no code implementations • 5 Feb 2019 • Côme Huré, Huyên Pham, Xavier Warin
We analyze the convergence of the deep learning schemes and provide error estimates in terms of the universal approximation of neural networks.
no code implementations • 13 Dec 2018 • Achref Bachouch, Côme Huré, Nicolas Langrené, Huyen Pham
This paper presents several numerical applications of deep learning-based algorithms that have been introduced in [HPBL18].
no code implementations • 11 Dec 2018 • Côme Huré, Huyên Pham, Achref Bachouch, Nicolas Langrené
This paper develops algorithms for high-dimensional stochastic control problems based on deep learning and dynamic programming.
no code implementations • 3 May 2017 • Frédéric Abergel, Côme Huré, Huyên Pham
In particular, we simulated an order book with constant/ symmet-ric/ asymmetrical/ state dependent intensities, and compared the computed optimal strategy with naive strategies.