Xavier Warin
Xavier Warin
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A regression-based Monte Carlo method to solve backward stochastic differential equations
E Gobet, JP Lemor, X Warin
The Annals of Applied Probability 15 (3), 2172-2202, 2005
Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
JP Lemor, E Gobet, X Warin
Bernoulli 12 (5), 889-916, 2006
A probabilistic numerical method for fully nonlinear parabolic PDEs
A Fahim, N Touzi, X Warin
The Annals of Applied Probability 21 (4), 1322-1364, 2011
Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
B Bouchard, X Warin
Numerical methods in finance, 215-255, 2012
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
P Henry-Labordere, N Oudjane, X Tan, N Touzi, X Warin
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 55 (1 …, 2019
Some machine learning schemes for high-dimensional nonlinear PDEs
C Huré, H Pham, X Warin
arXiv preprint arXiv:1902.01599, 2019
Machine learning for semi linear PDEs
Q Chan-Wai-Nam, J Mikael, X Warin
Journal of Scientific Computing 79 (3), 1667-1712, 2019
Valuation of power plants by utility indifference and numerical computation
A Porchet, N Touzi, X Warin
Mathematical Methods of Operations Research 70 (1), 47-75, 2009
Numerical approximation of BSDEs using local polynomial drivers and branching processes
B Bouchard, X Tan, X Warin, Y Zou
Monte Carlo Methods and Applications 23 (4), 241-263, 2017
Gas storage hedging
X Warin
Numerical methods in finance, 421-445, 2012
Neural networks-based backward scheme for fully nonlinear PDEs
H Pham, X Warin, M Germain
arXiv preprint arXiv:1908.00412, 2019
Valuation of a power plant under production constraints and market incompleteness
A Porchet, N Touzi, X Warin
Mathematical Methods of Operations research 70 (1), 47-75, 2009
STochastic OPTimization library in C++
H Gevret, N Langrené, J Lelong, R Lobato, T Ouillon, X Warin, ...
EDF Lab, 2018
Fast and stable multivariate kernel density estimation by fast sum updating
N Langrené, X Warin
Journal of Computational and Graphical Statistics 28 (3), 596-608, 2019
Swing options valuation: A bsde with constrained jumps approach
M Bernhart, H Pham, P Tankov, X Warin
Numerical methods in finance, 379-400, 2012
Some non-monotone schemes for time dependent Hamilton–Jacobi–Bellman equations in stochastic control
X Warin
Journal of Scientific Computing 66 (3), 1122-1147, 2016
Variations on branching methods for non linear PDEs
X Warin
arXiv preprint arXiv:1701.07660, 2017
Monte carlo for high-dimensional degenerated semi linear and full non linear pdes
X Warin
arXiv preprint arXiv:1805.05078, 2018
A finite-dimensional approximation for pricing moving average options
M Bernhart, P Tankov, X Warin
SIAM Journal on Financial Mathematics 2 (1), 989-1013, 2011
Nesting Monte Carlo for high-dimensional non-linear PDEs
X Warin
Monte Carlo Methods and Applications 24 (4), 225-247, 2018
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