121 citations · 301 across the 31 of their papers we have counts for
22 papers · 1 filter
A -Itô's formula for flows of semimartingale distributions
Bruno Bouchard, Xiaolu Tan, Jixin Wang
We provide an Itô's formula for -functionals of flows of conditional marginal distributions of continuous semimartingales. This is based on the notion of weak Dirichlet proces…
A mean-field version of Bank-El Karoui's representation of stochastic processes
Xihao He, Xiaolu Tan, Jun Zou
We study a mean-field version of Bank-El Karoui's representation theorem of stochastic processes. Under different technical conditions, we establish some existence and uniqueness r…
Convergence of Simulated Annealing Using Kinetic Langevin Dynamics
Xuedong He, Xiaolu Tan, Ruocheng Wu
We study the simulated annealing algorithm based on the kinetic Langevin dynamics, in order to find the global minimum of a non-convex potential function. For both the continuous t…
An exit contract optimization problem
Xihao He, Xiaolu Tan, Jun Zou
We study an exit contract design problem, where one provides a universal exit contract to multiple heterogeneous agents, with which each agent chooses an optimal (exit) stopping ti…
Ergodicity of the underdamped mean-field Langevin dynamics
Anna Kazeykina, Zhenjie Ren, Xiaolu Tan +1
We study the long time behavior of an underdamped mean-field Langevin (MFL) equation, and provide a general convergence as well as an exponential convergence rate result under diff…
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…
Numerical approximation of general Lipschitz BSDEs with branching processes
Bruno Bouchard, Xiaolu Tan, Xavier Warin
We extend the branching process based numerical algorithm of Bouchard et al. [3], that is dedicated to semilinear PDEs (or BSDEs) with Lipschitz nonlinearity, to the case where the…
Super-replication with proportional transaction cost under model uncertainty
Bruno Bouchard, Shuoqing Deng, Xiaolu Tan
We consider a discrete time financial market with proportional transaction cost under model uncertainty, and study a super-replication problem. We recover the duality results that…
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
Pierre Henry-Labordere, Nadia Oudjane, Xiaolu Tan +2
We provide a representation result of parabolic semi-linear PD-Es, with polynomial nonlinearity, by branching diffusion processes. We extend the classical representation for KPP eq…
Stochastic control for a class of nonlinear kernels and applications
Dylan Possamaï, Xiaolu Tan, Chao Zhou
We consider a stochastic control problem for a class of nonlinear kernels. More precisely, our problem of interest consists in the optimisation, over a set of possibly non-dominate…
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
Bruno Bouchard, Dylan Possamaï, Xiaolu Tan +1
We provide a unified approach to a priori estimates for supersolutions of BSDEs in general filtrations, which may not be quasi left-continuous. Unlike the previous related approach…
Tightness and duality of martingale transport on the Skorokhod space
Gaoyue Guo, Xiaolu Tan, Nizar Touzi
The martingale optimal transport aims to optimally transfer a probability measure to another along the class of martingales. This problem is mainly motivated by the robust superhed…
Optimal Skorokhod embedding under finitely-many marginal constraints
Gaoyue Guo, Xiaolu Tan, Nizar Touzi
The Skorokhod embedding problem aims to represent a given probability measure on the real line as the distribution of Brownian motion stopped at a chosen stopping time. In this pap…
On the monotonicity principle of optimal Skorokhod embedding problem
Gaoyue Guo, Xiaolu Tan, Nizar Touzi
In this paper, we provide an alternative proof of the monotonicity principle for the optimal Skorokhod embedding problem established by Beiglböck, Cox and Huesmann. This principle…
A general Doob-Meyer-Mertens decomposition for -supermartingale systems
Bruno Bouchard, Dylan Possamaï, Xiaolu Tan
We provide a general Doob-Meyer decomposition for -supermartingale systems, which does not require any right-continuity on the system. In particular, it generalizes the Doob-Mey…
Unbiased simulation of stochastic differential equations
Pierre Henry-Labordere, Xiaolu Tan, Nizar Touzi
We propose an unbiased Monte-Carlo estimator for , where is a diffusion process defined by a multi-dimensional stochastic differential…
On the convergence of monotone schemes for path-dependent PDE
Zhenjie Ren, Xiaolu Tan
We propose a reformulation of the convergence theorem of monotone numerical schemes introduced by Zhang and Zhuo for viscosity solutions of path-dependent PDEs, which extends the s…
Optimal Skorokhod embedding given full marginals and Azema-Yor peacocks
Sigrid Kallblad, Xiaolu Tan, Nizar Touzi
We consider the optimal Skorokhod embedding problem (SEP) given full marginals over the time interval . The problem is related to the study of extremal martingales associate…
A pseudo-Markov property for controlled diffusion processes
Julien Claisse, Denis Talay, Xiaolu Tan
In this note, we propose two different approaches to rigorously justify a pseudo-Markov property for controlled diffusion processes which is often (explicitly or implicitly) used t…
Discrete-time probabilistic approximation of path-dependent stochastic control problems
Xiaolu Tan
We give a probabilistic interpretation of the Monte Carlo scheme proposed by Fahim, Touzi and Warin [Ann. Appl. Probab. 21 (2011) 1322-1364] for fully nonlinear parabolic PDEs, and…
Optimal transportation under controlled stochastic dynamics
Xiaolu Tan, Nizar Touzi
We consider an extension of the Monge-Kantorovitch optimal transportation problem. The mass is transported along a continuous semimartingale, and the cost of transportation depends…
Weak approximation of second-order BSDEs
Dylan Possamaï, Xiaolu Tan
We study the weak approximation of the second-order backward SDEs (2BSDEs), when the continuous driving martingales are approximated by discrete time martingales. We establish a co…