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Konstantinos Spiliopoulos
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DGM: A deep learning algorithm for solving partial differential equations
J Sirignano, K Spiliopoulos
Journal of computational physics 375, 1339-1364, 2018
19462018
Mean field analysis of neural networks: A Law of Large Numbers
J Sirignano, K Spiliopoulos
arXiv preprint arXiv:1805.01053, 2018
2252018
Mean field analysis of neural networks: A central limit theorem
J Sirignano, K Spiliopoulos
arXiv preprint arXiv:1808.09372, 2018
1852018
Irreversible Langevin samplers and variance reduction: a large deviations approach
L Rey-Bellet, K Spiliopoulos
Nonlinearity 28 (7), 2081, 2015
1082015
Importance sampling for multiscale diffusions
P Dupuis, K Spiliopoulos, H Wang
Multiscale Modeling & Simulation 10 (1), 1-27, 2012
922012
Default Clustering in Large Portfolios: Typical Events
K Giesecke, K Spiliopoulos, R Sowers
Available at SSRN 1736843, 2011
922011
Mean field analysis of deep neural networks
J Sirignano, K Spiliopoulos
arxiv preprint arxiv:1903.04440, 2019
812019
Large portfolio asymptotics for loss from default
K Giesecke, K Spiliopoulos, RB Sowers, JA Sirignano
Mathematical Finance 25 (1), 77-114, 2015
802015
Large deviations for multiscale diffusions via weak convergence methods
P Dupuis, K Spiliopoulos
Stochastic Processes and their Applications, 2012
732012
Stochastic gradient descent in continuous time
J Sirignano, K Spiliopoulos
SIAM Journal on Financial Mathematics 8 (1), 933-961, 2017
602017
Large deviations and importance sampling for systems of slow-fast motion
K Spiliopoulos
Applied Mathematics & Optimization 67 (1), 123-161, 2013
592013
Improving the convergence of reversible samplers
L Rey-Bellet, K Spiliopoulos
Journal of Statistical Physics 164, 472-494, 2016
522016
Escaping from an attractor: Importance sampling and rest points I
P Dupuis, K Spiliopoulos, X Zhou
422015
Fluctuation analysis for the loss from default
K Spiliopoulos, JA Sirignano, K Giesecke
Stochastic Processes and their Applications 124 (7), 2322-2362, 2014
422014
Method of moments estimation of Ornstein-Uhlenbeck processes driven by general Lévy process
KV Spiliopoulos
Annales de l'ISUP 53 (2-3), 3-18, 2009
372009
Variance reduction for irreversible Langevin samplers and diffusion on graphs
L Rey-Bellet, K Spiliopoulos
342015
Stochastic gradient descent in continuous time: A central limit theorem
J Sirignano, K Spiliopoulos
Stochastic Systems 10 (2), 124-151, 2020
332020
Moderate deviations for systems of slow-fast diffusions
MR Morse, K Spiliopoulos
Asymptotic Analysis 105 (3-4), 97-135, 2017
292017
Fluctuation analysis and short time asymptotics for multiple scales diffusion processes
K Spiliopoulos
Stochastics and Dynamics 14 (03), 1350026, 2014
292014
Default clustering in large pools: Large deviations
K Spiliopoulos, RB Sowers
SIAM Journal on Financial Mathematics 6 (1), 86-116, 2015
212015
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Artikelen 1–20