121 citations · 301 across the 31 of their papers we have counts for
10 papers · 1 filter
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…