Edit Profile (opens in new tab) Warin, Xavier Co-Author Distance Author ID: warin.xavier Published as: Warin, Xavier; Warin, X. Documents Indexed: 34 Publications since 2005 Co-Authors: 35 Co-Authors with 30 Joint Publications 427 Co-Co-Authors all top 5 Co-Authors 4 single-authored 6 Germain, Maximilien 6 Pham, Huyên 3 Bouchard, Bruno 3 Gobet, Emmanuel 3 Tan, Xiaolu 3 Tankov, Peter 3 Touzi, Nizar 3 Villeneuve, Stéphane 2 Bernhart, Marie 2 Langrené, Nicolas 2 Lemor, Jean-Philippe 2 Mikael, Joseph 2 Oudjane, Nadia 2 Pierre, Erwan 1 Alasseur, Clemence 1 Aziza, Sahar Ben 1 Balata, Alessandro 1 Chan-Wai-Nam, Quentin 1 Doumbia, Mahamadou 1 Fahim, Arash 1 Henry-Labordère, Pierre 1 Hubert, Emma 1 Huré, Côme 1 Huyên Pham 1 Kharroubi, Idris 1 Laurière, Mathieu 1 Lim, Thomas 1 Maheshwari, Aditya 1 Mastrolia, Thibaut 1 Pimentel, Isaque 1 Porchet, Arnaud 1 Possamaï, Dylan 1 Prost, Averil 1 Van Ackooij, Wim 1 Zou, Yiyi all top 5 Serials 3 Journal of Scientific Computing 3 Monte Carlo Methods and Applications 3 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 2 The Annals of Applied Probability 2 Finance and Stochastics 2 SIAM Journal on Financial Mathematics 2 SN Partial Differential Equations and Applications 1 Journal of Mathematical Biology 1 Mathematics of Computation 1 Journal of Applied Probability 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Computational Statistics and Data Analysis 1 SIAM Journal on Scientific Computing 1 Bernoulli 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Mathematical Methods of Operations Research 1 Methodology and Computing in Applied Probability 1 Mathematics and Financial Economics 1 Journal of Computational and Graphical Statistics 1 Numerical Algebra, Control and Optimization 1 EURO Journal on Computational Optimization all top 5 Fields 20 Numerical analysis (65-XX) 17 Probability theory and stochastic processes (60-XX) 14 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 10 Calculus of variations and optimal control; optimization (49-XX) 9 Partial differential equations (35-XX) 6 Systems theory; control (93-XX) 5 Computer science (68-XX) 3 Operations research, mathematical programming (90-XX) 2 Statistics (62-XX) 1 Special functions (33-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 30 Publications have been cited 628 times in 373 Documents Cited by ▼ Year ▼ A regression-based Monte Carlo method to solve backward stochastic differential equations. Zbl 1083.60047Gobet, Emmanuel; Lemor, Jean-Philippe; Warin, Xavier 180 2005 Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations. Zbl 1136.60351Lemor, Jean-Philippe; Gobet, Emmanuel; Warin, Xavier 77 2006 A probabilistic numerical method for fully nonlinear parabolic PDEs. Zbl 1230.65009Fahim, Arash; Touzi, Nizar; Warin, Xavier 62 2011 Deep backward schemes for high-dimensional nonlinear PDEs. Zbl 1440.60063Huré, Côme; Pham, Huyên; Warin, Xavier 58 2020 Branching diffusion representation of semilinear PDEs and Monte Carlo approximation. Zbl 1467.60067Henry-Labordère, Pierre; Oudjane, Nadia; Tan, Xiaolu; Touzi, Nizar; Warin, Xavier 39 2019 Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods. Zbl 1247.91196Bouchard, Bruno; Warin, Xavier 37 2012 Machine learning for semi linear PDEs. Zbl 1433.68332Chan-Wai-Nam, Quentin; Mikael, Joseph; Warin, Xavier 33 2019 Neural networks-based backward scheme for fully nonlinear PDEs. Zbl 07341723Pham, Huyên; Warin, Xavier; Germain, Maximilien 28 2021 Nesting Monte Carlo for high-dimensional non-linear PDEs. Zbl 07008421Warin, Xavier 