Xavier Warin

Publication Activity (10 Years)

Years Active: 2008-2024
Publications (10 Years): 24

Top Topics

Top Venues

Monte Carlo Methods Appl.

J. Sci. Comput.

EURO J. Comput. Optim.

Publications

Clémence Alasseur, Zakaria Bensaid, Roxana Dumitrescu, Xavier Warin
Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids. CoRR (2024)
Xavier Warin
The GroupMax Neural Network Approximation of Convex Functions. IEEE Trans. Neural Networks Learn. Syst. 35 (8) (2024)
Huyên Pham, Xavier Warin
Mean-field neural networks: Learning mappings on Wasserstein space. Neural Networks 168 (2023)
Xavier Warin
Quantile and moment neural networks for learning functionals of distributions. CoRR (2023)
Huyên Pham, Xavier Warin
Actor critic learning algorithms for mean-field control with moment neural networks. CoRR (2023)
Xavier Warin
Reservoir optimization and machine learning methods. EURO J. Comput. Optim. 11 (2023)
Maximilien Germain, Mathieu Laurière, Huyên Pham, Xavier Warin
DeepSets and Their Derivative Networks for Solving Symmetric PDEs. J. Sci. Comput. 91 (2) (2022)
Maximilien Germain, Huyên Pham, Xavier Warin
Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs. SIAM J. Sci. Comput. 44 (1) (2022)
Maximilien Germain, Huyên Pham, Xavier Warin
Rate of convergence for particle approximation of PDEs in Wasserstein space. J. Appl. Probab. 59 (4) (2022)
Idris Kharroubi, Thomas Lim, Xavier Warin
Discretization and machine learning approximation of BSDEs with a constraint on the Gains-process. Monte Carlo Methods Appl. 27 (1) (2021)
Nicolas Langrené, Xavier Warin
Fast multivariate empirical cumulative distribution function with connection to kernel density estimation. Comput. Stat. Data Anal. 162 (2021)
Nicolas Langrené, Xavier Warin
Fast multivariate empirical cumulative distribution function with connection to kernel density estimation. CoRR (2020)
Côme Huré, Huyên Pham, Xavier Warin
Deep backward schemes for high-dimensional nonlinear PDEs. Math. Comput. 89 (324) (2020)
Wim van Ackooij, Xavier Warin
On conditional cuts for stochastic dual dynamic programming. EURO J. Comput. Optim. 8 (2) (2020)
Idris Kharroubi, Thomas Lim, Xavier Warin
Discretization and Machine Learning Approximation of BSDEs with a Constraint on the Gains-Process. CoRR (2020)
Quentin Chan-Wai-Nam, Joseph Mikael, Xavier Warin
Machine Learning for Semi Linear PDEs. J. Sci. Comput. 79 (3) (2019)
Côme Huré, Huyên Pham, Xavier Warin
Some machine learning schemes for high-dimensional nonlinear PDEs. CoRR (2019)
Huyên Pham, Xavier Warin
Neural networks-based backward scheme for fully nonlinear PDEs. CoRR (2019)
Quentin Chan-Wai-Nam, Joseph Mikael, Xavier Warin
Machine Learning for semi linear PDEs. CoRR (2018)
Xavier Warin
Nesting Monte Carlo for high-dimensional non-linear PDEs. Monte Carlo Methods Appl. 24 (4) (2018)
Bruno Bouchard, Xiaolu Tan, Xavier Warin, Yiyi Zou
Numerical approximation of BSDEs using local polynomial drivers and branching processes. Monte Carlo Methods Appl. 23 (4) (2017)
Erwan Pierre, Stéphane Villeneuve, Xavier Warin
Numerical Approximation of a Cash-Constrained Firm Value with Investment Opportunities. SIAM J. Financial Math. 8 (1) (2017)
Erwan Pierre, Stéphane Villeneuve, Xavier Warin
Liquidity management with decreasing returns to scale and secured credit line. Finance Stochastics 20 (4) (2016)
Xavier Warin
Some Non-monotone Schemes for Time Dependent Hamilton-Jacobi-Bellman Equations in Stochastic Control. J. Sci. Comput. 66 (3) (2016)
Constantinos Makassikis, Stéphane Vialle, Xavier Warin
FT-GReLoSSS: A Skeletal-Based Approach towards Application Parallelization and Low-Overhead Fault Tolerance. PDP (2012)
Marie Bernhart, Peter Tankov, Xavier Warin
A Finite-Dimensional Approximation for Pricing Moving Average Options. SIAM J. Financial Math. 2 (1) (2011)
Arnaud Porchet, Nizar Touzi, Xavier Warin
Valuation of power plants by utility indifference and numerical computation. Math. Methods Oper. Res. 70 (1) (2009)
Pascal Vezolle, Stéphane Vialle, Xavier Warin
Large scale experiment and optimization of a distributed stochastic control algorithm. Application to energy management problems. IPDPS (2009)
Constantinos Makassikis, Stéphane Vialle, Xavier Warin
Large scale distribution of stochastic control algorithms for gas storage valuation. IPDPS (2008)