| Publication | Date of Publication | Type |
|---|
Non-asymptotic estimates for TUSLA algorithm for non-convex learning with applications to neural networks with ReLU activation function
IMA Journal of Numerical Analysis | 2024-11-01 | Paper |
Kinetic Langevin MCMC sampling without gradient Lipschitz continuity -- the strongly convex case
Journal of Complexity | 2024-10-07 | Paper |
A strongly monotonic polygonal Euler scheme
Journal of Complexity | 2024-02-05 | Paper |
| Convergence Of The Unadjusted Langevin Algorithm For Discontinuous Gradients | 2023-12-04 | Paper |
Taming Neural Networks with TUSLA: Nonconvex Learning via Adaptive Stochastic Gradient Langevin Algorithms
SIAM Journal on Mathematics of Data Science | 2023-06-28 | Paper |
| Interacting Particle Langevin Algorithm for Maximum Marginal Likelihood Estimation | 2023-03-23 | Paper |
Statistical Finite Elements via Langevin Dynamics
SIAM/ASA Journal on Uncertainty Quantification | 2023-03-03 | Paper |
Nonasymptotic estimates for stochastic gradient Langevin dynamics under local conditions in nonconvex optimization
Applied Mathematics and Optimization | 2023-01-31 | Paper |
Optimising portfolio diversification and dimensionality
Journal of Global Optimization | 2023-01-19 | Paper |
| Existence, uniqueness and approximation of solutions of SDEs with superlinear coefficients in the presence of discontinuities of the drift coefficient | 2022-04-05 | Paper |
On Stochastic Gradient Langevin Dynamics with Dependent Data Streams: The Fully Nonconvex Case
SIAM Journal on Mathematics of Data Science | 2021-11-03 | Paper |
Model-independent price bounds for catastrophic mortality bonds
Insurance Mathematics & Economics | 2021-03-17 | Paper |
On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case
Bernoulli | 2020-12-07 | Paper |
On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case
Bernoulli | 2020-12-07 | Paper |
On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients
BIT | 2019-11-27 | Paper |
Higher order Langevin Monte Carlo algorithm
Electronic Journal of Statistics | 2019-10-04 | Paper |
Higher order Langevin Monte Carlo algorithm
Electronic Journal of Statistics | 2019-10-04 | Paper |
Nonasymptotic estimates for Stochastic Gradient Langevin Dynamics under local conditions in nonconvex optimization
(available as arXiv preprint) | 2019-10-04 | Paper |
The tamed unadjusted Langevin algorithm
Stochastic Processes and their Applications | 2019-09-19 | Paper |
On fixed gain recursive estimators with discontinuity in the parameters
ESAIM: Probability and Statistics | 2019-07-11 | Paper |
Optimising portfolio diversification and dimensionality
(available as arXiv preprint) | 2019-06-03 | Paper |
On stochastic gradient Langevin dynamics with dependent data streams: the fully non-convex case
(available as arXiv preprint) | 2019-05-30 | Paper |
On explicit order 1.5 approximations with varying coefficients: the case of super-linear diffusion coefficients
Journal of Complexity | 2018-12-20 | Paper |
On explicit approximations for Lévy driven SDEs with super-linear diffusion coefficients
Electronic Journal of Probability | 2017-10-25 | Paper |
On explicit approximations for Lévy driven SDEs with super-linear diffusion coefficients
Electronic Journal of Probability | 2017-10-25 | Paper |
| General Price Bounds for Guaranteed Annuity Options | 2017-07-03 | Paper |
On tamed Milstein schemes of SDEs driven by Lévy noise
Discrete and Continuous Dynamical Systems. Series B | 2017-04-25 | Paper |
Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
The Annals of Applied Probability | 2016-11-16 | Paper |
Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
The Annals of Applied Probability | 2016-11-16 | Paper |
Convergence of tamed Euler schemes for a class of stochastic evolution equations
Stochastic and Partial Differential Equations. Analysis and Computations | 2016-07-05 | Paper |
On tamed Euler approximations of SDEs driven by Lévy noise with applications to delay equations
SIAM Journal on Numerical Analysis | 2016-06-22 | Paper |
On tamed Euler approximations of SDEs driven by Lévy noise with applications to delay equations
SIAM Journal on Numerical Analysis | 2016-06-22 | Paper |
A note on tamed Euler approximations
Electronic Communications in Probability | 2014-09-22 | Paper |
Multiscale stochastic volatility for equity, interest rate and credit derivatives By Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar and Knut Sølna
Bulletin of the London Mathematical Society | 2014-06-06 | Paper |
Strong convergence of Euler approximations of stochastic differential equations with delay under local Lipschitz condition
Stochastic Analysis and Applications | 2014-05-02 | Paper |
Delay geometric Brownian motion in financial option valuation
Stochastics | 2014-04-25 | Paper |
A note on Euler approximations for stochastic differential equations with delay
Applied Mathematics and Optimization | 2014-03-24 | Paper |
A class of stochastic volatility models and theq-optimal martingale measure
Quantitative Finance | 2014-01-24 | Paper |
Arithmetic Asian options under stochastic delay models
Applied Mathematical Finance | 2012-06-08 | Paper |
STOCHASTIC VOLATILITY
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
Asymptotic behaviour of the stochastic Lotka-Volterra model.
Journal of Mathematical Analysis and Applications | 2003-11-19 | Paper |
Numerical solutions of stochastic differential delay equations under local Lipschitz condition
Journal of Computational and Applied Mathematics | 2003-03-16 | Paper |
Taming the Interacting Particle Langevin Algorithm -- the superlinear case
(available as arXiv preprint) | N/A | Paper |
