David Siska

22 papers A* 1Journal 17Unranked 4
YearRankTypeTitle / Venue / Authors
2025 J jnl
Entropy Annealing for Policy Mirror Descent in Continuous Time and Space.
SIAM J. Control. Optim.
Deven Sethi, David Siska, Yufei Zhang
2025 J jnl
PPO in the Fisher-Rao geometry.
CoRR
Razvan-Andrei Lascu, David Siska, Lukasz Szpruch
2025 — conf
Parametric Phi-Divergence-Based Distributionally Robust Optimization for Insurance Pricing.
ICAIF
Lukasz Sliwinski, Liam Llamazares-Elias, David Siska, Lukasz Szpruch
2024 J jnl
Entropy annealing for policy mirror descent in continuous time and space.
CoRR
Deven Sethi, David Siska, Yufei Zhang
2024 J jnl
Gradient Flows for Regularized Stochastic Control Problems.
SIAM J. Control. Optim.
David Siska, Lukasz Szpruch
2024 J jnl
Linear convergence of proximal descent schemes on the Wasserstein space.
CoRR
Razvan-Andrei Lascu, Mateusz B. Majka, David Siska, Lukasz Szpruch
2024 J jnl
Mirror Descent for Stochastic Control Problems with Measure-valued Controls.
CoRR
Bekzhan Kerimkulov, David Siska, Lukasz Szpruch, Yufei Zhang
2023 J jnl
A Fisher-Rao gradient flow for entropy-regularised Markov decision processes in Polish spaces.
CoRR
Bekzhan Kerimkulov, James-Michael Leahy, David Siska, Lukasz Szpruch, Yufei Zhang
2023 — conf
Inefficiency of CFMs: Hedging Perspective and Agent-Based Simulations.
FC Workshops
Samuel N. Cohen, Marc Sabate Vidales, David Siska, Lukasz Szpruch
2022 A* conf
Convergence of Policy Gradient for Entropy Regularized MDPs with Neural Network Approximation in the Mean-Field Regime.
ICML
James-Michael Leahy, Bekzhan Kerimkulov, David Siska, Lukasz Szpruch
2022 J jnl
Convergence of policy gradient for entropy regularized MDPs with neural network approximation in the mean-field regime.
CoRR
Bekzhan Kerimkulov, James-Michael Leahy, David Siska, Lukasz Szpruch
2022 — conf
The Case for Variable Fees in Constant Product Markets: An Agent Based Simulation.
Financial Cryptography Workshops
Marc Sabate Vidales, David Siska
2021 — conf
Market Based Mechanisms for Incentivising Exchange Liquidity Provision.
Financial Cryptography Workshops
W. Gawlikowicz, B. Mannerings, T. Rudolph, David Siska
2020 J jnl
Exponential Convergence and Stability of Howard's Policy Improvement Algorithm for Controlled Diffusions.
SIAM J. Control. Optim.
Bekzhan Kerimkulov, David Siska, Lukasz Szpruch
2020 J jnl
Gradient Flows for Regularized Stochastic Control Problems.
CoRR
David Siska, Lukasz Szpruch
2020 J jnl
Robust pricing and hedging via neural SDEs.
CoRR
Patryk Gierjatowicz, Marc Sabate Vidales, David Siska, Lukasz Szpruch, Zan Zuric
2019 J jnl
Uniform error estimates for artificial neural network approximations for heat equations.
CoRR
Lukas Gonon, Philipp Grohs, Arnulf Jentzen, David Kofler, David Siska
2018 J jnl
Martingale Functional Control variates via Deep Learning.
CoRR
Marc Sabate Vidales, David Siska, Lukasz Szpruch
2015 J jnl
On a Full Discretisation for Nonlinear Second-Order Evolution Equations with Monotone Damping: Construction, Convergence, and Error Estimates.
Found. Comput. Math.
Etienne Emmrich, David Siska, Mechthild Thalhammer
2012 J jnl
Error Estimates for Approximations of American Put Option Price.
Comput. Methods Appl. Math.
David Siska
2011 J jnl
Error estimates for finite difference approximations of American put option price
CoRR
David Siska
2011 J jnl
Full discretisation of second-order nonlinear evolution equations: strong convergence and applications.
Comput. Methods Appl. Math.
Etienne Emmrich, David Siska