18 2018 Numerical approximation of BSDEs using local polynomial drivers and branching processes. Zbl 1386.65012Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier; Zou, Yiyi 17 2017 Valuation of power plants by utility indifference and numerical computation. Zbl 1180.91218Porchet, Arnaud; Touzi, Nizar; Warin, Xavier 14 2009 Gas storage hedging. Zbl 1247.91203Warin, Xavier 10 2012 Some non-monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control. Zbl 1372.49034Warin, Xavier 8 2016 Unbiased Monte Carlo estimate of stochastic differential equations expectations. Zbl 1372.65015Doumbia, Mahamadou; Oudjane, Nadia; Warin, Xavier 6 2017 Approximation error analysis of some deep backward schemes for nonlinear PDEs. Zbl 1490.65231Germain, Maximilien; Pham, Huyên; Warin, Xavier 6 2022 A finite-dimensional approximation for pricing moving average options. Zbl 1236.91129Bernhart, Marie; Tankov, Peter; Warin, Xavier 5 2011 Liquidity management with decreasing returns to scale and secured credit line. Zbl 1349.91304Pierre, Erwan; Villeneuve, Stéphane; Warin, Xavier 4 2016 Numerical approximation of general Lipschitz BSDEs with branching processes. Zbl 1416.60070Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier 4 2019 Swing options valuation: a BSDE with constrained jumps approach. Zbl 1247.91179Bernhart, Marie; Pham, Huyên; Tankov, Peter; Warin, Xavier 4 2012 Rate of convergence for particle approximation of PDEs in Wasserstein space. Zbl 1501.35449Germain, Maximilien; Pham, Huyên; Warin, Xavier 4 2022 Fast multivariate empirical cumulative distribution function with connection to kernel density estimation. Zbl 07422760Langrené, Nicolas; Warin, Xavier 2 2021 Numerical resolution of McKean-Vlasov FBSDEs using neural networks. Zbl 1505.65010Germain, Maximilien; Mikael, Joseph; Warin, Xavier 2 2022 Discretization and machine learning approximation of BSDEs with a constraint on the gains-process. Zbl 1469.65031Kharroubi, Idris; Lim, Thomas; Warin, Xavier 2 2021 On conditional cuts for stochastic dual dynamic programming. Zbl 1441.90111van Ackooij, W.; Warin, X. 2 2020 Regression Monte Carlo for microgrid management. Zbl 1416.93097Alasseur, Clemence; Balata, Alessandro; Aziza, Sahar Ben; Maheshwari, Aditya; Tankov, Peter; Warin, Xavier 1 2019 Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity. Zbl 1293.91187Villeneuve, Stéphane; Warin, Xavier 1 2014 Fast and stable multivariate kernel density estimation by fast sum updating. Zbl 07499079Langrené, Nicolas; Warin, Xavier 1 2019 DeepSets and their derivative networks for solving symmetric PDEs. Zbl 07545424Germain, Maximilien; Laurière, Mathieu; Huyên Pham; Warin, Xavier 1 2022 Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations. Zbl 1447.91173Gobet, Emmanuel; Pimentel, Isaque; Warin, Xavier 1 2020 Incentives, lockdown, and testing: from Thucydides’ analysis to the COVID-19 pandemic. Zbl 1487.92043Hubert, Emma; Mastrolia, Thibaut; Possamaï, Dylan; Warin, Xavier 1 2022 Approximation error analysis of some deep backward schemes for nonlinear PDEs. Zbl 1490.65231Germain, Maximilien; Pham, Huyên; Warin, Xavier 6 2022 Rate of convergence for particle approximation of PDEs in Wasserstein space. Zbl 1501.35449Germain, Maximilien; Pham, Huyên; Warin, Xavier 4 2022 Numerical resolution of McKean-Vlasov FBSDEs using neural networks. Zbl 1505.65010Germain, Maximilien; Mikael, Joseph; Warin, Xavier 2 2022 DeepSets and their derivative networks for solving symmetric PDEs. Zbl 07545424Germain, Maximilien; Laurière, Mathieu; Huyên