and Applications in …, 2018 | 3 | 2018 |
A level-set approach for stochastic optimal control problems under controlled-loss constraints G Bouveret, A Picarelli Journal of Optimization Theory and Applications 186 (3), 779-805, 2020 | 2 | 2020 |
On the set of robust sustainable thresholds P Gajardo, C Hermosilla, A Picarelli Natural Resource Modeling 34 (4), e12334, 2021 | 1 | 2021 |