121 citations · 301 across the 31 of their papers we have counts for
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math.OC2020★ 3 cited
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…
math.OC2020
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…
math.OC2020★ 1 cited
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,…