2 citations · 4 across the 12 of their papers we have counts for
21 papers
Random Gradient-Free Optimization in Infinite Dimensional Spaces
Caio Peixoto, Daniel Csillag, Bernardo F. P. da Costa +1
We propose a new gradient-free method for infinite-dimensional optimization in Hilbert spaces that requires only the computation of directional derivatives. Though functional optim…
Deep Learning and Elicitability for McKean-Vlasov FBSDEs With Common Noise
Felipe J. P. Antunes, Yuri F. Saporito, Sebastian Jaimungal
We present a novel numerical method for solving McKean--Vlasov forward--backward stochastic differential equations (MV--FBSDEs) with common noise, combining Picard iterations, elic…
On the lumpability of tree-valued Markov chains
Rodrigo B. Alves, Yuri F. Saporito, Luiz M. Carvalho
Phylogenetic trees constitute an interesting class of objects for stochastic processes due to the non-standard nature of the space they inhabit. In particular, many statistical app…
Risk Budgeting Allocation for Dynamic Risk Measures
Silvana M. Pesenti, Sebastian Jaimungal, Yuri F. Saporito +1
We define and develop an approach for risk budgeting allocation - a risk diversification portfolio strategy - where risk is measured using a dynamic time-consistent risk measure. F…
Optimal Trading in Automated Market Makers with Deep Learning
Sebastian Jaimungal, Yuri F. Saporito, Max O. Souza +1
This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interact…
A mathematical framework for dynamical social interactions with dissimulation
Yuri Saporito, Max O. Souza, Yuri Thamsten
Modeling social interactions is a challenging task that requires flexible frameworks. For instance, dissimulation and externalities are relevant features influencing such systems -…