6 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…
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…
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.…
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…
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…