16 citations · 16 across the 1 of their papers we have counts for
2 papers
math.OC2021★ 16 cited
Neural networks-based algorithms for stochastic control and PDEs in finance
Maximilien Germain, Huyên Pham, Xavier Warin
This paper presents machine learning techniques and deep reinforcement learningbased algorithms for the efficient resolution of nonlinear partial differential equations and dynamic…
math.OC2019
Neural networks-based backward scheme for fully nonlinear PDEs
Huyen Pham, Xavier Warin, Maximilien Germain
We propose a numerical method for solving high dimensional fully nonlinear partial differential equations (PDEs). Our algorithm estimates simultaneously by backward time induction…