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Author ID: warin.xavier Recent zbMATH articles by "Warin, Xavier"
Published as: Warin, Xavier; Warin, X.
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Publications by Year

Citations contained in zbMATH Open

31 Publications have been cited 779 times in 462 Documents Cited by Year
A regression-based Monte Carlo method to solve backward stochastic differential equations. Zbl 1083.60047
Gobet, Emmanuel; Lemor, Jean-Philippe; Warin, Xavier
201
2005
Deep backward schemes for high-dimensional nonlinear PDEs. Zbl 1440.60063
Huré, Côme; Pham, Huyên; Warin, Xavier
87
2020
Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations. Zbl 1136.60351
Lemor, Jean-Philippe; Gobet, Emmanuel; Warin, Xavier
85
2006
A probabilistic numerical method for fully nonlinear parabolic PDEs. Zbl 1230.65009
Fahim, Arash; Touzi, Nizar; Warin, Xavier
72
2011
Machine learning for semi linear PDEs. Zbl 1433.68332
Chan-Wai-Nam, Quentin; Mikael, Joseph; Warin, Xavier
47
2019
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation. Zbl 1467.60067
Henry-Labordère, Pierre; Oudjane, Nadia; Tan, Xiaolu; Touzi, Nizar; Warin, Xavier
47
2019
Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods. Zbl 1247.91196
Bouchard, Bruno; Warin, Xavier
43
2012
Neural networks-based backward scheme for fully nonlinear PDEs. Zbl 1538.65259
Pham, Huyên; Warin, Xavier; Germain, Maximilien
36
2021
Nesting Monte Carlo for high-dimensional non-linear PDEs. Zbl 07008421
Warin, Xavier
20
2018
Numerical approximation of BSDEs using local polynomial drivers and branching processes. Zbl 1386.65012
Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier; Zou, Yiyi
18
2017
Valuation of power plants by utility indifference and numerical computation. Zbl 1180.91218
Porchet, Arnaud; Touzi, Nizar; Warin, Xavier
17
2009
Approximation error analysis of some deep backward schemes for nonlinear PDEs. Zbl 1490.65231
Germain, Maximilien; Pham, Huyên; Warin, Xavier
12
2022
Gas storage hedging. Zbl 1247.91203
Warin, Xavier
12
2012
Numerical resolution of McKean-Vlasov FBSDEs using neural networks. Zbl 1505.65010
Germain, Maximilien; Mikael, Joseph; Warin, Xavier
11
2022
Some non-monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control. Zbl 1372.49034
Warin, Xavier
9
2016
Rate of convergence for particle approximation of PDEs in Wasserstein space. Zbl 1501.35449
Germain, Maximilien; Pham, Huyên; Warin, Xavier
9
2022
Fast and stable multivariate kernel density estimation by fast sum updating. Zbl 07499079
Langrené, Nicolas; Warin, Xavier
6
2019
Incentives, lockdown, and testing: from Thucydides’ analysis to the COVID-19 pandemic. Zbl 1487.92043
Hubert, Emma; Mastrolia, Thibaut; Possamaï, Dylan; Warin, Xavier
6
2022
Unbiased Monte Carlo estimate of stochastic differential equations expectations. Zbl 1372.65015
Doumbia, Mahamadou; Oudjane, Nadia; Warin, Xavier
6
2017
A finite-dimensional approximation for pricing moving average options. Zbl 1236.91129
Bernhart, Marie; Tankov, Peter; Warin, Xavier
5
2011
Swing options valuation: a BSDE with constrained jumps approach. Zbl 1247.91179
Bernhart, Marie; Pham, Huyên; Tankov, Peter; Warin, Xavier
5
2012
DeepSets and their derivative networks for solving symmetric PDEs. Zbl 07545424
Germain, Maximilien; Laurière, Mathieu; Huyên Pham; Warin, Xavier
5
2022
Numerical approximation of general Lipschitz BSDEs with branching processes. Zbl 1416.60070
Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier
4
2019
Liquidity management with decreasing returns to scale and secured credit line. Zbl 1349.91304
Pierre, Erwan; Villeneuve, Stéphane; Warin, Xavier
4
2016
On conditional cuts for stochastic dual dynamic programming. Zbl 1441.90111
van Ackooij, W.; Warin, X.
3
2020
Discretization and machine learning approximation of BSDEs with a constraint on the gains-process. Zbl 1469.65031
Kharroubi, Idris; Lim, Thomas; Warin, Xavier
2
2021
Fast multivariate empirical cumulative distribution function with connection to kernel density estimation. Zbl 1543.62377
Langrené, Nicolas; Warin, Xavier
2
2021
Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations. Zbl 1447.91173
Gobet, Emmanuel; Pimentel, Isaque; Warin, Xavier
2
2020
Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity. Zbl 1293.91187
Villeneuve, Stéphane; Warin, Xavier
1
2014
Numerical approximation of a cash-constrained firm value with investment opportunities. Zbl 1355.91082
Pierre, Erwan; Villeneuve, Stéphane; Warin, Xavier
1
2017
