90 citations · 165 across the 16 of their papers we have counts for
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Integral operator Riccati equations arising in stochastic Volterra control problems
Eduardo Abi Jaber, Enzo Miller, Huyen Pham
We establish existence and uniqueness for infinite dimensional Riccati equations taking values in the Banach space L 1 ( ) for certain signed matrix measures wh…
Linear--Quadratic control for a class of stochastic Volterra equations: solvability and approximation
Eduardo Abi Jaber, Enzo Miller, Huyên Pham
We provide an exhaustive treatment of Linear-Quadratic control problems for a class of stochastic Volterra equations of convolution type, whose kernels are Laplace transforms of ce…
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…
Deep backward schemes for high-dimensional nonlinear PDEs
Côme Huré, Huyên Pham, Xavier Warin
We propose new machine learning schemes for solving high dimensional nonlinear partial differential equations (PDEs). Relying on the classical backward stochastic differential equa…