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Konstantinos Spiliopoulos
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Cited by
Year
DGM: A deep learning algorithm for solving partial differential equations
J Sirignano, K Spiliopoulos
Journal of computational physics 375, 1339-1364, 2018
11402018
Mean field analysis of neural networks: A Law of Large Numbers
J Sirignano, K Spiliopoulos
arXiv preprint arXiv:1805.01053, 2018
1562018
Mean field analysis of neural networks: A central limit theorem
J Sirignano, K Spiliopoulos
arXiv preprint arXiv:1808.09372, 2018
1092018
Default Clustering in Large Portfolios: Typical Events
K Giesecke, K Spiliopoulos, R Sowers
Available at SSRN 1736843, 2011
892011
Irreversible Langevin samplers and variance reduction: a large deviations approach
L Rey-Bellet, K Spiliopoulos
Nonlinearity 28 (7), 2081, 2015
882015
Importance sampling for multiscale diffusions
P Dupuis, K Spiliopoulos, H Wang
Multiscale Modeling & Simulation 10 (1), 1-27, 2012
852012
Large portfolio asymptotics for loss from default
K Giesecke, K Spiliopoulos, RB Sowers, JA Sirignano
Mathematical Finance 25 (1), 77-114, 2015
752015
Large deviations for multiscale diffusions via weak convergence methods
P Dupuis, K Spiliopoulos
Stochastic Processes and their Applications, 2012
572012
Large deviations and importance sampling for systems of slow-fast motion
K Spiliopoulos
Applied Mathematics & Optimization 67 (1), 123-161, 2013
482013
Stochastic gradient descent in continuous time
J Sirignano, K Spiliopoulos
SIAM Journal on Financial Mathematics 8 (1), 933-961, 2017
472017
Mean field analysis of deep neural networks
J Sirignano, K Spiliopoulos
arxiv preprint arxiv:1903.04440, 2019
452019
Fluctuation analysis for the loss from default
K Spiliopoulos, JA Sirignano, K Giesecke
Stochastic Processes and their Applications 124 (7), 2322-2362, 2014
402014
Improving the convergence of reversible samplers
L Rey-Bellet, K Spiliopoulos
Journal of Statistical Physics 164 (3), 472-494, 2016
392016
Escaping from an attractor: Importance sampling and rest points I
P Dupuis, K Spiliopoulos, X Zhou
The Annals of Applied Probability 25 (5), 2909-2958, 2015
372015
Method of moments estimation of Ornstein-Uhlenbeck processes driven by general LÚvy process
K Spiliopoulos
Annales de l'ISUP 53 (2-3), 3-18, 2009
322009
Variance reduction for irreversible Langevin samplers and diffusion on graphs
L Rey-Bellet, K Spiliopoulos
Electronic Communications in Probability 20, 1-16, 2015
272015
Stochastic gradient descent in continuous time: A central limit theorem
J Sirignano, K Spiliopoulos
Stochastic Systems 10 (2), 124-151, 2020
242020
Moderate deviations for systems of slow-fast diffusions
MR Morse, K Spiliopoulos
Asymptotic Analysis 105 (3-4), 97-135, 2017
232017
Fluctuation analysis and short time asymptotics for multiple scales diffusion processes
K Spiliopoulos
Stochastics and Dynamics 14 (03), 1350026, 2014
212014
Default clustering in large pools: Large deviations
K Spiliopoulos, RB Sowers
SIAM Journal on Financial Mathematics 6 (1), 86-116, 2015
202015
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