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Justin Sirignano
Justin Sirignano
Verified email at maths.ox.ac.uk - Homepage
Title
Cited by
Cited by
Year
DGM: A deep learning algorithm for solving partial differential equations
J Sirignano, K Spiliopoulos
Journal of computational physics 375, 1339-1364, 2018
20882018
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
3292021
Mean field analysis of neural networks: A central limit theorem
J Sirignano, K Spiliopoulos
Stochastic Processes and their Applications 130 (3), 1820-1852, 2020
1972020
Deep learning for mortgage risk
J Sirignano, A Sadhwani, K Giesecke
arXiv preprint arXiv:1607.02470, 2016
1972016
Deep learning for limit order books
JA Sirignano
Quantitative Finance 19 (4), 549-570, 2019
1712019
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
1642020
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
1212020
Mean field analysis of deep neural networks
J Sirignano, K Spiliopoulos
arXiv preprint arXiv:1903.04440, 2019
852019
Large portfolio asymptotics for loss from default
K Giesecke, K Spiliopoulos, RB Sowers, JA Sirignano
Mathematical Finance 25 (1), 77-114, 2015
832015
Mean field analysis of neural networks
J Sirignano, K Spiliopoulos
arXiv preprint arXiv:1805.01053 1 (5), 2018
752018
Deep learning for mortgage risk
A Sadhwani, K Giesecke, J Sirignano
Journal of Financial Econometrics 19 (2), 313-368, 2021
642021
Stochastic gradient descent in continuous time
J Sirignano, K Spiliopoulos
SIAM Journal on Financial Mathematics 8 (1), 933-961, 2017
602017
Risk analysis for large pools of loans
J Sirignano, K Giesecke
Management Science 65 (1), 107-121, 2019
582019
Fluctuation analysis for the loss from default
K Spiliopoulos, JA Sirignano, K Giesecke
Stochastic Processes and their Applications 124 (7), 2322-2362, 2014
442014
Embedded training of neural-network subgrid-scale turbulence models
JF MacArt, J Sirignano, JB Freund
Physical Review Fluids 6 (5), 050502, 2021
402021
Large-scale loan portfolio selection
JA Sirignano, G Tsoukalas, K Giesecke
Operations Research 64 (6), 1239-1255, 2016
382016
Stochastic gradient descent in continuous time: A central limit theorem
J Sirignano, K Spiliopoulos
Stochastic Systems 10 (2), 124-151, 2020
342020
Inference for large financial systems
K Giesecke, G Schwenkler, JA Sirignano
Mathematical Finance 30 (1), 3-46, 2020
292020
PDE-constrained models with neural network terms: Optimization and global convergence
J Sirignano, J MacArt, K Spiliopoulos
Journal of Computational Physics 481, 112016, 2023
172023
Asymptotics of reinforcement learning with neural networks
J Sirignano, K Spiliopoulos
Stochastic Systems 12 (1), 2-29, 2022
172022
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