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Xavier Warin
Xavier Warin
在 edf.fr 的电子邮件经过验证 - 首页
标题
引用次数
引用次数
年份
A regression-based Monte Carlo method to solve backward stochastic differential equations
E Gobet, JP Lemor, X Warin
5352005
Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
JP Lemor, E Gobet, X Warin
Bernoulli 12 (5), 889-916, 2006
2282006
A probabilistic numerical method for fully nonlinear parabolic PDEs
A Fahim, N Touzi, X Warin
2122011
Deep backward schemes for high-dimensional nonlinear PDEs
C Huré, H Pham, X Warin
Mathematics of Computation 89 (324), 1547-1579, 2020
1872020
Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
B Bouchard, X Warin
Numerical Methods in Finance: Bordeaux, June 2010, 215-255, 2012
1642012
Machine learning for semi linear PDEs
Q Chan-Wai-Nam, J Mikael, X Warin
Journal of scientific computing 79 (3), 1667-1712, 2019
1392019
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
P Henry-Labordere, N Oudjane, X Tan, N Touzi, X Warin
1032019
Some machine learning schemes for high-dimensional nonlinear PDEs
C Huré, H Pham, X Warin
arXiv preprint arXiv:1902.01599 33 (6), 27, 2019
992019
Neural networks-based backward scheme for fully nonlinear PDEs
H Pham, X Warin, M Germain
SN Partial Differential Equations and Applications 2 (1), 16, 2021
962021
Neural networks-based algorithms for stochastic control and PDEs in finance
M Germain, H Pham, X Warin
arXiv preprint arXiv:2101.08068, 2021
682021
Fast and stable multivariate kernel density estimation by fast sum updating
N Langrené, X Warin
Journal of Computational and Graphical Statistics 28 (3), 596-608, 2019
582019
Numerical resolution of McKean-Vlasov FBSDEs using neural networks
M Germain, J Mikael, X Warin
Methodology and Computing in Applied Probability 24 (4), 2557-2586, 2022
472022
Approximation error analysis of some deep backward schemes for nonlinear PDEs
M Germain, H Pham, X Warin
SIAM Journal on Scientific Computing 44 (1), A28-A56, 2022
412022
Valuation of power plants by utility indifference and numerical computation
A Porchet, N Touzi, X Warin
Mathematical Methods of Operations Research 70, 47-75, 2009
402009
Numerical approximation of BSDEs using local polynomial drivers and branching processes
B Bouchard, X Tan, X Warin, Y Zou
Monte Carlo Methods and Applications 23 (4), 241-263, 2017
392017
Gas storage hedging
X Warin
Numerical methods in finance: Bordeaux, June 2010, 421-445, 2012
362012
Nesting Monte Carlo for high-dimensional non-linear PDEs
X Warin
Monte Carlo Methods and Applications 24 (4), 225-247, 2018
312018
Risk management with machine-learning-based algorithms
S Fécamp, J Mikael, X Warin
arXiv preprint arXiv:1902.05287, 2019
292019
Deep backward multistep schemes for nonlinear PDEs and approximation error analysis
M Germain, H Pham, X Warin
arXiv preprint arXiv:2006.01496, 2020
282020
DeepSets and their derivative networks for solving symmetric PDEs
M Germain, M Laurière, H Pham, X Warin
Journal of Scientific Computing 91 (2), 63, 2022
262022
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