Pham; Warin, Xavier 1 2022 Incentives, lockdown, and testing: from Thucydides’ analysis to the COVID-19 pandemic. Zbl 1487.92043Hubert, Emma; Mastrolia, Thibaut; Possamaï, Dylan; Warin, Xavier 1 2022 Neural networks-based backward scheme for fully nonlinear PDEs. Zbl 07341723Pham, Huyên; Warin, Xavier; Germain, Maximilien 28 2021 Fast multivariate empirical cumulative distribution function with connection to kernel density estimation. Zbl 07422760Langrené, Nicolas; Warin, Xavier 2 2021 Discretization and machine learning approximation of BSDEs with a constraint on the gains-process. Zbl 1469.65031Kharroubi, Idris; Lim, Thomas; Warin, Xavier 2 2021 Deep backward schemes for high-dimensional nonlinear PDEs. Zbl 1440.60063Huré, Côme; Pham, Huyên; Warin, Xavier 58 2020 On conditional cuts for stochastic dual dynamic programming. Zbl 1441.90111van Ackooij, W.; Warin, X. 2 2020 Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations. Zbl 1447.91173Gobet, Emmanuel; Pimentel, Isaque; Warin, Xavier 1 2020 Branching diffusion representation of semilinear PDEs and Monte Carlo approximation. Zbl 1467.60067Henry-Labordère, Pierre; Oudjane, Nadia; Tan, Xiaolu; Touzi, Nizar; Warin, Xavier 39 2019 Machine learning for semi linear PDEs. Zbl 1433.68332Chan-Wai-Nam, Quentin; Mikael, Joseph; Warin, Xavier 33 2019 Numerical approximation of general Lipschitz BSDEs with branching processes. Zbl 1416.60070Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier 4 2019 Regression Monte Carlo for microgrid management. Zbl 1416.93097Alasseur, Clemence; Balata, Alessandro; Aziza, Sahar Ben; Maheshwari, Aditya; Tankov, Peter; Warin, Xavier 1 2019 Fast and stable multivariate kernel density estimation by fast sum updating. Zbl 07499079Langrené, Nicolas; Warin, Xavier 1 2019 Nesting Monte Carlo for high-dimensional non-linear PDEs. Zbl 07008421Warin, Xavier 18 2018 Numerical approximation of BSDEs using local polynomial drivers and branching processes. Zbl 1386.65012Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier; Zou, Yiyi 17 2017 Unbiased Monte Carlo estimate of stochastic differential equations expectations. Zbl 1372.65015Doumbia, Mahamadou; Oudjane, Nadia; Warin, Xavier 6 2017 Some non-monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control. Zbl 1372.49034Warin, Xavier 8 2016 Liquidity management with decreasing returns to scale and secured credit line. Zbl 1349.91304Pierre, Erwan; Villeneuve, Stéphane; Warin, Xavier 4 2016 Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity. Zbl 1293.91187Villeneuve, Stéphane; Warin, Xavier 1 2014 Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods. Zbl 1247.91196Bouchard, Bruno; Warin, Xavier 37 2012 Gas storage hedging. Zbl 1247.91203Warin, Xavier 10 2012 Swing options valuation: a BSDE with constrained jumps approach. Zbl 1247.91179Bernhart, Marie; Pham, Huyên; Tankov, Peter; Warin, Xavier 4 2012 A probabilistic numerical method for fully nonlinear parabolic PDEs. Zbl 1230.65009Fahim, Arash; Touzi, Nizar; Warin, Xavier 62 2011 A finite-dimensional approximation for pricing moving average options. Zbl 1236.91129Bernhart, Marie; Tankov, Peter; Warin, Xavier 5 2011 Valuation of power plants by utility indifference and numerical computation. Zbl 1180.91218Porchet, Arnaud; Touzi, Nizar; Warin, Xavier 14 2009 Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations. Zbl 1136.60351Lemor, Jean-Philippe; Gobet, Emmanuel; Warin, Xavier 77 2006 A regression-based Monte Carlo method to solve backward stochastic differential