Lukasz Szpruch
Cited by
Cited by
Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
X Mao, L Szpruch
Journal of Computational and Applied Mathematics 238, 14-28, 2013
An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process
S Dereich, A Neuenkirch, L Szpruch
Proceedings of the royal society A: mathematical, physical and engineering …, 2012
Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
MB Giles, L Szpruch
First order strong approximations of scalar SDEs defined in a domain
A Neuenkirch, L Szpruch
Numerische Mathematik 128, 103-136, 2014
Almost sure exponential stability of numerical solutions for stochastic delay differential equations
F Wu, X Mao, L Szpruch
Numerische Mathematik 115, 681-697, 2010
Conditional sig-wasserstein gans for time series generation
S Liao, H Ni, L Szpruch, M Wiese, M Sabate-Vidales, B Xiao
arXiv preprint arXiv:2006.05421, 2020
Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
X Mao, L Szpruch
Stochastics An International Journal of Probability and Stochastic Processes …, 2013
On the geometry of Stein variational gradient descent
A Duncan, N Nüsken, L Szpruch
arXiv preprint arXiv:1912.00894, 2019
Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
L Szpruch, X Mao, DJ Higham, J Pan
BIT Numerical Mathematics 51, 405-425, 2011
Synthetic Data--what, why and how?
J Jordon, L Szpruch, F Houssiau, M Bottarelli, G Cherubin, C Maple, ...
arXiv preprint arXiv:2205.03257, 2022
McKean–Vlasov SDEs under measure dependent Lyapunov conditions
WRP Hammersley, D Šiška, Ł Szpruch
Mean-field Langevin dynamics and energy landscape of neural networks
K Hu, Z Ren, D Siska, L Szpruch
arXiv preprint arXiv:1905.07769, 2019
Convergence, non-negativity and stability of a new Milstein scheme with applications to finance
DJ Higham, X Mao, L Szpruch
arXiv preprint arXiv:1204.1647, 2012
Nonasymptotic bounds for sampling algorithms without log-concavity
MB Majka, A Mijatović, Ł Szpruch
Sig-Wasserstein GANs for time series generation
H Ni, L Szpruch, M Sabate-Vidales, B Xiao, M Wiese, S Liao
Proceedings of the Second ACM International Conference on AI in Finance, 1-8, 2021
The true cost of stochastic gradient Langevin dynamics
T Nagapetyan, AB Duncan, L Hasenclever, SJ Vollmer, L Szpruch, ...
arXiv preprint arXiv:1706.02692, 2017
Weak quantitative propagation of chaos via differential calculus on the space of measures
JF Chassagneux, L Szpruch, A Tse
The Annals of Applied Probability 32 (3), 1929-1969, 2022
Towards algorithm auditing: a survey on managing legal, ethical and technological risks of AI, ML and associated algorithms
A Koshiyama, E Kazim, P Treleaven, P Rai, L Szpruch, G Pavey, ...
An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis
A Neuenkirch, M Szölgyenyi, L Szpruch
SIAM Journal on Numerical Analysis 57 (1), 378-403, 2019
Multilevel Monte Carlo methods for applications in finance
MB Giles, L Szpruch
High-Performance Computing in Finance, 197-247, 2018
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