Regression Monte Carlo for microgrid management. Zbl 1416.93097
Alasseur, Clemence; Balata, Alessandro; Aziza, Sahar Ben; Maheshwari, Aditya; Tankov, Peter; Warin, Xavier
1
2019
Approximation error analysis of some deep backward schemes for nonlinear PDEs. Zbl 1490.65231
Germain, Maximilien; Pham, Huyên; Warin, Xavier
12
2022
Numerical resolution of McKean-Vlasov FBSDEs using neural networks. Zbl 1505.65010
Germain, Maximilien; Mikael, Joseph; Warin, Xavier
11
2022
Rate of convergence for particle approximation of PDEs in Wasserstein space. Zbl 1501.35449
Germain, Maximilien; Pham, Huyên; Warin, Xavier
9
2022
Incentives, lockdown, and testing: from Thucydides’ analysis to the COVID-19 pandemic. Zbl 1487.92043
Hubert, Emma; Mastrolia, Thibaut; Possamaï, Dylan; Warin, Xavier
6
2022
DeepSets and their derivative networks for solving symmetric PDEs. Zbl 07545424
Germain, Maximilien; Laurière, Mathieu; Huyên Pham; Warin, Xavier
5
2022
Neural networks-based backward scheme for fully nonlinear PDEs. Zbl 1538.65259
Pham, Huyên; Warin, Xavier; Germain, Maximilien
36
2021
Discretization and machine learning approximation of BSDEs with a constraint on the gains-process. Zbl 1469.65031
Kharroubi, Idris; Lim, Thomas; Warin, Xavier
2
2021
Fast multivariate empirical cumulative distribution function with connection to kernel density estimation. Zbl 1543.62377
Langrené, Nicolas; Warin, Xavier
2
2021
Deep backward schemes for high-dimensional nonlinear PDEs. Zbl 1440.60063
Huré, Côme; Pham, Huyên; Warin, Xavier
87
2020
On conditional cuts for stochastic dual dynamic programming. Zbl 1441.90111
van Ackooij, W.; Warin, X.
3
2020
Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations. Zbl 1447.91173
Gobet, Emmanuel; Pimentel, Isaque; Warin, Xavier
2
2020
Machine learning for semi linear PDEs. Zbl 1433.68332
Chan-Wai-Nam, Quentin; Mikael, Joseph; Warin, Xavier
47
2019
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation. Zbl 1467.60067
Henry-Labordère, Pierre; Oudjane, Nadia; Tan, Xiaolu; Touzi, Nizar; Warin, Xavier
47
2019
Fast and stable multivariate kernel density estimation by fast sum updating. Zbl 07499079
Langrené, Nicolas; Warin, Xavier
6
2019
Numerical approximation of general Lipschitz BSDEs with branching processes. Zbl 1416.60070
Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier
4
2019
Regression Monte Carlo for microgrid management. Zbl 1416.93097
Alasseur, Clemence; Balata, Alessandro; Aziza, Sahar Ben; Maheshwari, Aditya; Tankov, Peter; Warin, Xavier
1
2019
Nesting Monte Carlo for high-dimensional non-linear PDEs. Zbl 07008421
Warin, Xavier
20
2018
Numerical approximation of BSDEs using local polynomial drivers and branching processes. Zbl 1386.65012
Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier; Zou, Yiyi
18
2017
Unbiased Monte Carlo estimate of stochastic differential equations expectations. Zbl 1372.65015
Doumbia, Mahamadou; Oudjane, Nadia; Warin, Xavier
6
2017
Numerical approximation of a cash-constrained firm value with investment opportunities. Zbl 1355.91082
Pierre, Erwan; Villeneuve, Stéphane; Warin, Xavier
1
2017
Some non-monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control. Zbl 1372.49034
Warin, Xavier
9
2016
Liquidity management with decreasing returns to scale and secured credit line. Zbl 1349.91304
Pierre, Erwan; Villeneuve, Stéphane; Warin, Xavier
4
2016
Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity. Zbl 1293.91187
Villeneuve, Stéphane; Warin, Xavier
1
2014
Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods. Zbl 1247.91196
Bouchard, Bruno; Warin, Xavier
43
2012
Gas storage hedging. Zbl 1247.91203
Warin, Xavier
12
2012
Swing options valuation: a BSDE with constrained jumps approach. Zbl 1247.91179
Bernhart, Marie; Pham, Huyên; Tankov, Peter; Warin, Xavier
5
2012
A probabilistic numerical method for fully nonlinear parabolic PDEs. Zbl 1230.65009
Fahim, Arash; Touzi, Nizar; Warin, Xavier
72
2011
A finite-dimensional approximation for pricing moving average options. Zbl 1236.91129
Bernhart, Marie; Tankov, Peter; Warin, Xavier
5
2011
Valuation of power plants by utility indifference and numerical computation. Zbl 1180.91218
Porchet, Arnaud; Touzi, Nizar; Warin, Xavier
17
2009
Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations. Zbl 1136.60351
Lemor, Jean-Philippe; Gobet, Emmanuel; Warin, Xavier
85
2006
A regression-based Monte Carlo method to solve backward stochastic differential equations. Zbl 1083.60047
Gobet, Emmanuel; Lemor, Jean-Philippe; Warin, Xavier
201
2005
all top 5

