A forward-backward algorithm for stochastic control problems: Using the Stochastic Maximum Principle as an Alternative to Dynamic Programming
Ludwig, S
Sirignano, J
Huang, R
Papanicolaou, G
Icores 2012 Proceedings of the 1st International Conference on Operations Research and Enterprise Systems
83-89
(13 Jun 2012)
Fluctuation analysis for the loss from default
Spiliopoulos, K
Sirignano, J
Giesecke, K
Stochastic Processes and their Applications
volume 124
issue 7
2322-2362
(Jul 2014)
Optimization of Secondary-Air Addition in a Continuous One-Dimensional Spray Combustor
Sirignano, J
Rodriquez, L
Sideris, A
Sirignano, W
Journal of Propulsion and Power
volume 26
issue 2
288-294
(Mar 2010)
LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT
Giesecke, K
Spiliopoulos, K
Sowers, R
Sirignano, J
Mathematical Finance
volume 25
issue 1
77-114
(31 Jan 2015)
Inference for Large Financial Systems
Giesecke, K
Schwenkler, G
Sirignano, J
(01 Jan 2017)
Large Portfolio Asymptotics for Loss from Default
Giesecke, K
Spiliopoulos, K
Sowers, R
Sirignano, J
(01 Jan 2011)
Fluctuation Analysis for the Loss from Default
Spiliopoulos, K
Sirignano, J
Giesecke, K
(01 Jan 2013)
Risk Analysis for Large Pools of Loans
Sirignano, J
Giesecke, K
(01 Jan 2014)
Stochastic Gradient Descent in Continuous Time
Sirignano, J
Spiliopoulos, K
SIAM Journal on Financial Mathematics
volume 8
issue 1
933-961
(06 Jan 2017)
Large-Scale Loan Portfolio Selection
Sirignano, J
Tsoukalas, G
Giesecke, K
(01 Jan 2015)