activity
20182022
most citedRisk management with machine-learning-based algorithms

9 citations · 10 across the 6 of their papers we have counts for

collaborators
Showing math.OCShow all

1 paper · 1 filter

math.OC2019

Numerical resolution of McKean-Vlasov FBSDEs using neural networks

Maximilien Germain, Joseph Mikael, Xavier Warin

We propose several algorithms to solve McKean-Vlasov Forward Backward Stochastic Differential Equations. Our schemes rely on the approximating power of neural networks to estimate…