| Publication | Date of Publication | Type |
|---|
Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids
(available as arXiv preprint) | N/A | Paper |
Neural networks for differential games
(available as arXiv preprint) | N/A | Paper |
Growth model with externalities for the energy transition
Mathematical Finance | 2026-09-14 | Paper |
Neural feedback approximation for stochastic control with degenerate diffusions: error estimates and numerical analysis
(available as arXiv preprint) | 2026-07-11 | Paper |
Mean-field neural networks-based algorithms for McKean-Vlasov control problems
Journal of Machine Learning | 2025-07-22 | Paper |
Representation results and error estimates for differential games with applications using neural networks
Dynamic Games and Applications | 2025-06-11 | Paper |
Actor-critic learning algorithms for mean-field control with moment neural networks
Methodology and Computing in Applied Probability | 2025-03-11 | Paper |
Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching
Applied Mathematics and Optimization | 2025-01-06 | Paper |
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation
Quantitative Finance | 2025-01-06 | Paper |
Neural networks for first order HJB equations and application to front propagation with obstacle terms
SN Partial Differential Equations and Applications | 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
Numerical Algebra, Control and Optimization | 2023-07-26 | Paper |
Numerical resolution of McKean-Vlasov FBSDEs using neural networks
Methodology and Computing in Applied Probability | 2023-02-17 | Paper |
Rate of convergence for particle approximation of PDEs in Wasserstein space
Journal of Applied Probability | 2022-11-14 | Paper |
DeepSets and their derivative networks for solving symmetric PDEs
Journal of Scientific Computing | 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
Journal of Mathematical Biology | 2022-05-05 | Paper |
Fast and Stable Multivariate Kernel Density Estimation by Fast Sum Updating
Journal of Computational and Graphical Statistics | 2022-03-28 | Paper |
Approximation error analysis of some deep backward schemes for nonlinear PDEs
SIAM Journal on Scientific Computing | 2022-01-13 | Paper |
Fast multivariate empirical cumulative distribution function with connection to kernel density estimation
Computational Statistics and Data Analysis | 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
Monte Carlo Methods and Applications | 2021-06-09 | Paper |
Neural networks-based backward scheme for fully nonlinear PDEs
SN Partial Differential Equations and Applications | 2021-05-03 | Paper |
DeepSets and their derivative networks for solving symmetric PDEs
(available as arXiv preprint) | 2021-03-01 | Paper |
On conditional cuts for stochastic dual dynamic programming
EURO Journal on Computational Optimization | 2020-08-26 | Paper |
Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations
Finance and Stochastics | 2020-08-03 | Paper |
Deep backward schemes for high-dimensional nonlinear PDEs
Mathematics of Computation | 2020-04-08 | Paper |
Neural networks-based backward scheme for fully nonlinear PDEs
(available as arXiv preprint) | 2019-07-31 | Paper |
Machine learning for semi linear PDEs
Journal of Scientific Computing | 2019-07-26 | Paper |
Regression Monte Carlo for microgrid management
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
Numerical approximation of general Lipschitz BSDEs with branching processes
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
Some non monotone schemes for Hamilton-Jacobi-Bellman equations
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2019-03-20 | Paper |
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2019-03-20 | Paper |
Nesting Monte Carlo for high-dimensional non-linear PDEs
Monte Carlo Methods and Applications | 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
(available as arXiv preprint) | 2018-04-23 | Paper |
Numerical approximation of BSDEs using local polynomial drivers and branching processes
Monte Carlo Methods and Applications | 2018-01-16 | Paper |
Unbiased Monte Carlo estimate of stochastic differential equations expectations
ESAIM: Probability and Statistics | 2017-08-28 | Paper |
Some non-monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control
Journal of Scientific Computing | 2017-08-16 | Paper |
Numerical approximation of a cash-constrained firm value with investment opportunities
SIAM Journal on Financial Mathematics | 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
Finance and Stochastics | 2016-10-27 | Paper |
Liquidity management with decreasing returns to scale and secured credit line
Finance and Stochastics | 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
Mathematics and Financial Economics | 2014-05-30 | Paper |
Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
Springer Proceedings in Mathematics | 2012-09-28 | Paper |
Swing options valuation: a BSDE with constrained jumps approach
Springer Proceedings in Mathematics | 2012-09-28 | Paper |
Gas storage hedging
Springer Proceedings in Mathematics | 2012-09-28 | Paper |
A finite-dimensional approximation for pricing moving average options
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
A probabilistic numerical method for fully nonlinear parabolic PDEs
The Annals of Applied Probability | 2011-10-12 | Paper |
Valuation of power plants by utility indifference and numerical computation
Mathematical Methods of Operations Research | 2009-09-09 | Paper |
Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
Bernoulli | 2007-05-24 | Paper |
A regression-based Monte Carlo method to solve backward stochastic differential equations
The Annals of Applied Probability | 2005-11-08 | Paper |
