Xavier Warin
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2010 – today
- 2019
- [j8]Quentin Chan-Wai-Nam, Joseph Mikael, Xavier Warin
:
Machine Learning for Semi Linear PDEs. J. Sci. Comput. 79(3): 1667-1712 (2019) - [i3]Côme Huré, Huyên Pham, Xavier Warin:
Some machine learning schemes for high-dimensional nonlinear PDEs. CoRR abs/1902.01599 (2019) - [i2]Huyên Pham, Xavier Warin:
Neural networks-based backward scheme for fully nonlinear PDEs. CoRR abs/1908.00412 (2019) - 2018
- [j7]Xavier Warin:
Nesting Monte Carlo for high-dimensional non-linear PDEs. Monte Carlo Meth. and Appl. 24(4): 225 (2018) - [i1]Quentin Chan-Wai-Nam, Joseph Mikael, Xavier Warin:
Machine Learning for semi linear PDEs. CoRR abs/1809.07609 (2018) - 2017
- [j6]Bruno Bouchard, Xiaolu Tan, Xavier Warin, Yiyi Zou:
Numerical approximation of BSDEs using local polynomial drivers and branching processes. Monte Carlo Meth. and Appl. 23(4): 241-263 (2017) - [j5]Erwan Pierre, Stéphane Villeneuve, Xavier Warin:
Numerical Approximation of a Cash-Constrained Firm Value with Investment Opportunities. SIAM J. Financial Math. 8(1): 54-81 (2017) - 2016
- [j4]Erwan Pierre, Stéphane Villeneuve, Xavier Warin:
Liquidity management with decreasing returns to scale and secured credit line. Finance and Stochastics 20(4): 809-854 (2016) - [j3]Xavier Warin:
Some Non-monotone Schemes for Time Dependent Hamilton-Jacobi-Bellman Equations in Stochastic Control. J. Sci. Comput. 66(3): 1122-1147 (2016) - 2012
- [c3]Constantinos Makassikis, Stéphane Vialle, Xavier Warin:
FT-GReLoSSS: A Skeletal-Based Approach towards Application Parallelization and Low-Overhead Fault Tolerance. PDP 2012: 237-244 - 2011
- [j2]Marie Bernhart, Peter Tankov, Xavier Warin:
A Finite-Dimensional Approximation for Pricing Moving Average Options. SIAM J. Financial Math. 2(1): 989-1013 (2011)
2000 – 2009
- 2009
- [j1]Arnaud Porchet, Nizar Touzi, Xavier Warin:
Valuation of power plants by utility indifference and numerical computation. Math. Meth. of OR 70(1): 47-75 (2009) - [c2]Pascal Vezolle, Stéphane Vialle, Xavier Warin:
Large scale experiment and optimization of a distributed stochastic control algorithm. Application to energy management problems. IPDPS 2009: 1-8 - 2008
- [c1]Constantinos Makassikis, Stéphane Vialle, Xavier Warin:
Large scale distribution of stochastic control algorithms for gas storage valuation. IPDPS 2008: 1-8
Coauthor Index

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