57 citations · 61 across the 14 of their papers we have counts for
17 papers
An Optimal Energy Production Problem with Energy Source Switching and Load Following Nuclear Power Plants
Fabio Baschetti, Alessandro Gnoatto, Athena Picarelli
The integration of weather-dependent renewable generation increases the volatility of residual demand and raises the value of dispatchable low-carbon flexibility. This paper studie…
A Semi-Lagrangian scheme for Hamilton-Jacobi-Bellman equations with Dirichlet boundary conditions
Elisabetta Carlini, Athena Picarelli, Francisco J. Silva
We study the numerical approximation of time-dependent, possibly degenerate, second-order Hamilton-Jacobi-Bellman equations in bounded domains with nonhomogeneous Dirichlet boundar…
Extended mean field control: a global numerical solution via finite-dimensional approximation
Athena Picarelli, Marco Scaratti, Jonathan Tam
We investigate the global numerical approximation of a class of extended mean field control problems (MFC), where the dynamics and costs depend on the joint distribution of the sta…
Convergence of a Deep BSDE solver with jumps
Alessandro Gnoatto, Katharina Oberpriller, Athena Picarelli
We study the error arising in the numerical approximation of FBSDEs and related PIDEs by means of a deep learning-based method. Our results focus on decoupled FBSDEs with jumps and…
Deep Quadratic Hedging
Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli
We propose a novel computational procedure for quadratic hedging in high-dimensional incomplete markets, covering mean-variance hedging and local risk minimization. Starting from t…
A deep solver for BSDEs with jumps
Kristoffer Andersson, Alessandro Gnoatto, Marco Patacca +1
The aim of this work is to propose an extension of the deep solver by Han, Jentzen, E (2018) to the case of forward backward stochastic differential equations (FBSDEs) with jumps.…