Langevin dynamics based algorithm e-THεO POULA for stochastic optimization problems with discontinuous stochastic gradient
Dong-Young Lim, Ariel Neufeld, Sotirios Sabanis, and Ying Zhang
Mathematics of Operations Research, accepted [pdf]
presented at the Isaac Newton Institute workshop "Diffusions in Machine Learning" [slides]
On diffusion-based generative models and their error bounds: The log-concave case with full convergence estimates
Stefano Bruno, Ying Zhang, Dong-Young Lim, Ömer Deniz Akyildiz, and Sotirios Sabanis
Transactions on Machine Learning Research (TMLR), 2025 [pdf]
DualDynamics: synergizing implicit and explicit methods for robust irregular time series analysis
Yongkyung Oh, Dong-Young Lim, and Sungil Kim
AAAI Conference on Artificial Intelligence (AAAI), 2025 [pdf]
Dual cone gradient descent for training physics-informed neural networks
Youngsik Hwang and Dong-Young Lim
Neural Information Processing Systems (NeurIPS), 2024 [pdf]
Journal version in progress
Polygonal Unadjusted Langevin Algorithms: Creating stable and efficient adaptive algorithms for neural networks
Dong-Young Lim and Sotirios Sabanis
Journal of Machine Learning Reserach (JMLR), 2024 [pdf]
Interational Conference on Machine Learning (ICML), 2024
Stable neural stochastic differential equations in analyzing irregular time series data
Yongkyung Oh, Dong-Young Lim, and Sungil Kim
International Conference on Learning Representations (ICLR), Spotlight, 2024 [pdf]
Nonasymptotic estimates for TUSLA algorithm for nonconvex learning with applications to neural networks with ReLU activation function
Dong-Young Lim, Ariel Neufeld, Sotirios Sabanis, and Ying Zhang
IMA Journal of Numerical Analysis, 2024 [pdf]
Stop-loss adjusted labels for machine learning-based trading of risky assets
Yoontae Hwang, Junpyo Park, Yongjae Lee, and Dong-Young Lim
Finance Research Letters, 2023 [pdf]
Static replication of barrier-type options via integral equations
Kyoung-Kuk Kim and Dong-Young Lim
Quantitative Finance, 2021 [pdf]
Learning multi-market microstructure from order book data
Geonhwan Ju, Kyoung-Kuk Kim, and Dong-Young Lim
Quantitative Finance, 2019 [pdf]
Recursive method for static replication of autocallable structured products
Kyoung-Kuk Kim and Dong-Young Lim
Quantitative Finance, 2019 [pdf]
Risk analysis and hedging of Parisian options under a jump-diffusion model
Kyoung-Kuk Kim and Dong-Young Lim
Journal of Futures Markets, 2016 [pdf]