Concepedia

Łukasz Szpruch

ŁS

25

Publications

1.3K

Citations

17

H-Index

2010

Active since

Affiliations

University of Edinburgh(Current)

University of Oxford

University College London

The Alan Turing Institute

University of Strathclyde

Łukasz Szpruch is an author at University of Edinburgh specializing in engineering, stochastic calculus, and machine learning.

Top concepts

EngineeringStochastic CalculusMachine LearningComputer ScienceNumerical AnalysisStatisticsData ScienceDeep LearningStochastic AnalysisStochastic Optimization

Publications per year

2010–2024

25

Publications

25

Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients

Xuerong Mao, Łukasz Szpruch · Journal of Computational and Applied Mathematics · 2012 · 166 citations

Numerical Analysis, Engineering, Semi-implicit Method +7

An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process

Steffen Dereich, Andreas Neuenkirch, Łukasz Szpruch · Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences · 2011 · 148 citations

Numerical Analysis, Cox-ingersoll-ross Model, Euler-type Method +15

Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients

Xuerong Mao, Łukasz Szpruch · Stochastics · 2012 · 109 citations

Numerical Analysis, Large Deviations, Engineering +17

Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model

Łukasz Szpruch, Xuerong Mao, Desmond J. Higham et al. · BIT Numerical Mathematics · 2010 · 108 citations

Numerical Analysis, Term Structure Model, Engineering +4

Conditional Sig-Wasserstein GANs for Time Series Generation

Hao Ni, Łukasz Szpruch, Magnus Wiese et al. · SSRN Electronic Journal · 2020 · 100 citations · Full text

Rows per page

1–5 of 25