1 citations · 1 across the 3 of their papers we have counts for
4 papers
Adaptive Multilevel Stochastic Approximation of the Value-at-Risk
Stéphane Crépey, Noufel Frikha, Azar Louzi +1
Crépey, Frikha, and Louzi (2025) introduced a multilevel stochastic approximation scheme to compute the value-at-risk of a financial loss that is only simulatable by Monte Carlo.…
Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall
Stéphane Crépey, Noufel Frikha, Azar Louzi +1
Crépey, Frikha, and Louzi (2025) introduced a nested stochastic approximation algorithm and its multilevel acceleration to compute the value-at-risk and expected shortfall of a ra…
A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation
Stéphane Crépey, Noufel Frikha, Azar Louzi
We propose a multilevel stochastic approximation (MLSA) scheme for the computation of the value-at-risk (VaR) and expected shortfall (ES) of a financial loss, which can only be com…
Stochastic Gradient Descent Revisited
Azar Louzi
Stochastic gradient descent (SGD) has been a go-to algorithm for nonconvex stochastic optimization problems arising in machine learning. Its theory however often requires a strong…