Full discretisation of second-order nonlinear evolution equations: strong convergence and applications. - Etienne Emmrich; David Siska (Comput. Methods Appl. Math., 2011)

Error estimates for finite difference approximations of American put option price - David Siska (CoRR, 2011)

Error Estimates for Approximations of American Put Option Price. - David Siska (Comput. Methods Appl. Math., 2012)

On a Full Discretisation for Nonlinear Second-Order Evolution Equations with Monotone Damping: Construction, Convergence, and Error Estimates. - Etienne Emmrich; David Siska; Mechthild Thalhammer (Found. Comput. Math., 2015)

Martingale Functional Control variates via Deep Learning. - Marc Sabate Vidales; David Siska; Lukasz Szpruch (CoRR, 2018)

Uniform error estimates for artificial neural network approximations for heat equations. - Lukas Gonon; Philipp Grohs; Arnulf Jentzen; David Kofler; David Siska (CoRR, 2019)

Robust pricing and hedging via neural SDEs. - Patryk Gierjatowicz; Marc Sabate Vidales; David Siska; Lukasz Szpruch; Zan Zuric (CoRR, 2020)

Exponential Convergence and Stability of Howard's Policy Improvement Algorithm for Controlled Diffusions. - Bekzhan Kerimkulov; David Siska; Lukasz Szpruch (SIAM J. Control. Optim., 2020)

Market Based Mechanisms for Incentivising Exchange Liquidity Provision. - W. Gawlikowicz; B. Mannerings; T. Rudolph; David Siska (Financial Cryptography Workshops, 2021)

The Case for Variable Fees in Constant Product Markets: An Agent Based Simulation. - Marc Sabate Vidales; David Siska (Financial Cryptography Workshops, 2022)

Convergence of Policy Gradient for Entropy Regularized MDPs with Neural Network Approximation in the Mean-Field Regime. - James-Michael Leahy; Bekzhan Kerimkulov; David Siska; Lukasz Szpruch (ICML, 2022)

Inefficiency of CFMs: Hedging Perspective and Agent-Based Simulations. - Samuel N. Cohen; Marc Sabate Vidales; David Siska; Lukasz Szpruch (FC Workshops, 2023)

A Fisher-Rao gradient flow for entropy-regularised Markov decision processes in Polish spaces. - Bekzhan Kerimkulov; James-Michael Leahy; David Siska; Lukasz Szpruch; Yufei Zhang 001 (CoRR, 2023)

Mirror Descent for Stochastic Control Problems with Measure-valued Controls. - Bekzhan Kerimkulov; David Siska; Lukasz Szpruch; Yufei Zhang 001 (CoRR, 2024)

Entropy annealing for policy mirror descent in continuous time and space. - Deven Sethi; David Siska; Yufei Zhang 001 (CoRR, 2024)

Linear convergence of proximal descent schemes on the Wasserstein space. - Razvan-Andrei Lascu; Mateusz B. Majka; David Siska; Lukasz Szpruch (CoRR, 2024)

Gradient Flows for Regularized Stochastic Control Problems. - David Siska; Lukasz Szpruch (SIAM J. Control. Optim., 2024)

PPO in the Fisher-Rao geometry. - Razvan-Andrei Lascu; David Siska; Lukasz Szpruch (CoRR, 2025)