Xavier Warin

1. Deep backward schemes for high-dimensional nonlinear PDEs
   2019/12/04 by Côme Huré, Huyên Pham, Xavier Warin · 17 citations
   Physics and Astronomy · Economics, Econometrics and Finance · Engineering · #Model Reduction and Neural Networks #Stochastic processes and financial applications #Fluid Dynamics and Turbulent Flows
2. Approximation error analysis of some deep backward schemes for nonlinear PDEs
   2020/06/02 by Maximilien Germain, Germain, Maximilien, Huyên Pham +3 · 6 citations
   Physics and Astronomy · Economics, Econometrics and Finance · Engineering · #Model Reduction and Neural Networks #Stochastic processes and financial applications #Energy Load and Power Forecasting
3. A regression-based Monte Carlo method to solve backward stochastic differential equations
   2005/08/01 by Emmanuel Gobet, Jean-Philippe Lemor, Xavier Warin · 3 citations
   Mathematics · #math.PR #msc:60H10 #msc:65C30
4. Deep backward schemes for high-dimensional nonlinear PDEs
   2019/02/04 by Côme Huré, Huré, Côme, Huyên Pham +3 · 4 citations
   Decision Sciences · Economics, Econometrics and Finance · Engineering · Physics and Astronomy · #FOS: Computer and information sciences #FOS: Mathematics #Fluid Dynamics and Turbulent Flows #Machine Learning (stat.ML) #Model Reduction and Neural Networks #Neural and Evolutionary Computing (cs.NE) #Numerical Analysis (math.NA) #Optimization and Control (math.OC) #Probabilistic and Robust Engineering Design #Probability (math.PR) #Stochastic processes and financial applications
5. Neural networks-based algorithms for stochastic control and PDEs in finance
   2021/01/20 by Maximilien Germain, Huyên Pham, Germain, Maximilien +3 · 2 citations
   Computer Science · Physics and Astronomy · Engineering · #Neural Networks and Applications #Model Reduction and Neural Networks #Energy Load and Power Forecasting
6. Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids
   2024/01/06 by Clémence Alasseur, Alasseur, Clémence, Zakaria Bensaid +5 · 3 citations
   Economics, Econometrics and Finance · Energy · #Climate Change Policy and Economics #Energy, Environment, and Transportation Policies #FOS: Mathematics #Numerical Analysis (math.NA) #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications
7. A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs
   2009/05/12 by Arash Fahim, Fahim, Arash, Touzi, Nizar +2 · 1 citation
   Decision Sciences · Economics, Econometrics and Finance · Mathematics · #49L25 #65C05 #FOS: Mathematics #Mathematical Approximation and Integration #Numerical Analysis (math.NA) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications
8. Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching
   2024/04/27 by Robert Denkert, Denkert, Robert, Huyên Pham +3 · 3 citations
   Biochemistry, Genetics and Molecular Biology · Computer Science · Engineering · #68T07 (Secondary) #93E20 (Primary) #Electric Vehicles and Infrastructure #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (stat.ML) #Optimization and Control (math.OC) #Reinforcement Learning in Robotics #Viral Infectious Diseases and Gene Expression in Insects
9. A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation
   2023/07/31 by Thomas Deschatre, Xavier Warin, Deschatre, Thomas +1 · 1 citation
   Energy · Engineering · #60G55 #60G57 #62P05 #91G30 #Applications (stat.AP) #Energy Efficiency and Management #Energy Load and Power Forecasting #FOS: Computer and information sciences #FOS: Economics and business #Smart Grid Energy Management #Statistical Finance (q-fin.ST) #Trading and Market Microstructure (q-fin.TR)
10. Risk management with machine-learning-based algorithms
    2019/02/14 by Simon F'ecamp, Joseph Mikael, Fécamp, Simon +3 · 1 citation
    Decision Sciences · Economics, Econometrics and Finance · #FOS: Economics and business #Financial Risk and Volatility Modeling #Risk Management (q-fin.RM) #Risk and Portfolio Optimization #Stochastic processes and financial applications