121 citations · 301 across the 31 of their papers we have counts for
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math.PR2020★ 2 cited
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…
math.PR2020★ 3 cited
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…