Xavier Warin

发表

Valuation of power plants by utility indifference and numerical computation

Arnaud Porchet, Nizar Touzi, Xavier Warin, 2009, Math. Methods Oper. Res..

Design and Experimentation of a Large Scale Distributed Stochastic Control Algorithm Applied to Energy Management Problems

Stéphane Vialle, Xavier Warin, X. Warin, 2010 .

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

Xavier Warin, Thomas Lim, Idris Kharroubi, 2020, Monte Carlo Methods Appl..

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

Stéphane Vialle, Xavier Warin, Pascal Vezolle, 2009, 2009 IEEE International Symposium on Parallel & Distributed Processing.

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

Xavier Warin, Nicolas Langren'e, Nicolas Langren'e, 2020, Comput. Stat. Data Anal..

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

Stéphane Vialle, Xavier Warin, Constantinos Makassikis, 2012, 2012 20th Euromicro International Conference on Parallel, Distributed and Network-based Processing.

Numerical approximation of BSDEs using local polynomial drivers and branching processes

Bruno Bouchard, Xiaolu Tan, Xavier Warin, 2017, Monte Carlo Methods Appl..

Fast and Stable Multivariate Kernel Density Estimation by Fast Sum Updating

Xavier Warin, Nicolas Langren'e, X. Warin, 2017, Journal of Computational and Graphical Statistics.

STochastic OPTimization library in C

Xavier Warin, Hugo Gevret, Jerome Lelong, 2016 .

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

Xavier Warin, Stéphane Villeneuve, Erwan Pierre, 2017, SIAM J. Financial Math..

A N-dimensional Stochastic Control Algorithm for Electricity Asset Management on PC cluster and Blue Gene Supercomputer

Stéphane Vialle, Xavier Warin, Patrick Mercier, 2008 .

Stochastic control optimization & simulation applied to energy management: From 1-D to N-D problem distributions, on clusters, supercomputers and Grids

Stéphane Vialle, Xavier Warin, Patrick Mercier, 2008 .

Nesting Monte Carlo for high-dimensional non-linear PDEs

Xavier Warin, X. Warin, 2018, Monte Carlo Methods Appl..

Neural networks-based backward scheme for fully nonlinear PDEs pdf

Huyen Pham, Xavier Warin, H. Pham, 2019, SN Partial Differential Equations and Applications.

Liquidity management with decreasing returns to scale and secured credit line

Xavier Warin, Stéphane Villeneuve, Erwan Pierre, 2014, Finance Stochastics.

Large scale distribution of stochastic control algorithms for gas storage valuation

Stéphane Vialle, Xavier Warin, Constantinos Makassikis, 2008, 2008 IEEE International Symposium on Parallel and Distributed Processing.

A Finite-Dimensional Approximation for Pricing Moving Average Options

Peter Tankov, Xavier Warin, Marie Bernhart, 2010, SIAM J. Financial Math..

Some machine learning schemes for high-dimensional nonlinear PDEs

Huyên Pham, Xavier Warin, Côme Huré, 2019, ArXiv.

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

Xavier Warin, X. Warin, 2013, J. Sci. Comput..

Machine Learning for Semi Linear PDEs

Xavier Warin, Joseph Mikael, Quentin Chan-Wai-Nam, 2018, Journal of Scientific Computing.

Rate of convergence for particle approximation of PDEs in Wasserstein space

Huyen Pham, Xavier Warin, Maximilien Germain, 2021, Journal of Applied Probability.

DeepSets and Their Derivative Networks for Solving Symmetric PDEs

Mathieu Lauriere, Huyen Pham, Xavier Warin, 2021, Journal of Scientific Computing.

Deep learning for discrete-time hedging in incomplete markets

Xavier Warin, Joseph Mikael, Simon Fecamp, 2021, The Journal of Computational Finance.

Reservoir optimization and Machine Learning methods

Xavier Warin, 2021 .

Neural networks-based algorithms for stochastic control and PDEs in finance

Huyen Pham, Xavier Warin, Maximilien Germain, 2021, 2101.08068.

A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection

Huyen Pham, Xavier Warin, Maximilien Germain, 2021 .

Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs

Huyên Pham, Xavier Warin, Maximilien Germain, 2020, SIAM J. Sci. Comput..

Incentives, lockdown, and testing: from Thucydides's analysis to the COVID-19 pandemic

Xavier Warin, Thibaut Mastrolia, Dylan Possamai, 2020 .

Numerical resolution of McKean-Vlasov FBSDEs using neural networks.

Xavier Warin, Joseph Mikael, Maximilien Germain, 2019 .

Deep learning for efficient frontier calculation in finance

Xavier Warin, 2021 .

Deep backward schemes for high-dimensional nonlinear PDEs

Huyên Pham, Xavier Warin, Côme Huré, 2019 .

Variance Optimal Hedging with Application to Electricity Markets

Xavier Warin, X. Warin, 2017, Journal of Computational Finance.

A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs

Nizar Touzi, Xavier Warin, Arash Fahim, 2009, 0905.1863.

Adaptive sparse grids for time dependent Hamilton-Jacobi-Bellman equations in stochastic control

Xavier Warin, X. Warin, 2014, 1408.4267.

Swing Options Valuation: a BSDE with Constrained Jumps Approach

Huyên Pham, Peter Tankov, Xavier Warin, 2011 .

Monte Carlo for high-dimensional degenerated Semi Linear and Full Non Linear PDEs

Xavier Warin, X. Warin, 2018, 1805.05078.

Branching diffusion representation of semilinear PDEs and Monte Carlo approximation

Nadia Oudjane, Xiaolu Tan, Nizar Touzi, 2016, Annales de l'Institut Henri Poincaré, Probabilités et Statistiques.

Computing expectations for general SDE with pure Monte Carlo methods

Nadia Oudjane, Xavier Warin, N. Oudjane, 2016 .

Unbiased Monte Carlo estimate of stochastic differential equations expectations

Nadia Oudjane, Xavier Warin, N. Oudjane, 2016, 1601.03139.

Numerical approximation of general Lipschitz BSDEs with branching processes

Bruno Bouchard, Xiaolu Tan, Xavier Warin, 2019, ESAIM: Proceedings and Surveys.