12 citations · 16 across the 4 of their papers we have counts for
5 papers · 1 filter
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…