18 citations · 37 across the 6 of their papers we have counts for
4 papers · 2 filters
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…
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…
Rate of convergence for particle approximation of PDEs in Wasserstein space
Maximilien Germain, Huyên Pham, Xavier Warin
We prove a rate of convergence for the -particle approximation of a second-order partial differential equation in the space of probability measures, like the Master equation or…
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…