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Andrew Papanicolaou
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2020 – today
- 2023
- [j8]Andrew Papanicolaou
, Hao Fu
, Prashanth Krishnamurthy
, Farshad Khorrami
:
A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization With MGARCH and Small Transaction Costs. IEEE Access 11: 16774-16792 (2023) - [j7]Bolun Dai
, Prashanth Krishnamurthy, Andrew Papanicolaou
, Farshad Khorrami:
State constrained stochastic optimal control for continuous and hybrid dynamical systems using DFBSDE. Autom. 155: 111146 (2023) - [i3]Negash Medhin, Andrew Papanicolaou, Marwen Zrida:
Partial-Information Q-Learning for General Two-Player Stochastic Games. CoRR abs/2302.10830 (2023) - [i2]Bolun Dai, Prashanth Krishnamurthy, Andrew Papanicolaou, Farshad Khorrami:
State Constrained Stochastic Optimal Control for Continuous and Hybrid Dynamical Systems Using DFBSDE. CoRR abs/2305.06499 (2023) - 2022
- [j6]Marco Avellaneda, Brian Healy, Andrew Papanicolaou
, George Papanicolaou:
Principal Eigenportfolios for U.S. Equities. SIAM J. Financial Math. 13(3): 702-744 (2022) - 2021
- [c1]Bolun Dai
, Prashanth Krishnamurthy, Andrew Papanicolaou
, Farshad Khorrami:
State Constrained Stochastic Optimal Control Using LSTMs. ACC 2021: 1294-1299 - [i1]Bolun Dai, Prashanth Krishnamurthy, Andrew Papanicolaou, Farshad Khorrami:
State Constrained Stochastic Optimal Control Using LSTMs. CoRR abs/2104.02135 (2021)
2010 – 2019
- 2017
- [j5]Andrew Papanicolaou
, Konstantinos Spiliopoulos:
Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes. SIAM/ASA J. Uncertain. Quantification 5(1): 1220-1247 (2017) - 2014
- [j4]Andrew Papanicolaou
, Konstantinos Spiliopoulos:
Filtering the Maximum Likelihood for Multiscale Problems. Multiscale Model. Simul. 12(3): 1193-1229 (2014) - 2013
- [j3]Andrew Papanicolaou
:
Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information. SIAM J. Financial Math. 4(1): 916-960 (2013) - 2012
- [j2]Andrew Papanicolaou
:
Nonlinear Filters for Hidden Markov Models of Regime Change with Fast Mean-Reverting States. Multiscale Model. Simul. 10(3): 906-935 (2012) - 2010
- [j1]Andrew Papanicolaou
:
Filtering for fast mean-reverting processes. Asymptot. Anal. 70(3-4): 155-176 (2010)
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