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Neural networks-based algorithms for stochastic control and PDEs in finance *

 Maximilien Germain , Huyên Pham , Xavier Warin
A. Capponi. and C.A. Lehalle. Machine Learning And Data Sciences For Financial Markets: A Guide To Contemporary Practices, Cambridge University Press, In press
Chapitre d'ouvrage hal-03115503v2
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Approximation error analysis of some deep backward schemes for nonlinear PDEs

 Maximilien Germain , Huyen Pham , Xavier Warin
SIAM Journal on Scientific Computing, In press, 44 (1), pp.A28-A56. ⟨10.1137/20M1355355⟩
Article dans une revue hal-02696205v3
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Rate of convergence for particle approximation of PDEs in Wasserstein space *

 Maximilien Germain , Huyên Pham , Xavier Warin
Journal of Applied Probability, In press, 59 (4)
Article dans une revue hal-03154021v3
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DeepSets and their derivative networks for solving symmetric PDEs *

 Maximilien Germain , Mathieu Laurière , Huyên Pham , Xavier Warin
Journal of Scientific Computing, 2022, ⟨10.1007/s10915-022-01796-w⟩
Article dans une revue hal-03154116v2
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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
Numerical Algebra, Control and Optimization, In press
Article dans une revue hal-03498263v2
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Actor-Critic learning for mean-field control in continuous time

 Noufel Frikha , Maximilien Germain , Mathieu Laurière , Huyên Pham , Xuanye Song
2023
Pré-publication, Document de travail hal-04025524v1
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Neural networks-based backward scheme for fully nonlinear PDEs

 Huyen Pham , Xavier Warin , Maximilien Germain
SN Partial Differential Equations and Applications, 2021, 2, ⟨10.1007/s42985-020-00062-8⟩
Article dans une revue hal-02196165v3
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Numerical resolution of McKean-Vlasov FBSDEs using neural networks *

 Maximilien Germain , Joseph Mikael , Xavier Warin
Methodology and Computing in Applied Probability, In press
Article dans une revue hal-03326051v2
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