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Yuri F. Saporito
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2020 – today
- 2024
- [c2]Yuri R. Fonseca, Caio Peixoto, Yuri F. Saporito:
Nonparametric Instrumental Variable Regression through Stochastic Approximate Gradients. NeurIPS 2024 - [i3]Caio Peixoto, Yuri F. Saporito, Yuri R. Fonseca:
Nonparametric Instrumental Variable Regression through Stochastic Approximate Gradients. CoRR abs/2402.05639 (2024) - 2023
- [j10]Manuel Febrero-Bande
, Wenceslao González-Manteiga, Brenda Prallon, Yuri F. Saporito
Functional classification of bitcoin addresses. Comput. Stat. Data Anal. 181: 107687 (2023) - [j9]Yuri F. Saporito, Max O. Souza
A Mathematical Framework for Dynamical Social Interactions with Dissimulation. J. Nonlinear Sci. 33(1): 18 (2023) - 2022
- [j8]Ali Al-Aradi
Extensions of the deep Galerkin method. Appl. Math. Comput. 430: 127287 (2022) - [j7]Diogo Duarte
Vanishing Contagion Spreads. Manag. Sci. 68(1): 740-772 (2022) - [j6]Jean-Pierre Fouque, Sebastian Jaimungal
Optimal Trading with Signals and Stochastic Price Impact. SIAM J. Financial Math. 13(3): 944-968 (2022) - [c1]Yuri R. Fonseca, Yuri F. Saporito:
Statistical Learning and Inverse Problems: A Stochastic Gradient Approach. NeurIPS 2022 - [i2]Yuri R. Fonseca, Yuri F. Saporito:
Statistical Learning and Inverse Problems: An Stochastic Gradient Approach. CoRR abs/2209.14967 (2022) - [i1]Yuri F. Saporito, Max O. Souza, Yuri Thamsten:
A mathematical framework for dynamical social interactions with dissimulation. CoRR abs/2210.15712 (2022) - 2021
- [j5]Yuri F. Saporito
Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations. SIAM J. Financial Math. 12(3): 912-940 (2021) - 2020
- [j4]Yuri F. Saporito
Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation. SIAM J. Financial Math. 11(3) (2020)
2010 – 2019
- 2019
- [j3]Yuri F. Saporito, Xu Yang, Jorge P. Zubelli
The calibration of stochastic local-volatility models: An inverse problem perspective. Comput. Math. Appl. 77(12): 3054-3067 (2019) - [j2]Yuri F. Saporito
Stochastic Control with Delayed Information and Related Nonlinear Master Equation. SIAM J. Control. Optim. 57(1): 693-717 (2019) - [j1]Yuri F. Saporito
Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost. SIAM J. Control. Optim. 57(2): 1312-1327 (2019)
Coauthor Index
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