Cited by 666 Authors

28 Warin, Xavier
25 Zhao, Weidong
18 Jentzen, Arnulf
15 Gobet, Emmanuel
10 Chassagneux, Jean-François
9 Bender, Christian
9 Hutzenthaler, Martin
9 Pham, Huyên
9 Zhou, Tao
8 Bayraktar, Erhan
8 Bouchard, Bruno
8 Ji, Shaolin
8 Privault, Nicolas
8 Sun, Yabing
8 Takahashi, Akihiko
8 Tan, Xiaolu
7 Oudjane, Nadia
7 Reisinger, Christoph
7 Russo, Francesco
7 Touzi, Nizar
6 Crisan, Dan O.
6 Darbon, Jerome
6 dos Reis, Gonçalo
6 Fujii, Masaaki
6 Han, Jiequn
6 Kharroubi, Idris
6 Kruse, Thomas
6 Matoussi, Anis
6 Meng, Tingwei
6 Oosterlee, Cornelis Willebrordus
6 Penent, Guillaume
6 Schweizer, Nikolaus
6 Teng, Long
6 Yang, Jie
5 E, Weinan
5 Geiss, Christel
5 Germain, Maximilien
5 Labart, Céline
5 Ludkovski, Michael
5 Nguwi, Jiang Yu
5 Prohl, Andreas
5 Yamada, Toshihiro
4 Bachouch, Achref
4 Beck, Christian
4 Becker, Sebastian
4 Cheridito, Patrick
4 Elie, Romuald
4 Hamadene, Saïd
4 Han, Qiang
4 Hu, Ruimeng
4 Kapllani, Lorenc
4 Laurière, Mathieu
4 Liang, Gechun
4 Manolarakis, Konstantinos
4 Nakano, Yumiharu
4 Pelsser, Antoon A. J.
4 Possamaï, Dylan
4 Richou, Adrien
4 Tankov, Peter
4 von Wurstemberger, Philippe
4 Yoshioka, Hidekazu
4 Zhang, Jianfeng
3 Abbas-Turki, Lokman A.
3 Ankirchner, Stefan
3 Bernal, Francisco
3 Carmona, René A.
3 Castro, Javier Gutiérrez
3 Chau, Ki Wai
3 Crepey, Stephane
3 Dunst, Thomas
3 El Otmani, Mohamed
3 Exarchos, Ioannis
3 Grohs, Philipp
3 Henry-Labordère, Pierre
3 Hornung, Fabian
3 Hyndman, Cody Blaine
3 Jaimungal, Sebastian
3 Langrené, Nicolas
3 Le Cavil, Anthony
3 Long, Jihao
3 Ly Vath, Vathana
3 Mikael, Joseph
3 Mnif, Mohamed
3 Nguyen, Tuan-Anh
3 Peng, Shige
3 Picarelli, Athena
3 Ren, Zhenjie
3 Roch, Alexandre F.
3 Stadje, Mitja
3 Tang, Shanjian
3 Theodorou, Evangelos A.
3 Turkedjiev, Plamen
3 Yoshioka, Yumi
3 Zanger, Daniel Z.
3 Zhang, Yufei
2 Aazizi, Soufiane
2 Akahori, Jirô
2 Alanko, Samu
2 Balata, Alessandro
2 Belomestny, Denis
...and 566 more Authors
all top 5

