Yuri F. Saporito

Publication Activity (10 Years)

Years Active: 2019-2024
Publications (10 Years): 13

Top Topics

Operations Management

Statistical Learning

Social Interaction

Partial Differential Equations

Top Venues

SIAM J. Financial Math.

SIAM J. Control. Optim.

Publications

Caio Peixoto, Yuri F. Saporito, Yuri R. Fonseca
Nonparametric Instrumental Variable Regression through Stochastic Approximate Gradients. CoRR (2024)
Yuri F. Saporito, Max O. Souza, Yuri Thamsten
A Mathematical Framework for Dynamical Social Interactions with Dissimulation. J. Nonlinear Sci. 33 (1) (2023)
Manuel Febrero-Bande, Wenceslao González-Manteiga, Brenda Prallon, Yuri F. Saporito
Functional classification of bitcoin addresses. Comput. Stat. Data Anal. 181 (2023)
Jean-Pierre Fouque, Sebastian Jaimungal, Yuri F. Saporito
Optimal Trading with Signals and Stochastic Price Impact. SIAM J. Financial Math. 13 (3) (2022)
Diogo Duarte, Rodolfo Prieto, Marcel Rindisbacher, Yuri F. Saporito
Vanishing Contagion Spreads. Manag. Sci. 68 (1) (2022)
Yuri R. Fonseca, Yuri F. Saporito
Statistical Learning and Inverse Problems: An Stochastic Gradient Approach. CoRR (2022)
Ali Al-Aradi, Adolfo Correia, Gabriel Jardim, Danilo de Freitas Naiff, Yuri F. Saporito
Extensions of the deep Galerkin method. Appl. Math. Comput. 430 (2022)
Yuri R. Fonseca, Yuri F. Saporito
Statistical Learning and Inverse Problems: A Stochastic Gradient Approach. NeurIPS (2022)
Yuri F. Saporito, Zhaoyu Zhang
Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations. SIAM J. Financial Math. 12 (3) (2021)
Yuri F. Saporito
Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation. SIAM J. Financial Math. 11 (3) (2020)
Yuri F. Saporito
Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost. SIAM J. Control. Optim. 57 (2) (2019)
Yuri F. Saporito, Jianfeng Zhang
Stochastic Control with Delayed Information and Related Nonlinear Master Equation. SIAM J. Control. Optim. 57 (1) (2019)
Yuri F. Saporito, Xu Yang, Jorge P. Zubelli
The calibration of stochastic local-volatility models: An inverse problem perspective. Comput. Math. Appl. 77 (12) (2019)