121 citations · 301 across the 31 of their papers we have counts for
6 papers · 1 filter
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…
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…
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…
Discrete-time Simulation of Stochastic Volterra Equations
Alexandre Richard, Xiaolu Tan, Fan Yang
We study discrete-time simulation schemes for stochastic Volterra equations, namely the Euler and Milstein schemes, and the corresponding Multi-Level Monte-Carlo method. By using a…
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…
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,…