The following pages link to Xavier Warin (Q331353):
Displaying 35 items.
- Liquidity management with decreasing returns to scale and secured credit line (Q331354) (← links)
- A probabilistic numerical method for fully nonlinear parabolic PDEs (Q640058) (← links)
- Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations (Q784734) (← links)
- Valuation of power plants by utility indifference and numerical computation (Q836863) (← links)
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations (Q882887) (← links)
- Numerical approximation of BSDEs using local polynomial drivers and branching processes (Q1691497) (← links)
- Nesting Monte Carlo for high-dimensional non-linear PDEs (Q1713854) (← links)
- Branching diffusion representation of semilinear PDEs and Monte Carlo approximation (Q1731144) (← links)
- Neural networks-based backward scheme for fully nonlinear PDEs (Q2022970) (← links)
- Discretization and machine learning approximation of BSDEs with a constraint on the gains-process (Q2031302) (← links)
- Incentives, lockdown, and testing: from Thucydides' analysis to the COVID-19 pandemic (Q2133932) (← links)
- DeepSets and their derivative networks for solving symmetric PDEs (Q2148121) (← links)
- On conditional cuts for stochastic dual dynamic programming (Q2195564) (← links)
- Fast multivariate empirical cumulative distribution function with connection to kernel density estimation (Q2242044) (← links)
- Machine learning for semi linear PDEs (Q2316193) (← links)
- Some non-monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control (Q2398476) (← links)
- Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity (Q2452156) (← links)
- A regression-based Monte Carlo method to solve backward stochastic differential equations (Q2572405) (← links)
- Numerical resolution of McKean-Vlasov FBSDEs using neural networks (Q2684929) (← links)
- Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (Q2917432) (← links)
- Swing Options Valuation: A BSDE with Constrained Jumps Approach (Q2917441) (← links)
- Gas Storage Hedging (Q2917445) (← links)
- Numerical Approximation of a Cash-Constrained Firm Value with Investment Opportunities (Q2962131) (← links)
- Fast and Stable Multivariate Kernel Density Estimation by Fast Sum Updating (Q3391268) (← links)
- Deep backward schemes for high-dimensional nonlinear PDEs (Q4960067) (← links)
- Regression Monte Carlo for microgrid management (Q4967863) (← links)
- Numerical approximation of general Lipschitz BSDEs with branching processes (Q4967879) (← links)
- Some non monotone schemes for Hamilton-Jacobi-Bellman equations (Q4967890) (← links)
- Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs (Q5021399) (← links)
- Rate of convergence for particle approximation of PDEs in Wasserstein space (Q5049892) (← links)
- Unbiased Monte Carlo estimate of stochastic differential equations expectations (Q5350276) (← links)
- A Finite-Dimensional Approximation for Pricing Moving Average Options (Q5388693) (← links)
- Neural networks for first order HJB equations and application to front propagation with obstacle terms (Q6087416) (← links)
- A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection (Q6164094) (← links)
- Reservoir optimization and Machine Learning methods (Q6370358) (← links)
