425 citations · 594 across the 33 of their papers we have counts for
5 papers · 1 filter
Numerical approximation of BSDEs using local polynomial drivers and branching processes
Bruno Bouchard, Xiaolu Tan, Xavier Warin +1
We propose a new numerical scheme for Backward Stochastic Differential Equations based on branching processes. We approximate an arbitrary (Lipschitz) driver by local polynomials a…
The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach
Xavier Warin
We numerically study an Asset Liability Management problem linked to the decommissioning of French nuclear power plants. We link the risk aversion of practitioners to an optimizati…
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
Pierre Henry-Labordere, Nadia Oudjane, Xiaolu Tan +2
We provide a representation result of parabolic semi-linear PD-Es, with polynomial nonlinearity, by branching diffusion processes. We extend the classical representation for KPP eq…
Numerical approximation of a cash-constrained firm value with investment opportunities
Erwan Pierre, Stéphane Villeneuve, Xavier Warin
We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained firms. The value function is proved to be t…
Unbiased Monte Carlo estimate of stochastic differential equations expectations
Mahamadou Doumbia, Nadia Oudjane, Xavier Warin
We develop a pure Monte Carlo method to compute where is a bounded and Lipschitz function and an Ito process. This approach extends a previously proposed meth…