equations. Zbl 1083.60047Gobet, Emmanuel; Lemor, Jean-Philippe; Warin, Xavier 180 2005 all cited Publications top 5 cited Publications all top 5 Cited by 519 Authors 27 Warin, Xavier 20 Zhao, Weidong 15 Gobet, Emmanuel 15 Jentzen, Arnulf 9 Bender, Christian 9 Chassagneux, Jean-François 9 Pham, Huyên 8 Bouchard, Bruno 8 Hutzenthaler, Martin 8 Sun, Yabing 8 Takahashi, Akihiko 8 Tan, Xiaolu 8 Zhou, Tao 7 Oudjane, Nadia 7 Privault, Nicolas 7 Russo, Francesco 6 Bayraktar, Erhan 6 Crisan, Dan O. 6 dos Reis, Gonçalo 6 Fujii, Masaaki 6 Kharroubi, Idris 6 Kruse, Thomas 6 Schweizer, Nikolaus 6 Touzi, Nizar 6 Yang, Jie 5 E, Weinan 5 Geiss, Christel 5 Germain, Maximilien 5 Han, Jiequn 5 Ji, Shaolin 5 Labart, Céline 5 Ludkovski, Michael 5 Matoussi, Anis 5 Oosterlee, Cornelis Willebrordus 5 Penent, Guillaume 5 Prohl, Andreas 5 Teng, Long 5 Yamada, Toshihiro 4 Bachouch, Achref 4 Elie, Romuald 4 Manolarakis, Konstantinos 4 Nakano, Yumiharu 4 Nguwi, Jiang Yu 4 Possamaï, Dylan 4 Reisinger, Christoph 3 Abbas-Turki, Lokman A. 3 Ankirchner, Stefan 3 Beck, Christian 3 Chau, Ki Wai 3 Cheridito, Patrick 3 Crepey, Stephane 3 Darbon, Jerome 3 Dunst, Thomas 3 El Otmani, Mohamed 3 Exarchos, Ioannis 3 Fahim, Arash 3 Grohs, Philipp 3 Hamadene, Saïd 3 Henry-Labordère, Pierre 3 Hornung, Fabian 3 Kapllani, Lorenc 3 Langrené, Nicolas 3 Le Cavil, Anthony 3 Liang, Gechun 3 Ly Vath, Vathana 3 Meng, Tingwei 3 Mikael, Joseph 3 Mnif, Mohamed 3 Pelsser, Antoon A. J. 3 Peng, Shige 3 Ren, Zhenjie 3 Richou, Adrien 3 Roch, Alexandre F. 3 Tang, Shanjian 3 Tankov, Peter 3 Theodorou, Evangelos A. 3 Turkedjiev, Plamen 3 von Wurstemberger, Philippe 3 Zanger, Daniel Z. 3 Zhang, Jianfeng 2 Aazizi, Soufiane 2 Akahori, Jirô 2 Alanko, Samu 2 Balata, Alessandro 2 Becker, Sebastian 2 Belomestny, Denis 2 Bernal, Francisco 2 Bouveret, Géraldine 2 Calabró, Francesco 2 Callegaro, Giorgia 2 Cardaliaguet, Pierre 2 Carmona, René A. 2 Castro, Javier Gutiérrez 2 Chevalier, Etienne 2 Deschatre, Thomas 2 Eyraud-Loisel, Anne 2 Fabiani, Gianluca 2 Federico, Salvatore 2 Fu, Yu 2 Gärtner, Christian ...and 419 more Authors all top 5 Cited in 123 Serials 21 The Annals of Applied Probability 21 Stochastic Processes and their Applications 13 Journal of Scientific Computing 12 SIAM Journal on Financial Mathematics 10 SIAM Journal on Scientific Computing 10 Monte Carlo Methods and Applications 10 Methodology and Computing in Applied Probability 10 Quantitative Finance 9 Stochastics 8 SIAM Journal on Control and Optimization 8 European Journal of Operational Research 8 SN Partial Differential Equations and Applications 7 Stochastic Analysis and Applications 7 Mathematical Finance 6 Bernoulli 5 Journal of Computational and Applied Mathematics 5 International Journal of Theoretical and Applied Finance 5 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 4 Advances in Applied Probability 4 Journal of Computational Physics 4 Mathematics of Computation 4 Applied Mathematics and Computation 4 Applied Mathematics and Optimization 4 Automatica 4 Mathematics of Operations Research 4 SIAM Journal on Numerical Analysis 4 Applied Numerical Mathematics 4 Applied Mathematical Finance 4 Finance and Stochastics 4 Mathematical Methods of Operations Research 4 Asia-Pacific Financial Markets 4 Stochastic and Partial Differential Equations. Analysis and Computations 3 Systems & Control Letters 3 Random Operators and Stochastic Equations 3 Electronic Journal of Probability 3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 3 Discrete and Continuous Dynamical