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Lukasz Szpruch

Orcid: 0000-0003-4889-4587

According to our database¹, Lukasz Szpruch authored at least 33 papers between 2009 and 2024.

Collaborative distances:

Dijkstra number² of four.
Erdős number³ of four.

Timeline

Legend:

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In proceedings

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PhD thesis

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Links

Online presence:

on orcid.org

On csauthors.net:

Bibliography

2024

Optimal Scheduling of Entropy Regularizer for Continuous-Time Linear-Quadratic Reinforcement Learning.

[BibT_eX]

[DOI]

,

Tanut Treetanthiploet

,

SIAM J. Control. Optim., February, 2024

Mirror Descent-Ascent for mean-field min-max problems.

[BibT_eX]

[DOI]

Razvan-Andrei Lascu

,

Mateusz B. Majka

,

CoRR, 2024

Generalization Error of Graph Neural Networks in the Mean-field Regime.

[BibT_eX]

[DOI]

Gholamali Aminian

,

,

,

,

Samuel N. Cohen

CoRR, 2024

Mirror Descent for Stochastic Control Problems with Measure-valued Controls.

[BibT_eX]

[DOI]

Bekzhan Kerimkulov

,

,

,

CoRR, 2024

2023

Multi-index antithetic stochastic gradient algorithm.

[BibT_eX]

[DOI]

Mateusz B. Majka

,

Marc Sabate Vidales

,

Stat. Comput., April, 2023

On the geometry of Stein variational gradient descent.

[BibT_eX]

[DOI]

,

Nikolas Nüsken

,

J. Mach. Learn. Res., 2023

A Fisher-Rao gradient flow for entropy-regularised Markov decision processes in Polish spaces.

[BibT_eX]

[DOI]

Bekzhan Kerimkulov

,

James-Michael Leahy

,

,

,

CoRR, 2023

The AI Revolution: Opportunities and Challenges for the Finance Sector.

[BibT_eX]

[DOI]

,

,

Gregory Epiphaniou

,

Kalina Staykova

,

,

William Penwarden

,

,

,

Jagdish Hariharan

,

Pavle Avramovic

CoRR, 2023

Insurance pricing on price comparison websites via reinforcement learning.

[BibT_eX]

[DOI]

Tanut Treetanthiploet

,

,

,

Isaac Bowers-Barnard

,

Henrietta Ridley

,

,

CoRR, 2023

Mean-field Analysis of Generalization Errors.

[BibT_eX]

[DOI]

Gholamali Aminian

,

Samuel N. Cohen

,

CoRR, 2023

Inefficiency of CFMs: Hedging Perspective and Agent-Based Simulations.

[BibT_eX]

[DOI]

Samuel N. Cohen

,

Marc Sabate Vidales

,

,

Proceedings of the Financial Cryptography and Data Security. FC 2023 International Workshops, 2023

2022

A Framework for Auditable Synthetic Data Generation.

[BibT_eX]

[DOI]

Florimond Houssiau

,

Samuel N. Cohen

,

,

,

Michaela G. Lawrence

,

,

,

CoRR, 2022

TAPAS: a Toolbox for Adversarial Privacy Auditing of Synthetic Data.

[BibT_eX]

[DOI]

Florimond Houssiau

,

,

Samuel N. Cohen

,

,

,

,

,

Camila Rangel Smith

,

CoRR, 2022

Optimal scheduling of entropy regulariser for continuous-time linear-quadratic reinforcement learning.

[BibT_eX]

[DOI]

,

Tanut Treetanthiploet

,

CoRR, 2022

Synthetic Data - what, why and how?

[BibT_eX]

[DOI]

,

,

Florimond Houssiau

,

Mirko Bottarelli

,

Giovanni Cherubin

,

,

Samuel N. Cohen

,

CoRR, 2022

Convergence of Policy Gradient for Entropy Regularized MDPs with Neural Network Approximation in the Mean-Field Regime.

[BibT_eX]

[DOI]

James-Michael Leahy

,

Bekzhan Kerimkulov

,

,

Proceedings of the International Conference on Machine Learning, 2022

2021

Exploration-exploitation trade-off for continuous-time episodic reinforcement learning with linear-convex models.

[BibT_eX]

[DOI]

,

Tanut Treetanthiploet

,

CoRR, 2021

Identifiability in inverse reinforcement learning.

[BibT_eX]

[DOI]

,

Samuel N. Cohen

,

Proceedings of the Advances in Neural Information Processing Systems 34: Annual Conference on Neural Information Processing Systems 2021, 2021

Sig-wasserstein GANs for time series generation.

[BibT_eX]

[DOI]

,

,

Marc Sabate Vidales

,

,

,

Proceedings of the ICAIF'21: 2nd ACM International Conference on AI in Finance, Virtual Event, November 3, 2021

2020

Exponential Convergence and Stability of Howard's Policy Improvement Algorithm for Controlled Diffusions.

[BibT_eX]

[DOI]

Bekzhan Kerimkulov

,

,

SIAM J. Control. Optim., 2020

Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations.

[BibT_eX]

[DOI]

Michael B. Giles

,

Mateusz B. Majka

,

,

Sebastian J. Vollmer

,

Konstantinos C. Zygalakis

Stat. Comput., 2020

Robust pricing and hedging via neural SDEs.

[BibT_eX]

[DOI]

Patryk Gierjatowicz

,

Marc Sabate Vidales

,

,

,

CoRR, 2020

Gradient Flows for Regularized Stochastic Control Problems.

[BibT_eX]

[DOI]

,

CoRR, 2020

Conditional Sig-Wasserstein GANs for Time Series Generation.

[BibT_eX]

[DOI]

,

,

,

,

CoRR, 2020

Sig-SDEs model for quantitative finance.

[BibT_eX]

[DOI]

Imanol Pérez Arribas

,

Cristopher Salvi

,

Proceedings of the ICAIF '20: The First ACM International Conference on AI in Finance, 2020

2019

An Adaptive Euler-Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis.

[BibT_eX]

[DOI]

Andreas Neuenkirch

,

Michaela Szölgyenyi

,

SIAM J. Numer. Anal., 2019

Iterative Multilevel density estimation for McKean-Vlasov SDEs via projections.

[BibT_eX]

[DOI]

Denis Belomestny

,

,

CoRR, 2019

2018

V-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs.

[BibT_eX]

[DOI]

,

Math. Comput., 2018

Martingale Functional Control variates via Deep Learning.

[BibT_eX]

[DOI]

Marc Sabate Vidales

,

,

CoRR, 2018

2014

First order strong approximations of scalar SDEs defined in a domain.

[BibT_eX]

[DOI]

Andreas Neuenkirch

,

Numerische Mathematik, 2014

2013

Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients.

[BibT_eX]

[DOI]

,

J. Comput. Appl. Math., 2013

2010

Almost sure exponential stability of numerical solutions for stochastic delay differential equations.

[BibT_eX]

[DOI]

,

,

Numerische Mathematik, 2010

2009

Comparing Hitting Time Behavior of Markov Jump Processes and Their Diffusion Approximations.

[BibT_eX]

[DOI]

,

Desmond J. Higham

Multiscale Model. Simul., 2009

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