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Xavier Warin · Study
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Author
Xavier Warin
9 works
· latest 2022
· 2 institutions
cluster: provisional
ORCID 0000-0002-1784-2875
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Citations
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Most cited in this library
A regression-based Monte Carlo method to solve backward stochastic differential equations
2005 · 412 citations
Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
2006 · 171 citations
A probabilistic numerical method for fully nonlinear parabolic PDEs
2011 · 167 citations
Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
2012 · 101 citations
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
2019 · 82 citations
Works
9 shown
Numerical Resolution of McKean-Vlasov FBSDEs Using Neural Networks
Methodology And Computing In Applied Probability
·
2022
·
3 authors
·
Open access
37
citations
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
Annales de l Institut Henri Poincaré Probabilités et Statistiques
·
2019
·
5 authors
·
Open access
82
citations
Numerical approximation of BSDEs using local polynomial drivers and branching processes
Monte Carlo Methods and Applications
·
2017
·
4 authors
·
Open access
30
citations
Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
Springer proceedings in mathematics
·
2012
·
2 authors
·
chapter
·
Open access
101
citations
Gas Storage Hedging
Springer proceedings in mathematics
·
2012
·
1 author
·
chapter
24
citations
A probabilistic numerical method for fully nonlinear parabolic PDEs
The Annals of Applied Probability
·
2011
·
3 authors
167
citations
Valuation of power plants by utility indifference and numerical computation
Mathematical Methods of Operations Research
·
2008
·
3 authors
41
citations
Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
Bernoulli
·
2006
·
3 authors
·
Open access
171
citations
A regression-based Monte Carlo method to solve backward stochastic differential equations
The Annals of Applied Probability
·
2005
·
3 authors
·
Open access
412
citations