Yuri F. Saporito

19 papers A* 2Journal 17
YearRankTypeTitle / Venue / Authors
2025 J jnl
Deep Learning and Elicitability for McKean-Vlasov FBSDEs With Common Noise.
CoRR
Felipe J. P. Antunes, Yuri F. Saporito, Sebastian Jaimungal
2025 J jnl
Infinite Neural Operators: Gaussian processes on functions.
CoRR
Daniel Augusto de Souza, Yuchen Zhu, Harry Jake Cunningham, Yuri F. Saporito, Diego Mesquita, Marc Peter Deisenroth
2025 J jnl
Reverse-BSDE Monte Carlo.
CoRR
Jairon H. N. Batista, Flávio B. Gonçalves, Yuri F. Saporito, Rodrigo S. Targino
2025 J jnl
Risk Budgeting Allocation for Dynamic Risk Measures.
Oper. Res.
Silvana M. Pesenti, Sebastian Jaimungal, Yuri F. Saporito, Rodrigo S. Targino
2024 A* conf
Nonparametric Instrumental Variable Regression through Stochastic Approximate Gradients.
NeurIPS
Yuri R. Fonseca, Caio Peixoto, Yuri F. Saporito
2024 J jnl
Nonparametric Instrumental Variable Regression through Stochastic Approximate Gradients.
CoRR
Caio Peixoto, Yuri F. Saporito, Yuri R. Fonseca
2023 J jnl
A Mathematical Framework for Dynamical Social Interactions with Dissimulation.
J. Nonlinear Sci.
Yuri F. Saporito, Max O. Souza, Yuri Thamsten
2023 J jnl
Functional classification of bitcoin addresses.
Comput. Stat. Data Anal.
Manuel Febrero-Bande, Wenceslao González-Manteiga, Brenda Prallon, Yuri F. Saporito
2022 J jnl
A mathematical framework for dynamical social interactions with dissimulation.
CoRR
Yuri F. Saporito, Max O. Souza, Yuri Thamsten
2022 J jnl
Extensions of the deep Galerkin method.
Appl. Math. Comput.
Ali Al-Aradi, Adolfo Correia, Gabriel Jardim, Danilo de Freitas Naiff, Yuri F. Saporito
2022 J jnl
Optimal Trading with Signals and Stochastic Price Impact.
SIAM J. Financial Math.
Jean-Pierre Fouque, Sebastian Jaimungal, Yuri F. Saporito
2022 A* conf
Statistical Learning and Inverse Problems: A Stochastic Gradient Approach.
NeurIPS
Yuri R. Fonseca, Yuri F. Saporito
2022 J jnl
Statistical Learning and Inverse Problems: An Stochastic Gradient Approach.
CoRR
Yuri R. Fonseca, Yuri F. Saporito
2022 J jnl
Vanishing Contagion Spreads.
Manag. Sci.
Diogo Duarte, Rodolfo Prieto, Marcel Rindisbacher, Yuri F. Saporito
2021 J jnl
Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations.
SIAM J. Financial Math.
Yuri F. Saporito, Zhaoyu Zhang
2020 J jnl
Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation.
SIAM J. Financial Math.
Yuri F. Saporito
2019 J jnl
Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost.
SIAM J. Control. Optim.
Yuri F. Saporito
2019 J jnl
Stochastic Control with Delayed Information and Related Nonlinear Master Equation.
SIAM J. Control. Optim.
Yuri F. Saporito, Jianfeng Zhang
2019 J jnl
The calibration of stochastic local-volatility models: An inverse problem perspective.
Comput. Math. Appl.
Yuri F. Saporito, Xu Yang, Jorge P. Zubelli