Xavier Warin

According to our database, Xavier Warin authored at least 25 papers between 2008 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids.

Clémence Alasseur, Zakaria Bensaid, Roxana Dumitrescu, Xavier Warin

CoRR, 2024

2023

Mean-field neural networks: Learning mappings on Wasserstein space.

Huyên Pham, Xavier Warin

Neural Networks, November, 2023

Reservoir optimization and machine learning methods.

Xavier Warin

EURO J. Comput. Optim., January, 2023

Actor critic learning algorithms for mean-field control with moment neural networks.

Huyên Pham, Xavier Warin

CoRR, 2023

Quantile and moment neural networks for learning functionals of distributions.

Xavier Warin

CoRR, 2023

2022

Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs.

Maximilien Germain, Huyên Pham, Xavier Warin

SIAM J. Sci. Comput., 2022

DeepSets and Their Derivative Networks for Solving Symmetric PDEs.

Maximilien Germain, Mathieu Laurière, Huyên Pham, Xavier Warin

J. Sci. Comput., 2022

Rate of convergence for particle approximation of PDEs in Wasserstein space.

Maximilien Germain, Huyên Pham, Xavier Warin

J. Appl. Probab., 2022

2021

Discretization and machine learning approximation of BSDEs with a constraint on the Gains-process.

Idris Kharroubi, Thomas Lim, Xavier Warin

Monte Carlo Methods Appl., 2021

Fast multivariate empirical cumulative distribution function with connection to kernel density estimation.

Nicolas Langrené, Xavier Warin

Comput. Stat. Data Anal., 2021

2020

Deep backward schemes for high-dimensional nonlinear PDEs.

Côme Huré, Huyên Pham, Xavier Warin

Math. Comput., 2020

On conditional cuts for stochastic dual dynamic programming.

Wim van Ackooij, Xavier Warin

EURO J. Comput. Optim., 2020

2019

Machine Learning for Semi Linear PDEs.

Quentin Chan-Wai-Nam, Joseph Mikael, Xavier Warin

J. Sci. Comput., 2019

Neural networks-based backward scheme for fully nonlinear PDEs.

Huyên Pham, Xavier Warin

CoRR, 2019

Some machine learning schemes for high-dimensional nonlinear PDEs.

Côme Huré, Huyên Pham, Xavier Warin

CoRR, 2019

2018

Nesting Monte Carlo for high-dimensional non-linear PDEs.

Xavier Warin

Monte Carlo Methods Appl., 2018

2017

Numerical Approximation of a Cash-Constrained Firm Value with Investment Opportunities.

Erwan Pierre, Stéphane Villeneuve, Xavier Warin

SIAM J. Financial Math., 2017

Numerical approximation of BSDEs using local polynomial drivers and branching processes.

Bruno Bouchard, Xiaolu Tan, Xavier Warin, Yiyi Zou

Monte Carlo Methods Appl., 2017

2016

Some Non-monotone Schemes for Time Dependent Hamilton-Jacobi-Bellman Equations in Stochastic Control.

Xavier Warin

J. Sci. Comput., 2016

Liquidity management with decreasing returns to scale and secured credit line.

Erwan Pierre, Stéphane Villeneuve, Xavier Warin

Finance Stochastics, 2016

2012

FT-GReLoSSS: A Skeletal-Based Approach towards Application Parallelization and Low-Overhead Fault Tolerance.

Constantinos Makassikis, Stéphane Vialle, Xavier Warin

Proceedings of the 20th Euromicro International Conference on Parallel, 2012

2011

A Finite-Dimensional Approximation for Pricing Moving Average Options.

Marie Bernhart, Peter Tankov, Xavier Warin

SIAM J. Financial Math., 2011

2009

Valuation of power plants by utility indifference and numerical computation.

Arnaud Porchet, Nizar Touzi, Xavier Warin

Math. Methods Oper. Res., 2009

Large scale experiment and optimization of a distributed stochastic control algorithm. Application to energy management problems.

Pascal Vezolle, Stéphane Vialle, Xavier Warin

Proceedings of the 23rd IEEE International Symposium on Parallel and Distributed Processing, 2009

2008

Large scale distribution of stochastic control algorithms for gas storage valuation.

Constantinos Makassikis, Stéphane Vialle, Xavier Warin

Proceedings of the 22nd IEEE International Symposium on Parallel and Distributed Processing, 2008