output
20092022
most citedFast and stable multivariate kernel density estimation by fast sum updating

52 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions

16 papers

math.OC2022

Mean-field neural networks-based algorithms for McKean-Vlasov control problems *

Huyên Pham, Xavier Warin

This paper is devoted to the numerical resolution of McKean-Vlasov control problems via the class of mean-field neural networks introduced in our companion paper [25] in order to l…

math.OC2021

A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection

Maximilien Germain, Huyên Pham, Xavier Warin

We consider the control of McKean-Vlasov dynamics (or mean-field control) with probabilistic state constraints. We rely on a level-set approach which provides a representation of t…

math.OC2021

DeepSets and their derivative networks for solving symmetric PDEs

Maximilien Germain, Mathieu Laurière, Huyên Pham +1

Machine learning methods for solving nonlinear partial differential equations (PDEs) are hot topical issues, and different algorithms proposed in the literature show efficient nume…

q-bio.PE2020★ 22 cited

Incentives, lockdown, and testing: from Thucydides's analysis to the COVID-19 pandemic

Emma Hubert, Thibaut Mastrolia, Dylan Possamaï +1

In this work, we provide a general mathematical formalism to study the optimal control of an epidemic, such as the COVID-19 pandemic, via incentives to lockdown and testing. In par…

math.OC2020★ 2 cited

Decomposition of convex high dimensional aggregative stochasticcontrol problems

Adrien Séguret, Clémence Alasseur, J. Frédéric Bonnans +3

We consider the framework of convex high dimensional stochastic control problems, in which the controls are aggregated in the cost function. As first contribution, we introduce a m…

math.AP2020★ 1 cited

Approximation error analysis of some deep backward schemes for nonlinear PDEs

Maximilien Germain, Huyen Pham, Xavier Warin

Recently proposed numerical algorithms for solving high-dimensional nonlinear partial differential equations (PDEs) based on neural networks have shown their remarkable performance…

math.PR2018★ 1 cited

On the well-posedness of a class of McKean Feynman-Kac equations

Jonas Lieber, Nadia Oudjane, Francesco Russo

We analyze the well-posedness of a so called McKean Feynman-Kac Equation (MFKE), which is a McKean type equation with a Feynman-Kac perturbation. We provide in particular weak and…

stat.CO2017★ 52 cited

Fast and stable multivariate kernel density estimation by fast sum updating

Nicolas Langrené, Xavier Warin

Kernel density estimation and kernel regression are powerful but computationally expensive techniques: a direct evaluation of kernel density estimates at evaluation points give…

q-fin.PM2014

Liquidity Management with Decreasing-returns-to-scale and Secured Credit Line

Erwan Pierre, Stéphane Villeneuve, Xavier Warin

This paper examines the dividend and investment policies of a cash constrained firm that has access to costly external funding. We depart from the literature by allowing the firm t…

q-fin.PR2014

Hedging Expected Losses on Derivatives in Electricity Futures Markets

Adrien Nguyen Huu, Nadia Oudjane

We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy…

math.OC2013

Some non monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control

Xavier Warin

We introduce some approximation schemes for linear and fully non-linear diffusion equations of Bellman-Isaacs type. Although they are not monotone one can prove their convergence t…

q-fin.PM2013

Investment under uncertainty, competition and regulation

Adrien Nguyen Huu

We investigate a randomization procedure undertaken in real option games which can serve as a basic model of regulation in a duopoly model of preemptive investment. We recall the r…

math.DS2013★ 1 cited

Orbits in a stochastic Goodwin-Lotka-Volterra model

Bernardo Costa-Lima, Adrien Nguyen Huu

This paper examines the cycling behavior of a deterministic and a stochastic version of the economic interpretation of the Lotka-Volterra model, the Goodwin model. We provide a cha…

math.NA2012★ 39 cited

A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation

René Aïd, Luciano Campi, Nicolas Langrené +1

In this paper, we present a probabilistic numerical algorithm combining dynamic programming, Monte Carlo simulations and local basis regressions to solve non-stationary optimal mul…

q-fin.ST2010★ 14 cited

Statistical properties of derivatives: a journey in term structures

Delphine Lautier, Franck Raynaud

This article presents an empirical study of thirteen derivative markets for commodity and financial assets. It compares the statistical properties of futures contracts's daily retu…

math.PR2009

A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs

Arash Fahim, Nizar Touzi, Xavier Warin

We consider the probabilistic numerical scheme for fully nonlinear PDEs suggested in \cite{cstv}, and show that it can be introduced naturally as a combination of Monte Carlo and f…