S. Sabanis

发表

The tamed unadjusted Langevin algorithm

É. Moulines, Alain Durmus, N. Brosse, 2017, Stochastic Processes and their Applications.

Numerical solutions of stochastic differential delay equations under local Lipschitz condition

X. Mao, S. Sabanis, 2003 .

General Price Bounds for Guaranteed Annuity Options

S. Sabanis, Rajeev Bahl, 2017, 1707.00807.

A note on tamed Euler approximations

S. Sabanis, 2013, 1303.5504.

Delay geometric Brownian motion in financial option valuation

Xuerong Mao, Sotirios Sabanis, X. Mao, 2013 .

Euler approximations with varying coefficients: The case of superlinearly growing diffusion coefficients

S. Sabanis, 2013, 1308.1796.

On Explicit Approximations for Lévy Driven SDEs with Super-linear Diffusion Coefficients

Chaman Kumar, Sotirios Sabanis, S. Sabanis, 2016, 1611.03417.

Higher order Langevin Monte Carlo algorithm

Ying Zhang, Sotirios Sabanis, S. Sabanis, 2018, Electronic Journal of Statistics.

On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients

Chaman Kumar, Sotirios Sabanis, S. Sabanis, 2016, BIT Numerical Mathematics.

On Tamed Euler Approximations of SDEs with Random Coefficients and Jumps

S. Sabanis, Konstantinos Dareiotis, C. Kumar, 2014 .

Convergence of tamed Euler schemes for a class of stochastic evolution equations

István Gyöngy, David Šiška, Sotirios Sabanis, 2014, Stochastics and Partial Differential Equations: Analysis and Computations.

On tamed milstein schemes of SDEs driven by Lévy noise

Chaman Kumar, Sotirios Sabanis, S. Sabanis, 2014, 1407.5347.

Nonasymptotic analysis of Stochastic Gradient Hamiltonian Monte Carlo under local conditions for nonconvex optimization

Omer Deniz Akyildiz, S. Sabanis, O. D. Akyildiz, 2020, 2002.05465.

Necessary and sufficient conditions for the existence of the q-optimal measure

S. Sabanis, 2008, 0808.3751.

Edinburgh Research Explorer On Tamed Milstein Schemes of SDEs Driven by Lévy Noise

S. Sabanis, C. Kumar, 2018 .

Edinburgh Research Explorer Convergence of tamed Euler schemes for a class of stochastic evolution equations

S. Sabanis, D. Siska, 2017 .

Langevin dynamics based algorithm e-THεO POULA for stochastic optimization problems with discontinuous stochastic gradient

S. Sabanis, Ying Zhang, Dongjae Lim, 2022, ArXiv.

Langevin dynamics based algorithm e-THεO POULA for stochastic optimization problems with discontinuous stochastic gradient

S. Sabanis, Ying Zhang, Dongjae Lim, 2022, ArXiv.

Statistical Finite Elements via Langevin Dynamics pdf

Mark Girolami, Ömer Deniz Akyildiz, Sotirios Sabanis, 2021, SIAM/ASA J. Uncertain. Quantification.

Optimising portfolio diversification and dimensionality

Sergio García Quiles, J. Gondzio, S. Sabanis, 2019, Journal of Global Optimization.

Portfolio diversification based on ratios of risk measures

Sergio García Quiles, J. Gondzio, S. Sabanis, 2019, 1906.00920.

Asymptotic behaviour of the stochastic Lotka-Volterra model

Eric Renshaw, Xuerong Mao, Sotirios Sabanis, 2003 .

On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations

Konstantinos Dareiotis, Chaman Kumar, Sotirios Sabanis, 2014, SIAM J. Numer. Anal..

Kinetic Langevin MCMC Sampling Without Gradient Lipschitz Continuity - the Strongly Convex Case

S. Sabanis, I. Lytras, Tim Johnston, 2023, ArXiv.

Nonasymptotic Estimates for Stochastic Gradient Langevin Dynamics Under Local Conditions in Nonconvex Optimization pdf

Ömer Deniz Akyildiz, Ying Zhang, Theo Damoulas, 2019, Applied Mathematics & Optimization.

On Stochastic Gradient Langevin Dynamics with Dependent Data Streams: The Fully Nonconvex Case

Ying Zhang, Sotirios Sabanis, Ngoc Huy Chau, 2019, SIAM J. Math. Data Sci..

On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case

'. Moulines, S. Sabanis, Ying Zhang, 2018, Bernoulli.

Non-asymptotic estimates for TUSLA algorithm for non-convex learning with applications to neural networks with ReLU activation function

S. Sabanis, Dongjae Lim, Ariel Neufeld, 2021, IMA Journal of Numerical Analysis.

Polygonal Unadjusted Langevin Algorithms: Creating stable and efficient adaptive algorithms for neural networks pdf

Sotirios Sabanis, Dong-Young Lim, S. Sabanis, 2021, ArXiv.

Taming neural networks with TUSLA: Non-convex learning via adaptive stochastic gradient Langevin algorithms

S. Sabanis, A. Lovas, M. R'asonyi, 2020, SIAM J. Math. Data Sci..

Existence, uniqueness and approximation of solutions of SDEs with superlinear coefficients in the presence of discontinuities of the drift coefficient

S. Sabanis, Thomas Muller-Gronbach, L. Yaroslavtseva, 2022, 2204.02343.

A fully data-driven approach to minimizing CVaR for portfolio of assets via SGLD with discontinuous updating

Ying Zhang, Sotirios Sabanis, S. Sabanis, 2020, 2007.01672.

On fixed gain recursive estimators with discontinuity in the parameters

Huy N. Chau, Chaman Kumar, Mikl'os R'asonyi, 2016, ESAIM: Probability and Statistics.

Taming under isoperimetry

S. Sabanis, I. Lytras, 2023, ArXiv.

Langevin dynamics based algorithm e-THεO POULA for stochastic optimization problems with discontinuous stochastic gradient

S. Sabanis, Ying Zhang, Dongjae Lim, 2022, ArXiv.

A Strongly Monotonic Polygonal Euler Scheme

S. Sabanis, Tim Johnston, 2021, J. Complex..

On explicit order 1.5 approximations with varying coefficients: The case of super-linear diffusion coefficients

Ying Zhang, Sotirios Sabanis, S. Sabanis, 2017, J. Complex..

A note on tamed Euler approximations

S. Sabanis, 2013, 1303.5504.

Arithmetic Asian Options under Stochastic Delay Models

S. Sabanis, N. McWilliams, 2011 .

Nonasymptotic analysis of Stochastic Gradient Hamiltonian Monte Carlo under local conditions for nonconvex optimization

S. Sabanis, O. D. Akyildiz, 2020, 2002.05465.

Convergence of tamed Euler schemes for a class of stochastic evolution equations

I. Gyöngy, S. Sabanis, David Šiška, 2014, Stochastics and Partial Differential Equations: Analysis and Computations.

Interacting Particle Langevin Algorithm for Maximum Marginal Likelihood Estimation

M. Girolami, S. Sabanis, F. R. Crucinio, 2023, 2303.13429.

On stochastic gradient Langevin dynamics with dependent data streams: the fully non-convex case

'. Moulines, S. Sabanis, Ying Zhang, 2019, 1905.13142.

Model-independent price bounds for Catastrophic Mortality Bonds

S. Sabanis, Rajeev Bahl, 2016, 1607.07108.