Lukasz Szpruch

54 papers A* 3Journal 44Unranked 6

Year	Rank	Type	Title / Venue / Authors
2025	J	`jnl`	FraudTransformer: Time-Aware GPT for Transaction Fraud Detection. CoRR Gholamali Aminian, Andrew Elliott, Tiger Li, Timothy Cheuk Hin Wong, Victor Claude Dehon, Lukasz Szpruch, Carsten Maple, Christopher Read, Martin Brown, Gesine Reinert, Mo Mamouei
2025	—	`conf`	Individualised Counterfactual Examples Using Conformal Prediction Intervals. COPA James M. Adams, Gesine Reinert, Lukasz Szpruch, Carsten Maple, Andrew Elliott
2025	J	`jnl`	Individualised Counterfactual Examples Using Conformal Prediction Intervals. CoRR James M. Adams, Gesine Reinert, Lukasz Szpruch, Carsten Maple, Andrew Elliott
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
2025	J	`jnl`	Structured Agentic Workflows for Financial Time-Series Modeling with LLMs and Reflective Feedback. CoRR Yihao Ang, Yifan Bao, Lei Jiang, Jiajie Tao, Anthony K. H. Tung, Lukasz Szpruch, Hao Ni
2025	—	`conf`	Structured Agentic Workflows for Financial Time-Series Modelling with LLMs and Reflective Feedback. ICAIF Yihao Ang, Yifan Bao, Lei Jiang, Jiajie Tao, Anthony K. H. Tung, Lukasz Szpruch, Hao Ni
2024	J	`jnl`	A Fisher-Rao gradient flow for entropic mean-field min-max games. CoRR Razvan-Andrei Lascu, Mateusz B. Majka, Lukasz Szpruch
2024	J	`jnl`	A Fisher-Rao gradient flow for entropic mean-field min-max games. Trans. Mach. Learn. Res. Razvan-Andrei Lascu, Mateusz B. Majka, Lukasz Szpruch
2024	A*	`conf`	Generalization Error of Graph Neural Networks in the Mean-field Regime. ICML Gholamali Aminian, Yixuan He, Gesine Reinert, Lukasz Szpruch, Samuel N. Cohen
2024	J	`jnl`	Generalization Error of Graph Neural Networks in the Mean-field Regime. CoRR Gholamali Aminian, Yixuan He, Gesine Reinert, Lukasz Szpruch, Samuel N. Cohen
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
2024	J	`jnl`	Mirror Descent-Ascent for mean-field min-max problems. CoRR Razvan-Andrei Lascu, Mateusz B. Majka, Lukasz Szpruch
2024	J	`jnl`	Numerical approximation of ergodic BSDEs using non linear Feynman-Kac formulas. CoRR Emmanuel Gobet, Adrien Richou, Lukasz Szpruch
2024	J	`jnl`	Optimal Scheduling of Entropy Regularizer for Continuous-Time Linear-Quadratic Reinforcement Learning. SIAM J. Control. Optim. Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang
2024	J	`jnl`	Understanding Transfer Learning via Mean-field Analysis. CoRR Gholamali Aminian, Lukasz Szpruch, Samuel N. Cohen
2024	J	`jnl`	ε-Policy Gradient for Online Pricing. CoRR Lukasz Szpruch, Tanut Treetanthiploet, 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
2023	J	`jnl`	Insurance pricing on price comparison websites via reinforcement learning. CoRR Tanut Treetanthiploet, Yufei Zhang, Lukasz Szpruch, Isaac Bowers-Barnard, Henrietta Ridley, James Hickey, Chris Pearce
2023	J	`jnl`	Mean-field Analysis of Generalization Errors. CoRR Gholamali Aminian, Samuel N. Cohen, Lukasz Szpruch
2023	J	`jnl`	Multi-index antithetic stochastic gradient algorithm. Stat. Comput. Mateusz B. Majka, Marc Sabate Vidales, Lukasz Szpruch
2023	J	`jnl`	On the geometry of Stein variational gradient descent. J. Mach. Learn. Res. Andrew B. Duncan, Nikolas Nüsken, Lukasz Szpruch
2023	J	`jnl`	The AI Revolution: Opportunities and Challenges for the Finance Sector. CoRR Carsten Maple, Lukasz Szpruch, Gregory Epiphaniou, Kalina Staykova, Simran Singh, William Penwarden, Yisi Wen, Zijian Wang, Jagdish Hariharan, Pavle Avramovic
2022	J	`jnl`	A Framework for Auditable Synthetic Data Generation. CoRR Florimond Houssiau, Samuel N. Cohen, Lukasz Szpruch, Owen Daniel, Michaela G. Lawrence, Robin Mitra, Henry Wilde, Callum D. Mole
