16 citations · 103 across the 24 of their papers we have counts for
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math.PR2018★ 4 cited
Consistency and Computation of Regularized MLEs for Multivariate Hawkes Processes
Xin Guo, Anran Hu, Renyuan Xu +1
This paper proves the consistency property for the regularized maximum likelihood estimators (MLEs) of multivariate Hawkes processes (MHPs). It also develops an alternating minimiz…
q-fin.MF2018
A class of stochastic games and moving free boundary problems
Xin Guo, Wenpin Tang, Renyuan Xu
In this paper we propose and analyze a class of -player stochastic games that include finite fuel stochastic games as a special case. We first derive sufficient conditions for t…
math.OC2018★ 7 cited
Stochastic Games for Fuel Followers Problem: N vs MFG
Xin Guo, Renyuan Xu
In this paper we formulate and analyze an -player stochastic game of the classical fuel follower problem and its Mean Field Game (MFG) counterpart. For the -player game, we o…