Cited in 144 Serials

24 Stochastic Processes and their Applications
23 The Annals of Applied Probability
17 SIAM Journal on Financial Mathematics
15 Journal of Scientific Computing
15 SIAM Journal on Scientific Computing
13 Quantitative Finance
11 Monte Carlo Methods and Applications
11 Methodology and Computing in Applied Probability
10 SIAM Journal on Control and Optimization
9 Mathematical Finance
9 Stochastics
9 SN Partial Differential Equations and Applications
8 European Journal of Operational Research
7 Journal of Computational Physics
7 Stochastic Analysis and Applications
7 Bernoulli
6 SIAM Journal on Numerical Analysis
5 Computers & Mathematics with Applications
5 Applied Mathematics and Optimization
5 Journal of Computational and Applied Mathematics
5 Finance and Stochastics
5 International Journal of Theoretical and Applied Finance
5 Discrete and Continuous Dynamical Systems. Series B
5 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
4 Advances in Applied Probability
4 Computer Methods in Applied Mechanics and Engineering
4 Mathematics of Computation
4 Applied Mathematics and Computation
4 Automatica
4 Mathematics of Operations Research
4 Applied Numerical Mathematics
4 Applied Mathematical Finance
4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
4 Mathematical Methods of Operations Research
4 Asia-Pacific Financial Markets
4 Advances in Applied Mathematics and Mechanics
4 Stochastic and Partial Differential Equations. Analysis and Computations
3 Journal of Mathematical Analysis and Applications
3 Mathematics and Computers in Simulation
3 Systems & Control Letters
3 Annals of Operations Research
3 Japan Journal of Industrial and Applied Mathematics
3 Random Operators and Stochastic Equations
3 Electronic Journal of Probability
3 Communications in Nonlinear Science and Numerical Simulation
3 Science China. Mathematics
3 Journal of Mathematics in Industry
3 Probability, Uncertainty and Quantitative Risk
2 International Journal of Control
2 The Annals of Probability
2 Journal of Optimization Theory and Applications
2 Memoirs of the American Mathematical Society
2 Numerische Mathematik
2 Optimal Control Applications & Methods
2 Insurance Mathematics & Economics
2 Statistics & Probability Letters
2 Journal of Computational Mathematics
2 Journal of Economic Dynamics & Control
2 European Journal of Applied Mathematics
2 Numerical Algorithms
2 Communications in Statistics. Theory and Methods
2 Bulletin des Sciences Mathématiques
2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
2 Decisions in Economics and Finance
2 Comptes Rendus. Mathématique. Académie des Sciences, Paris
2 Journal of Numerical Mathematics
2 Stochastics and Dynamics
2 Journal of Industrial and Management Optimization
2 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
2 Frontiers of Mathematics in China
2 Communications in Computational Physics
2 Discrete and Continuous Dynamical Systems. Series S
2 Dynamic Games and Applications
2 Numerical Algebra, Control and Optimization
2 Communications in Mathematics and Statistics
2 EURO Journal on Computational Optimization
2 East Asian Journal on Applied Mathematics
2 SIAM/ASA Journal on Uncertainty Quantification
2 Frontiers of Mathematical Finance
2 Graduate Journal of Mathematics
1 Archive for Rational Mechanics and Analysis
1 The Canadian Journal of Statistics
1 Communications on Pure and Applied Mathematics
1 International Journal for Numerical Methods in Fluids
1 Inverse Problems
1 Journal of Fluid Mechanics
1 Journal of Mathematical Biology
1 Mathematical Methods in the Applied Sciences
1 Nonlinearity
1 Scandinavian Journal of Statistics
1 Acta Mathematica Vietnamica
1 BIT
1 Journal of Applied Probability
1 Journal of Differential Equations
1 Journal of Econometrics
1 Journal of Functional Analysis
1 Chinese Annals of Mathematics. Series B
1 Physica D
1 Probability Theory and Related Fields
1 Numerical Methods for Partial Differential Equations
...and 44 more Serials

Citations by Year