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On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients

BIT, 2019-12, Vol.59 (4), p.929-968

2019

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EULER APPROXIMATIONS WITH VARYING COEFFICIENTS: THE CASE OF SUPERLINEARLY GROWING DIFFUSION COEFFICIENTS

The Annals of applied probability, 2016-08, Vol.26 (4), p.2083-2105

Sabanis, Sotirios

2016

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Correction to: On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients

BIT, 2020, Vol.60 (2), p.537-537

2020

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A note on tamed Euler approximations

Electronic communications in probability, 2013, Vol.18 (none)

Sabanis, Sotirios

2013

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Numerical solutions of stochastic differential delay equations under local Lipschitz condition

Journal of computational and applied mathematics, 2003-02, Vol.151 (1), p.215-227

2003

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A strongly monotonic polygonal Euler scheme

Journal of Complexity, 2024-02, Vol.80, p.101801, Article 101801

2024

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ON TAMED EULER APPROXIMATIONS OF SDES DRIVEN BY LÉVY NOISE WITH APPLICATIONS TO DELAY EQUATIONS

SIAM journal on numerical analysis, 2016-01, Vol.54 (3), p.1840-1872

2016

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On explicit order 1.5 approximations with varying coefficients: The case of super-linear diffusion coefficients

Journal of Complexity, 2019-02, Vol.50, p.84-115

2019

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On tamed milstein schemes of SDEs driven by Lévy noise

Discrete and continuous dynamical systems. Series B, 2017-03, Vol.22 (2), p.421-463

2017

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Higher order Langevin Monte Carlo algorithm

Electronic journal of statistics, 2019-01, Vol.13 (2)

2019

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Model-independent price bounds for Catastrophic Mortality Bonds

Insurance, mathematics & economics, 2021-01, Vol.96, p.276-291

2021

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Kinetic Langevin MCMC sampling without gradient Lipschitz continuity - the strongly convex case

Journal of Complexity, 2024-12, Vol.85, p.101873, Article 101873

2024

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The tamed unadjusted Langevin algorithm

Stochastic processes and their applications, 2019-10, Vol.129 (10), p.3638-3663

2019

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On explicit approximations for Lévy driven SDEs with super-linear diffusion coefficients

Electronic journal of probability, 2017-01, Vol.22 (none)

2017

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Langevin Dynamics Based Algorithm e-THεO POULA for Stochastic Optimization Problems with Discontinuous Stochastic Gradient

Mathematics of operations research, 2024-09

2024

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Non-asymptotic estimates for TUSLA algorithm for non-convex learning with applications to neural networks with ReLU activation function

IMA journal of numerical analysis, 2024-06, Vol.44 (3), p.1464-1559

2024

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Nonasymptotic Estimates for Stochastic Gradient Langevin Dynamics Under Local Conditions in Nonconvex Optimization

Applied mathematics & optimization, 2023-04, Vol.87 (2), p.25, Article 25

2023

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Strong Convergence of Euler Approximations of Stochastic Differential Equations with Delay Under Local Lipschitz Condition

Stochastic analysis and applications, 2014-02, Vol.32 (2), p.207-228

2014

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Taming Neural Networks with TUSLA: Nonconvex Learning via Adaptive Stochastic Gradient Langevin Algorithms

SIAM journal on mathematics of data science, 2023-06, Vol.5 (2), p.323-345

2023

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A class of stochastic volatility models and the q-optimal martingale measure

Quantitative finance, 2012-07, Vol.12 (7), p.1111-1117

Sabanis, Sotirios

2012

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Convergence of tamed Euler schemes for a class of stochastic evolution equations

Stochastic partial differential equations : analysis and computations, 2016-06, Vol.4 (2), p.225-245

2016

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Delay geometric Brownian motion in financial option valuation

Stochastics (Abingdon, Eng. : 2005), 2013-04, Vol.85 (2), p.295-320

2013

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On Stochastic Gradient Langevin Dynamics with Dependent Data Streams: The Fully Nonconvex Case

SIAM journal on mathematics of data science, 2021-01, Vol.3 (3), p.959-986

2021

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Asymptotic behaviour of the stochastic Lotka–Volterra model

Journal of mathematical analysis and applications, 2003-11, Vol.287 (1), p.141-156

2003

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Statistical Finite Elements via Langevin Dynamics

SIAM/ASA journal on uncertainty quantification, 2022-12, Vol.10 (4), p.1560-1585

2022

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On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients

EULER APPROXIMATIONS WITH VARYING COEFFICIENTS: THE CASE OF SUPERLINEARLY GROWING DIFFUSION COEFFICIENTS

Correction to: On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients

A note on tamed Euler approximations

Numerical solutions of stochastic differential delay equations under local Lipschitz condition

A strongly monotonic polygonal Euler scheme

ON TAMED EULER APPROXIMATIONS OF SDES DRIVEN BY LÉVY NOISE WITH APPLICATIONS TO DELAY EQUATIONS

On explicit order 1.5 approximations with varying coefficients: The case of super-linear diffusion coefficients

On tamed milstein schemes of SDEs driven by Lévy noise

Higher order Langevin Monte Carlo algorithm

Model-independent price bounds for Catastrophic Mortality Bonds

Kinetic Langevin MCMC sampling without gradient Lipschitz continuity - the strongly convex case

The tamed unadjusted Langevin algorithm

On explicit approximations for Lévy driven SDEs with super-linear diffusion coefficients

Langevin Dynamics Based Algorithm e-THεO POULA for Stochastic Optimization Problems with Discontinuous Stochastic Gradient

Non-asymptotic estimates for TUSLA algorithm for non-convex learning with applications to neural networks with ReLU activation function

Nonasymptotic Estimates for Stochastic Gradient Langevin Dynamics Under Local Conditions in Nonconvex Optimization

Strong Convergence of Euler Approximations of Stochastic Differential Equations with Delay Under Local Lipschitz Condition

Taming Neural Networks with TUSLA: Nonconvex Learning via Adaptive Stochastic Gradient Langevin Algorithms

A class of stochastic volatility models and the q-optimal martingale measure

Convergence of tamed Euler schemes for a class of stochastic evolution equations

Delay geometric Brownian motion in financial option valuation

On Stochastic Gradient Langevin Dynamics with Dependent Data Streams: The Fully Nonconvex Case

Asymptotic behaviour of the stochastic Lotka–Volterra model

Statistical Finite Elements via Langevin Dynamics

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