Xavier Warin
Xavier Warin
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Cited by
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A regression-based Monte Carlo method to solve backward stochastic differential equations
E Gobet, JP Lemor, X Warin
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
A probabilistic numerical method for fully nonlinear parabolic PDEs
A Fahim, N Touzi, X Warin
Deep backward schemes for high-dimensional nonlinear PDEs
C Huré, H Pham, X Warin
Mathematics of Computation 89 (324), 1547-1579, 2020
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
Machine learning for semi linear PDEs
Q Chan-Wai-Nam, J Mikael, X Warin
Journal of scientific computing 79 (3), 1667-1712, 2019
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
P Henry-Labordere, N Oudjane, X Tan, N Touzi, X Warin
Some machine learning schemes for high-dimensional nonlinear PDEs
C Huré, H Pham, X Warin
arXiv preprint arXiv:1902.01599 33 (6), 27, 2019
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
Neural networks-based algorithms for stochastic control and PDEs in finance
M Germain, H Pham, X Warin
arXiv preprint arXiv:2101.08068, 2021
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
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
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
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
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
Gas storage hedging
X Warin
Numerical methods in finance: Bordeaux, June 2010, 421-445, 2012
Nesting Monte Carlo for high-dimensional non-linear PDEs
X Warin
Monte Carlo Methods and Applications 24 (4), 225-247, 2018
Risk management with machine-learning-based algorithms
S Fécamp, J Mikael, X Warin
arXiv preprint arXiv:1902.05287, 2019
Deep backward multistep schemes for nonlinear PDEs and approximation error analysis
M Germain, H Pham, X Warin
arXiv preprint arXiv:2006.01496, 2020
Incentives, lockdown, and testing: from Thucydides’ analysis to the COVID-19 pandemic
E Hubert, T Mastrolia, D Possamaï, X Warin
Journal of mathematical biology 84 (5), 37, 2022
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