Concepedia
Statistics
Publications
14
Citations
617
H-Index
13
Active since
2010
Affiliations
Data61(Current)
Commonwealth Scientific and Industrial Research Organisation
Université Paris Cité
Délégation Paris 7
Laboratoire de Probabilités et Modèles Aléatoires
Nicolas Langrené is an author at Data61 specializing in stochastic processes, computer science, and computing.
Publications per year
2010–2021
Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Convergence Analysis
Côme Huré, Huyên Pham, Achref Bachouch et al. · SIAM Journal on Numerical Analysis · 2021 · 95 citations · Full text
Computing, Computer Science, Algorithms +16
A numerical algorithm for fully nonlinear HJB equations:An approach by control randomization
Idris Kharroubi, Nicolas Langrené, Huyên Pham · Monte Carlo Methods and Applications · 2014 · 91 citations · Full text
Business, Finance, Mathematics +17
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
Achref Bachouch, Côme Huré, Nicolas Langrené et al. · arXiv (Cornell University) · 2018 · 69 citations · Full text
Computing, Computer Science, Mathematics +17
A STRUCTURAL RISK‐NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES
René Aïd, Luciano Campi, Nicolas Langrené · Mathematical Finance · 2012 · 60 citations · Full text
Business, Economics, Electrical Engineering +17
Fast and Stable Multivariate Kernel Density Estimation by Fast Sum Updating
Nicolas Langrené, Xavier Warin · Journal of Computational and Graphical Statistics · 2018 · 50 citations · Full text
Computing, Computer Science, Computational Geometry +15
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