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ORCIDDavid Siska
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Journal Articles
- 2024
[j5]David Siska, Lukasz Szpruch:
Gradient Flows for Regularized Stochastic Control Problems. SIAM J. Control. Optim. 62(4): 2036-2070 (2024)- 2020
- [j4]Bekzhan Kerimkulov, David Siska
, Lukasz Szpruch:
Exponential Convergence and Stability of Howard's Policy Improvement Algorithm for Controlled Diffusions. SIAM J. Control. Optim. 58(3): 1314-1340 (2020) - 2015
- [j3]Etienne Emmrich, David Siska, Mechthild Thalhammer:
On a Full Discretisation for Nonlinear Second-Order Evolution Equations with Monotone Damping: Construction, Convergence, and Error Estimates. Found. Comput. Math. 15(6): 1653-1701 (2015) - 2012
- [j2]David Siska:
Error Estimates for Approximations of American Put Option Price. Comput. Methods Appl. Math. 12(1): 108-120 (2012) - 2011
- [j1]Etienne Emmrich, David Siska:
Full discretisation of second-order nonlinear evolution equations: strong convergence and applications. Comput. Methods Appl. Math. 11(4): 441-459 (2011)
Conference and Workshop Papers
- 2023
- [c4]Samuel N. Cohen, Marc Sabate Vidales, David Siska, Lukasz Szpruch:
Inefficiency of CFMs: Hedging Perspective and Agent-Based Simulations. FC Workshops 2023: 303-319 - 2022
- [c3]Marc Sabate Vidales, David Siska:
The Case for Variable Fees in Constant Product Markets: An Agent Based Simulation. Financial Cryptography Workshops 2022: 225-237 - [c2]James-Michael Leahy, Bekzhan Kerimkulov, David Siska, Lukasz Szpruch:
Convergence of Policy Gradient for Entropy Regularized MDPs with Neural Network Approximation in the Mean-Field Regime. ICML 2022: 12222-12252 - 2021
- [c1]W. Gawlikowicz, B. Mannerings, T. Rudolph, David Siska:
Market Based Mechanisms for Incentivising Exchange Liquidity Provision. Financial Cryptography Workshops 2021: 80-96
Informal and Other Publications
- 2024
- [i9]Bekzhan Kerimkulov, David Siska, Lukasz Szpruch, Yufei Zhang:
Mirror Descent for Stochastic Control Problems with Measure-valued Controls. CoRR abs/2401.01198 (2024) - [i8]Deven Sethi, David Siska, Yufei Zhang:
Entropy annealing for policy mirror descent in continuous time and space. CoRR abs/2405.20250 (2024) - 2023
- [i7]Bekzhan Kerimkulov, James-Michael Leahy, David Siska, Lukasz Szpruch, Yufei Zhang:
A Fisher-Rao gradient flow for entropy-regularised Markov decision processes in Polish spaces. CoRR abs/2310.02951 (2023) - 2022
- [i6]Bekzhan Kerimkulov, James-Michael Leahy, David Siska, Lukasz Szpruch:
Convergence of policy gradient for entropy regularized MDPs with neural network approximation in the mean-field regime. CoRR abs/2201.07296 (2022) - 2020
- [i5]David Siska, Lukasz Szpruch:
Gradient Flows for Regularized Stochastic Control Problems. CoRR abs/2006.05956 (2020) - [i4]Patryk Gierjatowicz, Marc Sabate Vidales, David Siska, Lukasz Szpruch, Zan Zuric:
Robust pricing and hedging via neural SDEs. CoRR abs/2007.04154 (2020) - 2019
- [i3]Lukas Gonon, Philipp Grohs, Arnulf Jentzen, David Kofler, David Siska:
Uniform error estimates for artificial neural network approximations for heat equations. CoRR abs/1911.09647 (2019) - 2018
- [i2]Marc Sabate Vidales, David Siska, Lukasz Szpruch:
Martingale Functional Control variates via Deep Learning. CoRR abs/1810.05094 (2018) - 2011
- [i1]David Siska:
Error estimates for finite difference approximations of American put option price. CoRR abs/1109.4032 (2011)
Coauthor Index
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