David Siska

Publication Activity (10 Years)

Years Active: 2011-2024
Publications (10 Years): 13

Top Topics

Markov Decision Process

Error Estimates

Top Venues

Financial Cryptography Workshops

Found. Comput. Math.

Publications

Deven Sethi, David Siska, Yufei Zhang
Entropy annealing for policy mirror descent in continuous time and space. CoRR (2024)
Bekzhan Kerimkulov, David Siska, Lukasz Szpruch, Yufei Zhang
Mirror Descent for Stochastic Control Problems with Measure-valued Controls. CoRR (2024)
Bekzhan Kerimkulov, James-Michael Leahy, David Siska, Lukasz Szpruch, Yufei Zhang
A Fisher-Rao gradient flow for entropy-regularised Markov decision processes in Polish spaces. CoRR (2023)
Samuel N. Cohen, Marc Sabate Vidales, David Siska, Lukasz Szpruch
Inefficiency of CFMs: Hedging Perspective and Agent-Based Simulations. FC Workshops (2023)
James-Michael Leahy, Bekzhan Kerimkulov, David Siska, Lukasz Szpruch
Convergence of Policy Gradient for Entropy Regularized MDPs with Neural Network Approximation in the Mean-Field Regime. ICML (2022)
Bekzhan Kerimkulov, James-Michael Leahy, David Siska, Lukasz Szpruch
Convergence of policy gradient for entropy regularized MDPs with neural network approximation in the mean-field regime. CoRR (2022)
Marc Sabate Vidales, David Siska
The Case for Variable Fees in Constant Product Markets: An Agent Based Simulation. Financial Cryptography Workshops (2022)
W. Gawlikowicz, B. Mannerings, T. Rudolph, David Siska
Market Based Mechanisms for Incentivising Exchange Liquidity Provision. Financial Cryptography Workshops (2021)
David Siska, Lukasz Szpruch
Gradient Flows for Regularized Stochastic Control Problems. CoRR (2020)
Patryk Gierjatowicz, Marc Sabate Vidales, David Siska, Lukasz Szpruch, Zan Zuric
Robust pricing and hedging via neural SDEs. CoRR (2020)
Bekzhan Kerimkulov, David Siska, Lukasz Szpruch
Exponential Convergence and Stability of Howard's Policy Improvement Algorithm for Controlled Diffusions. SIAM J. Control. Optim. 58 (3) (2020)
Lukas Gonon, Philipp Grohs, Arnulf Jentzen, David Kofler, David Siska
Uniform error estimates for artificial neural network approximations for heat equations. CoRR (2019)
Marc Sabate Vidales, David Siska, Lukasz Szpruch
Martingale Functional Control variates via Deep Learning. CoRR (2018)
Etienne Emmrich, David Siska, Mechthild Thalhammer
On a Full Discretisation for Nonlinear Second-Order Evolution Equations with Monotone Damping: Construction, Convergence, and Error Estimates. Found. Comput. Math. 15 (6) (2015)
David Siska
Error Estimates for Approximations of American Put Option Price. Comput. Methods Appl. Math. 12 (1) (2012)
David Siska
Error estimates for finite difference approximations of American put option price CoRR (2011)
Etienne Emmrich, David Siska
Full discretisation of second-order nonlinear evolution equations: strong convergence and applications. Comput. Methods Appl. Math. 11 (4) (2011)