DGM: A deep learning algorithm for solving partial differential equations J Sirignano, K Spiliopoulos Journal of computational physics 375, 1339-1364, 2018 | 2017 | 2018 |
Universal features of price formation in financial markets: perspectives from deep learning J Sirignano, R Cont Machine Learning and AI in Finance, 5-15, 2021 | 321 | 2021 |
Deep learning for mortgage risk J Sirignano, A Sadhwani, K Giesecke arXiv preprint arXiv:1607.02470, 2016 | 194 | 2016 |
Mean field analysis of neural networks: A central limit theorem J Sirignano, K Spiliopoulos Stochastic Processes and their Applications 130 (3), 1820-1852, 2020 | 190 | 2020 |
Deep learning for limit order books JA Sirignano Quantitative Finance 19 (4), 549-570, 2019 | 166 | 2019 |
Mean field analysis of neural networks: A law of large numbers J Sirignano, K Spiliopoulos SIAM Journal on Applied Mathematics 80 (2), 725-752, 2020 | 160 | 2020 |
DPM: A deep learning PDE augmentation method with application to large-eddy simulation J Sirignano, JF MacArt, JB Freund Journal of Computational Physics 423, 109811, 2020 | 119 | 2020 |
Mean field analysis of deep neural networks J Sirignano, K Spiliopoulos arXiv preprint arXiv:1903.04440, 2019 | 84 | 2019 |
Large portfolio asymptotics for loss from default K Giesecke, K Spiliopoulos, RB Sowers, JA Sirignano Mathematical Finance 25 (1), 77-114, 2015 | 81 | 2015 |
Mean field analysis of neural networks J Sirignano, K Spiliopoulos arXiv preprint arXiv:1805.01053 1 (5), 2018 | 75 | 2018 |
Deep learning for mortgage risk A Sadhwani, K Giesecke, J Sirignano Journal of Financial Econometrics 19 (2), 313-368, 2021 | 63 | 2021 |
Stochastic gradient descent in continuous time J Sirignano, K Spiliopoulos SIAM Journal on Financial Mathematics 8 (1), 933-961, 2017 | 60 | 2017 |
Risk analysis for large pools of loans J Sirignano, K Giesecke Management Science 65 (1), 107-121, 2019 | 58 | 2019 |
Fluctuation analysis for the loss from default K Spiliopoulos, JA Sirignano, K Giesecke Stochastic Processes and their Applications 124 (7), 2322-2362, 2014 | 44 | 2014 |
Embedded training of neural-network subgrid-scale turbulence models JF MacArt, J Sirignano, JB Freund Physical Review Fluids 6 (5), 050502, 2021 | 40 | 2021 |
Large-scale loan portfolio selection JA Sirignano, G Tsoukalas, K Giesecke Operations Research 64 (6), 1239-1255, 2016 | 38 | 2016 |
Stochastic gradient descent in continuous time: A central limit theorem J Sirignano, K Spiliopoulos Stochastic Systems 10 (2), 124-151, 2020 | 33 | 2020 |
Inference for large financial systems K Giesecke, G Schwenkler, JA Sirignano Mathematical Finance 30 (1), 3-46, 2020 | 28 | 2020 |
PDE-constrained models with neural network terms: Optimization and global convergence J Sirignano, J MacArt, K Spiliopoulos Journal of Computational Physics 481, 112016, 2023 | 17 | 2023 |
Asymptotics of reinforcement learning with neural networks J Sirignano, K Spiliopoulos Stochastic Systems 12 (1), 2-29, 2022 | 17 | 2022 |