A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets

Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs

(2022) Maximilien Germain et al.   SIAM JOURNAL ON SCIENTIFIC COMPUTING

Management strategies for run-of-river hydropower plants: an optimal switching approach

(2021) Marcus Olofsson et al.   OPTIMIZATION AND ENGINEERING

Some machine learning schemes for high-dimensional nonlinear PDEs

(2019) Côme Huré et al.   MATHEMATICS OF COMPUTATION

DGM: A deep learning algorithm for solving partial differential equations

(2018) Justin Sirignano et al.   JOURNAL OF COMPUTATIONAL PHYSICS

Solving high-dimensional partial differential equations using deep learning

(2018) Jiequn Han et al.   PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA

Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems

(2018) Jean-François Chassagneux et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Error bounds for approximations with deep ReLU networks

(2017) Dmitry Yarotsky   NEURAL NETWORKS

Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities

(2017) Erhan Bayraktar et al.   SIAM JOURNAL ON CONTROL AND OPTIMIZATION

An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance

(2016) Lingfei Li et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions

(2016) Erhan Bayraktar et al.   SIAM JOURNAL ON CONTROL AND OPTIMIZATION

A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension

(2014) René Aïd et al.   SIAM Journal on Financial Mathematics

BSDE representations for optimal switching problems with controlled volatility

(2013) Romuald Elie et al.   Stochastics and Dynamics

Discrete-time approximation of multidimensional BSDEs with oblique reflections

(2012) Jean-Francois Chassagneux et al.   ANNALS OF APPLIED PROBABILITY

Gas storage valuation applying numerically constructed recombining trees

(2011) Bastian Joachim Felix et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

On the One-Dimensional Optimal Switching Problem

(2010) Erhan Bayraktar et al.   MATHEMATICS OF OPERATIONS RESEARCH

Switching problem and related system of reflected backward SDEs

(2010) Said Hamadène et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Viscosity Solutions for a System of Integro-PDEs and Connections to Optimal Switching and Control of Jump-Diffusion Processes

(2009) Imran H. Biswas et al.   APPLIED MATHEMATICS AND OPTIMIZATION

Valuation of power plants by utility indifference and numerical computation

(2008) Arnaud Porchet et al.   MATHEMATICAL METHODS OF OPERATIONS RESEARCH

Discrete-time approximation of decoupled Forward–Backward SDE with jumps

(2007) Bruno Bouchard et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS