Concepedia

Xavier Warin

XW

27

Publications

1.5K

Citations

16

H-Index

2005

Active since

Affiliations

Électricité de France (France)(Current)

Université Paris Dauphine-PSL

Université Paris Cité

Laboratoire de Probabilités, Statistique et Modélisation

Laboratoire de Probabilités et Modèles Aléatoires

Xavier Warin is an author at Électricité de France (France) specializing in engineering, numerical analysis, and stochastic calculus.

Top concepts

EngineeringNumerical AnalysisStochastic CalculusBusinessApproximation TheoryAsset PricingStochastic Differential EquationsData ScienceDeep LearningOption Pricing

Publications per year

2005–2023

26

Publications

27

A regression-based Monte Carlo method to solve backward stochastic differential equations

Emmanuel Gobet, Jean-Philippe Lemor, Xavier Warin · The Annals of Applied Probability · 2005 · 413 citations · Full text

Numerical Analysis, Numerical Resolution, Engineering +18

Deep backward schemes for high-dimensional nonlinear PDEs

Côme Huré, Huyên Pham, Xavier Warin · Mathematics of Computation · 2019 · 200 citations

A probabilistic numerical method for fully nonlinear parabolic PDEs

Arash Fahim, Nizar Touzi, Xavier Warin · The Annals of Applied Probability · 2011 · 173 citations · Full text

Numerical Analysis, Engineering, Stochastic Analysis +18

Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations

Jean-Philippe Lemor, Emmanuel Gobet, Xavier Warin · Bernoulli · 2006 · 169 citations · Full text

Numerical Analysis, Numerical Resolution, Engineering +17

Deep backward schemes for high-dimensional nonlinear PDEs

Côme Huré, Huyên Pham, Xavier Warin · arXiv (Cornell University) · 2019 · 54 citations · Full text

Rows per page

1–5 of 27