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	J	`jnl`	Optimal scheduling of entropy regulariser for continuous-time linear-quadratic reinforcement learning. CoRR Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang
2022	J	`jnl`	Synthetic Data - what, why and how? CoRR James Jordon, Lukasz Szpruch, Florimond Houssiau, Mirko Bottarelli, Giovanni Cherubin, Carsten Maple, Samuel N. Cohen, Adrian Weller
2022	J	`jnl`	TAPAS: a Toolbox for Adversarial Privacy Auditing of Synthetic Data. CoRR Florimond Houssiau, James Jordon, Samuel N. Cohen, Owen Daniel, Andrew Elliott, James Geddes, Callum D. Mole, Camila Rangel Smith, Lukasz Szpruch
2021	J	`jnl`	Exploration-exploitation trade-off for continuous-time episodic reinforcement learning with linear-convex models. CoRR Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang
2021	—	`ed.`	ICAIF'21: 2nd ACM International Conference on AI in Finance, Virtual Event, November 3 - 5, 2021 ICAIF Anisoara Calinescu, Lukasz Szpruch
2021	A*	`conf`	Identifiability in inverse reinforcement learning. NeurIPS Haoyang Cao, Samuel N. Cohen, Lukasz Szpruch
2021	J	`jnl`	Identifiability in inverse reinforcement learning. CoRR Haoyang Cao, Samuel N. Cohen, Lukasz Szpruch
2021	J	`jnl`	Sig-Wasserstein GANs for Time Series Generation. CoRR Hao Ni, Lukasz Szpruch, Marc Sabate Vidales, Baoren Xiao, Magnus Wiese, Shujian Liao
2021	—	`conf`	Sig-wasserstein GANs for time series generation. ICAIF Hao Ni, Lukasz Szpruch, Marc Sabate Vidales, Baoren Xiao, Magnus Wiese, Shujian Liao
2020	J	`jnl`	Conditional Sig-Wasserstein GANs for Time Series Generation. CoRR Hao Ni, Lukasz Szpruch, Magnus Wiese, Shujian Liao, Baoren Xiao
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`	Multi-index Antithetic Stochastic Gradient Algorithm. CoRR Mateusz B. Majka, Marc Sabate Vidales, Lukasz Szpruch
2020	J	`jnl`	Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations. Stat. Comput. Michael B. Giles, Mateusz B. Majka, Lukasz Szpruch, Sebastian J. Vollmer, Konstantinos C. Zygalakis
2020	J	`jnl`	Robust pricing and hedging via neural SDEs. CoRR Patryk Gierjatowicz, Marc Sabate Vidales, David Siska, Lukasz Szpruch, Zan Zuric
2020	—	`conf`	Sig-SDEs model for quantitative finance. ICAIF Imanol Pérez Arribas, Cristopher Salvi, Lukasz Szpruch
2019	J	`jnl`	An Adaptive Euler-Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis. SIAM J. Numer. Anal. Andreas Neuenkirch, Michaela Szölgyenyi, Lukasz Szpruch
2019	J	`jnl`	Iterative Multilevel density estimation for McKean-Vlasov SDEs via projections. CoRR Denis Belomestny, Lukasz Szpruch, Shuren Tan
2019	J	`jnl`	On the geometry of Stein variational gradient descent. CoRR Andrew B. Duncan, Nikolas Nüsken, Lukasz Szpruch
2018	J	`jnl`	Martingale Functional Control variates via Deep Learning. CoRR Marc Sabate Vidales, David Siska, Lukasz Szpruch
2018	J	`jnl`	V-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs. Math. Comput. Lukasz Szpruch, Xiling Zhang
2014	J	`jnl`	First order strong approximations of scalar SDEs defined in a domain. Numerische Mathematik Andreas Neuenkirch, Lukasz Szpruch
2013	J	`jnl`	Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients. J. Comput. Appl. Math. Xuerong Mao, Lukasz Szpruch
2010	J	`jnl`	Almost sure exponential stability of numerical solutions for stochastic delay differential equations. Numerische Mathematik Fuke Wu, Xuerong Mao, Lukasz Szpruch
2009	J	`jnl`	Comparing Hitting Time Behavior of Markov Jump Processes and Their Diffusion Approximations. Multiscale Model. Simul. Lukasz Szpruch, Desmond J. Higham