Fabián Crocce worked as a Postdoctoral Fellow​​ at Professor Raul F. Tempone's Stochastic Numerics Research Group at King Abdullah University of Science and Technology (KAUST).

Research Interests

• Partial Differential Equations, Probability Theory, and Stochastic Processes Distributed Strategic Learning, Stochastic Modeling.
• Optimal stopping for diffusions, both one-dimensional and multi-dimensional. Representation of the solution by the Green kernel of the process. His research interests also included optimal stopping problems for jump-processes and infinite-horizon problems.
• Fourier methods for option pricing and its error analysis. These methods, in the case of the Levy process, usually require the computation of a discrete Fourier transform. 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

• F. Crocce, J. Happola, J. Kiessling, R. Tempone, Error analysis in Fourier methods for option pricing​, Accepted for publication in the Journal of Computational Finance (JCF), Dec. 2015​.
• F. Crocce, E. Mordecki; Explicitsolutions in one-sided optimal stopping problems for one-dimensional diffusions, 2013.
• F. Crocce, E. Mordecki; A non-iterative algorithm for a turn-based dice game, 2013, submitted.
• F. Crocce, E. Mordecki; A finite exact algorithm to solve a dice game, 2013, submitted.

Education Profile

• 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.

Professional Memberships

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