Systems. Series B 3 Advances in Applied Mathematics and Mechanics 3 Science China. Mathematics 2 Computers & Mathematics with Applications 2 Computer Methods in Applied Mechanics and Engineering 2 International Journal of Control 2 Journal of Mathematical Analysis and Applications 2 The Annals of Probability 2 Journal of Optimization Theory and Applications 2 Memoirs of the American Mathematical Society 2 Numerische Mathematik 2 Insurance Mathematics & Economics 2 European Journal of Applied Mathematics 2 Japan Journal of Industrial and Applied Mathematics 2 Numerical Algorithms 2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 2 Communications in Nonlinear Science and Numerical Simulation 2 Decisions in Economics and Finance 2 Comptes Rendus. Mathématique. Académie des Sciences, Paris 2 Journal of Numerical Mathematics 2 Stochastics and Dynamics 2 Frontiers of Mathematics in China 2 Communications in Computational Physics 2 Discrete and Continuous Dynamical Systems. Series S 2 Journal of Mathematics in Industry 2 East Asian Journal on Applied Mathematics 2 SIAM/ASA Journal on Uncertainty Quantification 2 Probability, Uncertainty and Quantitative Risk 1 Archive for Rational Mechanics and Analysis 1 Communications on Pure and Applied Mathematics 1 Journal of Mathematical Biology 1 Nonlinearity 1 Acta Mathematica Vietnamica 1 BIT 1 Journal of Applied Probability 1 Journal of Econometrics 1 Mathematics and Computers in Simulation 1 Statistics & Probability Letters 1 Journal of Computational Mathematics 1 Probability Theory and Related Fields 1 Numerical Methods for Partial Differential Equations 1 Journal of Economic Dynamics & Control 1 Annals of Operations Research 1 Computational Statistics 1 Communications in Statistics. Theory and Methods 1 International Journal of Computer Mathematics 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Computational Statistics and Data Analysis 1 Journal of Nonlinear Science 1 Journal of Computer and Systems Sciences International 1 Annales Mathématiques Blaise Pascal 1 NoDEA. Nonlinear Differential Equations and Applications 1 Bulletin des Sciences Mathématiques 1 Advances in Computational Mathematics 1 Engineering Analysis with Boundary Elements 1 Chaos 1 Applied Stochastic Models in Business and Industry 1 Journal of Evolution Equations 1 Foundations of Computational Mathematics 1 Journal of Systems Science and Complexity 1 Communications on Pure and Applied Analysis 1 ASTIN Bulletin 1 Multiscale Modeling & Simulation 1 Review of Derivatives Research ...and 23 more Serials all top 5 Cited in 25 Fields 244 Probability theory and stochastic processes (60-XX) 214 Numerical analysis (65-XX) 141 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 87 Systems theory; control (93-XX) 77 Partial differential equations (35-XX) 57 Calculus of variations and optimal control; optimization (49-XX) 49 Computer science (68-XX) 27 Statistics (62-XX) 23 Operations research, mathematical programming (90-XX) 10 Ordinary differential equations (34-XX) 7 Fluid mechanics (76-XX) 5 Statistical mechanics, structure of matter (82-XX) 4 Approximations and expansions (41-XX) 3 Operator theory (47-XX) 3 Biology and other natural sciences (92-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Integral equations (45-XX) 2 Functional analysis (46-XX) 2 Quantum theory (81-XX) 1 Special functions (33-XX) 1 Difference and functional equations (39-XX) 1 Differential geometry (53-XX) 1 Mechanics of particles and systems (70-XX) 1 Geophysics (86-XX) Citations by Year