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.

Scientific and Professional Membership

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

Kaust Affiliations

  • Stochastic Numerics Research Group.
  • SRI- Center for Uncertainty Quantification in Computational Science & Engineering.

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