Justin A. Sirignano

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations Mathematical Finance	2024-03-14	Paper
Kernel Limit of Recurrent Neural Networks Trained on Ergodic Data Sequences	2023-08-28	Paper
Deep learning closure models for large-eddy simulation of flows around bluff bodies Journal of Fluid Mechanics	2023-07-11	Paper
Global Convergence of Deep Galerkin and PINNs Methods for Solving Partial Differential Equations	2023-05-10	Paper
PDE-constrained models with neural network terms: optimization and global convergence Journal of Computational Physics	2023-04-26	Paper
A Forward Propagation Algorithm for Online Optimization of Nonlinear Stochastic Differential Equations	2022-07-10	Paper
Asymptotics of Reinforcement Learning with Neural Networks Stochastic Systems	2022-06-24	Paper
Mean Field Analysis of Deep Neural Networks Mathematics of Operations Research	2022-05-17	Paper
Online adjoint methods for optimization of PDEs Applied Mathematics and Optimization	2022-04-22	Paper
DPM: a deep learning PDE augmentation method with application to large-eddy simulation Journal of Computational Physics	2022-04-14	Paper
Neural Q-learning for solving PDEs	2022-03-31	Paper
Online Adjoint Methods for Optimization of PDEs (available as arXiv preprint)	2021-01-23	Paper
Stochastic gradient descent in continuous time: a central limit theorem Stochastic Systems	2020-09-04	Paper
Inference for large financial systems Mathematical Finance	2020-05-14	Paper
Mean field analysis of neural networks: a law of large numbers SIAM Journal on Applied Mathematics	2020-03-11	Paper
Mean field analysis of neural networks: a central limit theorem Stochastic Processes and their Applications	2020-02-24	Paper
Universal features of price formation in financial markets: perspectives from deep learning Quantitative Finance	2019-09-26	Paper
Deep learning for limit order books Quantitative Finance	2019-09-26	Paper
DGM: a deep learning algorithm for solving partial differential equations Journal of Computational Physics	2019-07-11	Paper
Scaling Limit of Neural Networks with the Xavier Initialization and Convergence to a Global Minimum	2019-07-09	Paper
Book Reviews SIAM Review	2018-08-14	Paper
Stochastic gradient descent in continuous time SIAM Journal on Financial Mathematics	2018-03-12	Paper
Large-Scale Loan Portfolio Selection Operations Research	2017-01-26	Paper
Large portfolio asymptotics for loss from default Mathematical Finance	2015-02-20	Paper
Fluctuation analysis for the loss from default Stochastic Processes and their Applications	2014-08-28	Paper

Research outcomes over time

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