Dr Andrew Papanicolaou

F07 - Carslaw Building
The University of Sydney

Telephone 9351 3357
Fax 9351 4534

Website Personal web page

Teaching and supervision

Timetable

Selected publications

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Journals

  • Papanicolaou, A. (2014). Book Review for "Numerical Solution of Stochastic Differential Equations with Jumps in Finance" by E. Platen and N. Bruti-Liberati. Quantitative Finance, 13(9), 1353-1355. [More Information]
  • Papanicolaou, A. (2014). Data Compression For Dynamic Image Sequences. Journal of Research Methods and Methodological Issues, 6(13), 1-9.
  • Papanicolaou, A., Spilopoulos, K. (2014). Filtering the Maximum Likelihood in Multiscale Problems. Multiscale Modeling and Simulation: A SIAM Interdisciplinary Journal, 12(3), 1193-1229. [More Information]
  • Papanicolaou, A. (2013). Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information. SIAM Journal on Financial Mathematics, 4(1), 916-960. [More Information]
  • Papanicolaou, A. (2012). Nonlinear Filters for Hidden Markov Models of Regime Change with Fast Mean-Reverting States. Multiscale Modeling and Simulation: A SIAM Interdisciplinary Journal, 10(3), 906-935. [More Information]
  • Papanicolaou, A. (2010). Filtering for fast mean-reverting processes. Asymptotic Analysis, 70(3), 155-176. [More Information]

Conferences

  • Papanicolaou, A., Rozovsky, B. (2010). Non-linear Filtering for Telescoping Markov Chains and Applications to Evolving Images. Stochastic Modelling Techniques and Data Analysis International Conference.

2014

  • Papanicolaou, A. (2014). Book Review for "Numerical Solution of Stochastic Differential Equations with Jumps in Finance" by E. Platen and N. Bruti-Liberati. Quantitative Finance, 13(9), 1353-1355. [More Information]
  • Papanicolaou, A. (2014). Data Compression For Dynamic Image Sequences. Journal of Research Methods and Methodological Issues, 6(13), 1-9.
  • Papanicolaou, A., Spilopoulos, K. (2014). Filtering the Maximum Likelihood in Multiscale Problems. Multiscale Modeling and Simulation: A SIAM Interdisciplinary Journal, 12(3), 1193-1229. [More Information]

2013

  • Papanicolaou, A. (2013). Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information. SIAM Journal on Financial Mathematics, 4(1), 916-960. [More Information]

2012

  • Papanicolaou, A. (2012). Nonlinear Filters for Hidden Markov Models of Regime Change with Fast Mean-Reverting States. Multiscale Modeling and Simulation: A SIAM Interdisciplinary Journal, 10(3), 906-935. [More Information]

2010

  • Papanicolaou, A. (2010). Filtering for fast mean-reverting processes. Asymptotic Analysis, 70(3), 155-176. [More Information]
  • Papanicolaou, A., Rozovsky, B. (2010). Non-linear Filtering for Telescoping Markov Chains and Applications to Evolving Images. Stochastic Modelling Techniques and Data Analysis International Conference.

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