| Publication | Date of Publication | Type |
|---|
| Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching | 2025-01-06 | Paper |
| A common shock model for multidimensional electricity intraday price modelling with application to battery valuation | 2025-01-06 | Paper |
| Neural networks for first order HJB equations and application to front propagation with obstacle terms | 2023-11-15 | Paper |
| A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection | 2023-07-26 | Paper |
| Numerical resolution of McKean-Vlasov FBSDEs using neural networks | 2023-02-17 | Paper |
| Rate of convergence for particle approximation of PDEs in Wasserstein space | 2022-11-14 | Paper |
| DeepSets and their derivative networks for solving symmetric PDEs | 2022-06-21 | Paper |
| The GroupMax neural network approximation of convex functions | 2022-06-14 | Paper |
| Incentives, lockdown, and testing: from Thucydides' analysis to the COVID-19 pandemic | 2022-05-05 | Paper |
| Fast and Stable Multivariate Kernel Density Estimation by Fast Sum Updating | 2022-03-28 | Paper |
| Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs | 2022-01-13 | Paper |
| Fast multivariate empirical cumulative distribution function with connection to kernel density estimation | 2021-11-09 | Paper |
| Reservoir optimization and Machine Learning methods | 2021-06-15 | Paper |
| Discretization and machine learning approximation of BSDEs with a constraint on the gains-process | 2021-06-09 | Paper |
| Neural networks-based backward scheme for fully nonlinear PDEs | 2021-05-03 | Paper |
| DeepSets and their derivative networks for solving symmetric PDEs | 2021-03-01 | Paper |
| On conditional cuts for stochastic dual dynamic programming | 2020-08-26 | Paper |
| Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations | 2020-08-03 | Paper |
| Deep backward schemes for high-dimensional nonlinear PDEs | 2020-04-08 | Paper |
| Neural networks-based backward scheme for fully nonlinear PDEs | 2019-07-31 | Paper |
| Machine learning for semi linear PDEs | 2019-07-26 | Paper |
| Some non monotone schemes for Hamilton-Jacobi-Bellman equations | 2019-07-11 | Paper |
| Numerical approximation of general Lipschitz BSDEs with branching processes | 2019-07-11 | Paper |
| Regression Monte Carlo for microgrid management | 2019-07-11 | Paper |
| Branching diffusion representation of semilinear PDEs and Monte Carlo approximation | 2019-03-20 | Paper |
| Nesting Monte Carlo for high-dimensional non-linear PDEs | 2019-01-30 | Paper |
| Monte Carlo for high-dimensional degenerated Semi Linear and Full Non Linear PDEs | 2018-05-14 | Paper |
| Nesting Monte Carlo for high-dimensional Non Linear PDEs | 2018-04-23 | Paper |
| Numerical approximation of BSDEs using local polynomial drivers and branching processes | 2018-01-16 | Paper |
| Unbiased Monte Carlo estimate of stochastic differential equations expectations | 2017-08-28 | Paper |
| Some non-monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control | 2017-08-16 | Paper |
| Numerical Approximation of a Cash-Constrained Firm Value with Investment Opportunities | 2017-02-16 | Paper |
| Variations on branching methods for non linear PDEs | 2017-01-26 | Paper |
| Liquidity management with decreasing returns to scale and secured credit line | 2016-10-27 | Paper |
| Adaptive sparse grids for time dependent Hamilton-Jacobi-Bellman equations in stochastic control | 2014-08-19 | Paper |
| Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity | 2014-05-30 | Paper |
| Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods | 2012-09-28 | Paper |
| Gas Storage Hedging | 2012-09-28 | Paper |
| Swing Options Valuation: A BSDE with Constrained Jumps Approach | 2012-09-28 | Paper |
| A Finite-Dimensional Approximation for Pricing Moving Average Options | 2012-04-19 | Paper |
| A probabilistic numerical method for fully nonlinear parabolic PDEs | 2011-10-12 | Paper |
| Valuation of power plants by utility indifference and numerical computation | 2009-09-09 | Paper |
| Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations | 2007-05-24 | Paper |
| A regression-based Monte Carlo method to solve backward stochastic differential equations | 2005-11-08 | Paper |
| Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids | N/A | Paper |
| Neural networks for differential games | N/A | Paper |
