Category Rapports

We propose a numerical method for solving high dimensional fully nonlinear partial differential equations (PDEs). Our algorithm estimates simultaneously by backward time induction the solution and its gradient by multi-layer ...

We statistically analyse a multivariate HJM diffusion model with stochastic volatility. The volatility process of the first factor is left totally unspecified while the volatility of the second factor is ...

The assessment of fuel poverty in mainland France is based mainly on data provided by the French national housing survey (ENL). However, the last two surveys date from 2006 and ...

Twenty percent of French non-fuel poor households will fall into fuel poverty. The existence of energy insurance can reduce this percentage. This article focuses on non-fuel poor households that can ...

We propose new machine learning schemes for solving high dimensional nonlinear partial differential equations (PDEs). Relying on the classical backward stochastic differential equation (BSDE) representation of PDEs, our algorithms estimate ...

Systemic risk is a multifaceted concept that is of crucial importance for regulators. In order to ensure financial stability, they need to properly assess this risk, preventing financial shocks from ...

This paper presents several numerical applications of deep learning-based algorithms that have been analyzed in [11]. Numerical and comparative tests using TensorFlow illustrate the performance of our different algorithms, namely ...

This paper develops algorithms for high-dimensional stochastic control problems based on deep learning and dynamic programming (DP). Diffrently from the classical approximate DP approach, we rst approximate the optimal policy ...

Despite the success of demand response programs in retail electricity markets in reducing average consumption, the literature shows failure to reduce the variance of consumers’ responses. This paper aims at ...

In this work, we derive a probabilistic forecast of the solar irradiance during a day at a given location, using a stochastic differential equation (SDE for short) model. We propose ...