12 citations · 16 across the 4 of their papers we have counts for
11 papers
Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability
Bruno Bouchard, Grégoire Loeper, Xiaolu Tan
We introduce a notion of approximate viscosity solution for a class of nonlinear path-dependent PDEs (PPDEs), including the Hamilton-Jacobi-Bellman type equations. Existence, compa…
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
Bruno Bouchard, Xiaolu Tan
We prove a robust super-hedging duality result for path-dependent options on assets with jumps, in a continuous time setting. It requires that the collection of martingale measures…
Understanding the dual formulation for the hedging of path-dependent options with price impact
Bruno Bouchard, Xiaolu Tan
We consider a general path-dependent version of the hedging problem with price impact of Bouchard et al. (2019), in which a dual formulation for the super-hedging price is obtained…
McKean-Vlasov optimal control: limit theory and equivalence between different formulations
Fabrice Mao Djete, Dylan Possamaï, Xiaolu Tan
We study a McKean-Vlasov optimal control problem with common noise, in order to establish the corresponding limit theory, as well as the equivalence between different formulations,…
Mean Field Games with Branching
Julien Claisse, Zhenjie Ren, Xiaolu Tan
Mean field games are concerned with the limit of large-population stochastic differential games where the agents interact through their empirical distribution. In the classical set…
McKean-Vlasov optimal control: the dynamic programming principle
Mao Fabrice Djete, Dylan Possamaï, Xiaolu Tan
We study the McKean-Vlasov optimal control problem with common noise in various formulations, namely the strong and weak formulation, as well as the Markovian and non-Markovian for…