Xiaolu Tan

Publication Activity (10 Years)

Years Active: 2016-2024
Publications (10 Years): 15

Top Topics

Stochastic Differential Equations

Diffusion Process

Markov Property

Optimal Control Problems

Top Venues

SIAM J. Control. Optim.

Math. Oper. Res.

Monte Carlo Methods Appl.

Publications

Yunzhang Li, Xiaolu Tan, Shanjian Tang
Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation. SIAM J. Control. Optim. 62 (1) (2024)
Zhenjie Ren, Xiaolu Tan, Nizar Touzi, Junjian Yang
Entropic Optimal Planning for Path-Dependent Mean Field Games. SIAM J. Control. Optim. 61 (3) (2023)
Alexandre Richard, Xiaolu Tan, Fan Yang
On the Discrete-Time Simulation of the Rough Heston Model. SIAM J. Financial Math. 14 (1) (2023)
Xuedong He, Xiaolu Tan, Ruocheng Wu
Convergence of Simulated Annealing Using Kinetic Langevin Dynamics. CoRR (2022)
Mao Fabrice Djete, Dylan Possamaï, Xiaolu Tan
McKean-Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations. Math. Oper. Res. 47 (4) (2022)
Alexandre Richard, Xiaolu Tan, Fan Yang
On the discrete-time simulation of the rough Heston model. CoRR (2021)
Laurent Pfeiffer, Xiaolu Tan, Yu-Long Zhou
Duality and Approximation of Stochastic Optimal Control Problems under Expectation Constraints. SIAM J. Control. Optim. 59 (5) (2021)
Alexandre Richard, Xiaolu Tan, Nizar Touzi
On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals. SIAM J. Control. Optim. 58 (4) (2020)
Shuoqing Deng, Xiaolu Tan, Xiang Yu
Utility Maximization with Proportional Transaction Costs Under Model Uncertainty. Math. Oper. Res. 45 (4) (2020)
Alexandre Richard, Xiaolu Tan, Fan Yang
Discrete-time Simulation of Stochastic Volterra Equations. CoRR (2020)
Anna Kazeykina, Zhenjie Ren, Xiaolu Tan, Junjian Yang
Ergodicity of the underdamped mean-field Langevin dynamics. CoRR (2020)
Bruno Bouchard, Xiaolu Tan, Xavier Warin, Yiyi Zou
Numerical approximation of BSDEs using local polynomial drivers and branching processes. Monte Carlo Methods Appl. 23 (4) (2017)
Gaoyue Guo, Xiaolu Tan, Nizar Touzi
Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints. SIAM J. Control. Optim. 54 (4) (2016)
Julien Claisse, Denis Talay, Xiaolu Tan
A Pseudo-Markov Property for Controlled Diffusion Processes. SIAM J. Control. Optim. 54 (2) (2016)
Gaoyue Guo, Xiaolu Tan, Nizar Touzi
On the Monotonicity Principle of Optimal Skorokhod Embedding Problem. SIAM J. Control. Optim. 54 (5) (2016)