18 citations · 37 across the 6 of their papers we have counts for
3 papers · 1 filter
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…
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…
A numerical scheme for stochastic differential equations with distributional drift
Tiziano De Angelis, Maximilien Germain, Elena Issoglio
In this paper we present a scheme for the numerical solution of one-dimensional stochastic differential equations (SDEs) whose drift belongs to a fractional Sobolev space of negati…