Yuri F. Saporito

According to our database, Yuri F. Saporito authored at least 13 papers between 2019 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Nonparametric Instrumental Variable Regression through Stochastic Approximate Gradients.

Caio Peixoto, Yuri F. Saporito, Yuri R. Fonseca

CoRR, 2024

2023

Functional classification of bitcoin addresses.

Manuel Febrero-Bande, Wenceslao González-Manteiga, Brenda Prallon, Yuri F. Saporito

Comput. Stat. Data Anal., May, 2023

A Mathematical Framework for Dynamical Social Interactions with Dissimulation.

Yuri F. Saporito, Max O. Souza, Yuri Thamsten

J. Nonlinear Sci., 2023

2022

Optimal Trading with Signals and Stochastic Price Impact.

Jean-Pierre Fouque, Sebastian Jaimungal, Yuri F. Saporito

SIAM J. Financial Math., September, 2022

Vanishing Contagion Spreads.

Diogo Duarte, Rodolfo Prieto, Marcel Rindisbacher, Yuri F. Saporito

Manag. Sci., 2022

Statistical Learning and Inverse Problems: An Stochastic Gradient Approach.

Yuri R. Fonseca, Yuri F. Saporito

CoRR, 2022

Extensions of the deep Galerkin method.

Ali Al-Aradi, Adolfo Correia, Gabriel Jardim, Danilo de Freitas Naiff, Yuri F. Saporito

Appl. Math. Comput., 2022

Statistical Learning and Inverse Problems: A Stochastic Gradient Approach.

Yuri R. Fonseca, Yuri F. Saporito

Proceedings of the Advances in Neural Information Processing Systems 35: Annual Conference on Neural Information Processing Systems 2022, 2022

2021

Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations.

Yuri F. Saporito, Zhaoyu Zhang

SIAM J. Financial Math., 2021

2020

Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation.

Yuri F. Saporito

SIAM J. Financial Math., 2020

2019

Stochastic Control with Delayed Information and Related Nonlinear Master Equation.

Yuri F. Saporito, Jianfeng Zhang

SIAM J. Control. Optim., 2019

Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost.

Yuri F. Saporito

SIAM J. Control. Optim., 2019

The calibration of stochastic local-volatility models: An inverse problem perspective.

Yuri F. Saporito, Xu Yang, Jorge P. Zubelli

Comput. Math. Appl., 2019