Edit Profile (opens in new tab) Warin, Xavier Co-Author Distance Author ID: warin.xavier Published as: Warin, Xavier; Warin, X. Videos: carmin.tv Documents Indexed: 42 Publications since 2005, including 7 Additional arXiv Preprints Co-Authors: 39 Co-Authors with 33 Joint Publications 493 Co-Co-Authors all top 5 Co-Authors 9 single-authored 6 Germain, Maximilien 6 Pham, Huyên 3 Bouchard, Bruno 3 Gobet, Emmanuel 3 Langrené, Nicolas 3 Tan, Xiaolu 3 Tankov, Peter 3 Touzi, Nizar 3 Villeneuve, Stéphane 2 Alasseur, Clemence 2 Bernhart, Marie 2 Bokanowski, Olivier 2 Lemor, Jean-Philippe 2 Mikael, Joseph 2 Oudjane, Nadia 2 Pierre, Erwan 1 Aziza, Sahar Ben 1 Balata, Alessandro 1 Bensaid, Zakaria 1 Chan-Wai-Nam, Quentin 1 Doumbia, Mahamadou 1 Dumitrescu, Roxana 1 Fahim, Arash 1 Gruet, Pierre 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 EURO Journal on Computational Optimization 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 all top 5 Fields 24 Numerical analysis (65-XX) 19 Probability theory and stochastic processes (60-XX) 14 Calculus of variations and optimal control; optimization (49-XX) 14 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 11 Partial differential equations (35-XX) 8 Computer science (68-XX) 6 Systems theory; control (93-XX) 4 Operations research, mathematical programming (90-XX) 3 Statistics (62-XX) 1 Special functions (33-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications 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 cited Publications top 5 cited Publications 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 all top 5 Cited in 29 Fields 283 Probability theory and stochastic processes (60-XX) 263 Numerical analysis (65-XX) 169 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 105 Systems theory; control (93-XX) 103 Partial differential equations (35-XX) 78 Computer science (68-XX) 74 Calculus of variations and optimal control; optimization (49-XX) 34 Statistics (62-XX) 25 Operations research, mathematical programming (90-XX) 11 Fluid mechanics (76-XX) 10 Ordinary differential equations (34-XX) 8 Biology and other natural sciences (92-XX) 6 Statistical mechanics, structure of matter (82-XX) 5 Approximations and expansions (41-XX) 3 Integral equations (45-XX) 3 Operator theory (47-XX) 3 Geophysics (86-XX) 2 Combinatorics (05-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Special functions (33-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Functional analysis (46-XX) 1 Difference and functional equations (39-XX) 1 Differential geometry (53-XX) 1 Mechanics of deformable solids (74-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Quantum theory (81-XX) 1 Information and communication theory, circuits (94-XX) 1 Mathematics education (97-XX) Citations by Year