People

Fabián Crocce

Previous Members
Postdoctoral Fellow ​​

Research Interests

  • Optimal stopping for diffusions, both one-dimensional and multi-dimensional. Representation of the solution by the Green kernel of the process. I am also interested in optimal stopping problems for jump-processes, and in finite-horizon problems.
  • Fourier methods for option pricing and its error analysis. These methods, in the case of Levy process, usually require the computation of a discrete Fourier transform. I am interested in the optimal choose of the discretization, to minimize the error.
  • Markov control processes and stochastic games. Algorithms to find optimal strategies for Markov decision processes and  competitive Markov decision processes. Algorithms to learn optimal strategies. 

Selected Publications

Education

  • 2012: PhD in Mathematics (Universidad de la República, Uruguay) 
  • 2010: Computer engineer (Universidad de la República, Uruguay) 
  • 2009: Master in Mathematics (Universidad de la República, Uruguay) 
  • 2007: Degree in Mathematics (Universidad de la República, Uruguay)

Scientific and Professional Memberships

  • Researcher at PEDECIBA, Uruguay (Basic Science Developing Program).
  • Associate researcher at SNI, Uruguay (National System of Researchers).

KAUST Affiliations