PhD in Applied Mathematics

I am Azar Louzi, a postdoctoral researcher at LPSM, Sorbonne Université. I am working with Gilles Pagès. My PhD thesis revolved around Multilevel Approximation Schemes for the Value-at-Risk and Expected Shortfall, and was co-supervised by Stéphane Crépey and Noufel Frikha.

Publications

  • Langevin Dynamics on Lojasiewicz Potentials. Azar Louzi, Gilles Pagès. Forthcoming.
  • Nested Elicitability of the Expected Shortfall. Azar Louzi. Forthcoming.
  • 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. Accepted for publication in Annals of Applied Probability. 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. Finance and Stochastics 29, 1015 - 1074, 2025. arXiv. Hal. Bib. Code.