Publications

• Stochastic Gradient Descent Revisited. Azar Louzi. 2024. arXiv. Hal. Bib.
• Adaptive Multilevel Stochastic Approximation of the Value-at-Risk. Stéphane Crépey, Noufel Frikha, Azar Louzi, Jonathan Spence. 2024. arXiv. Hal. Bib. Code.
• Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall. Stéphane Crépey, Noufel Frikha, Azar Louzi, Gilles Pagès. Electronic Journal of Probability 29 1 - 56, 2024. DOI. Bib. Code.
• A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. Stéphane Crépey, Noufel Frikha, Azar Louzi. 2023. Accepted for publication at Finance and Stochastics. arXiv. Hal. Bib. Code.