Anna Krawczyk

Anna Krawczyk is a Senior Research Associate in the Optimal Policy and Applications Division at the Institute for Advanced Dynamic Uncertainty. She holds a PhD in Mathematics from Uniwersytet Warszawski — the University of Warsaw (Faculty of Mathematics, Informatics and Mechanics), where her doctoral research developed convergence theory for finite element discretisations of degenerate parabolic PDEs arising in derivative pricing. Her thesis established optimal-order error estimates for a class of penalised variational inequalities used to approximate the free boundary in American option problems, and analysed the stability of upwind finite difference schemes for convection-dominated Black–Scholes type equations in multiple spatial dimensions.

Krawczyk's research spans the numerical analysis of parabolic and elliptic PDEs, the design of robust computational schemes for free-boundary and obstacle problems, and the analysis of splitting methods for high-dimensional pricing equations. She is particularly interested in the relationship between the analytic structure of the PDE — the regularity of its coefficients, the geometry of the domain, the type and location of the free boundary — and the convergence behaviour of the numerical scheme. Her work consistently produces error bounds that are sharp and explicit, rather than asymptotic.

At IADU, her research focuses on the design and analysis of numerical methods for HJB equations arising in policy optimisation, the construction of efficient finite element solvers for mean field game PDE systems, and the development of computational tools for high-dimensional stochastic control problems with state constraints.