121 citations · 301 across the 31 of their papers we have counts for
10 papers · 1 filter
Discrete-time Approximation of Stochastic Optimal Control with Partial Observation
Yunzhang Li, Xiaolu Tan, Shanjian Tang
We consider a class of stochastic optimal control problems with partial observation, and study their approximation by discrete-time control problems. We establish a convergence res…
Entropic optimal planning for path-dependent mean field games
Zhenjie Ren, Xiaolu Tan, Nizar Touzi +1
In the context of mean field games, with possible control of the diffusion coefficient, we consider a path-dependent version of the planning problem introduced by P.L. Lions: given…
Duality and approximation of stochastic optimal control problems under expectation constraints
Laurent Pfeiffer, Xiaolu Tan, Yulong Zhou
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Un…
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…
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…
On the Root solution to the Skorokhod embedding problem given full marginals
Alexandre Richard, Xiaolu Tan, Nizar Touzi
This paper examines the Root solution of the Skorohod embedding problem given full marginals on some compact time interval. Our results are obtained by limiting arguments based on…
Capacities, Measurable Selection and Dynamic Programming Part I: Abstract Framework
Nicole El Karoui, Xiaolu Tan
We give a brief presentation of the capacity theory and show how it derives naturally a measurable selection theorem following the approach of Dellacherie (1972). Then we present t…
Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems
Nicole El Karoui, Xiaolu Tan
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By c…