1 citations · 2 across the 4 of their papers we have counts for
4 papers
Langevin dynamics based algorithm e-THO POULA for stochastic optimization problems with discontinuous stochastic gradient
Dong-Young Lim, Ariel Neufeld, Sotirios Sabanis +1
We introduce a new Langevin dynamics based algorithm, called e-THO POULA, to solve optimization problems with discontinuous stochastic gradients which naturally appear…
Non-asymptotic estimates for TUSLA algorithm for non-convex learning with applications to neural networks with ReLU activation function
Dong-Young Lim, Ariel Neufeld, Sotirios Sabanis +1
We consider non-convex stochastic optimization problems where the objective functions have super-linearly growing and discontinuous stochastic gradients. In such a setting, we prov…
A Neural Frequency-Severity Model and Its Application to Insurance Claims
Dong-Young Lim
This paper proposes a flexible and analytically tractable class of frequency and severity models for predicting insurance claims. The proposed model is able to capture nonlinear re…
Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach
Dongjae Lim, Lingfei Li, Vadim Linetsky
We propose an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as thei…