M. V. Tretyakov | DeepAI

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Featured Co-authors

A. Sharma
6 publications
Haozhe Su
3 publications
D. Kalise
2 publications
B. Leimkuhler
2 publications
David P. Newton
1 publication
P. D. Hinds
1 publication
G. Deligiannidis
1 publication
S. Maurer
1 publication

∙ 09/26/2022

Neural variance reduction for stochastic differential equations

Variance reduction techniques are of crucial importance for the efficien...

0 P. D. Hinds, et al. ∙

∙ 05/10/2022

Consensus based optimization via jump-diffusion stochastic differential equations

We introduce a new consensus based optimization (CBO) method where inter...

0 D. Kalise, et al. ∙

∙ 05/21/2021

Option Valuation through Deep Learning of Transition Probability Density

Transition probability densities are fundamental to option pricing. Adva...

0 Haozhe Su, et al. ∙

∙ 06/28/2020

Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions

A simple-to-implement weak-sense numerical method to approximate reflect...

0 B. Leimkuhler, et al. ∙

∙ 01/15/2020

Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation

We consider stochastic differential equations driven by a general Lévy p...

0 G. Deligiannidis, et al. ∙

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