121 citations · 301 across the 31 of their papers we have counts for
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math.PR2021
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…
math.NA2021
On the discrete-time simulation of the rough Heston model
Alexandre Richard, Xiaolu Tan, Fan Yang
We study Euler-type discrete-time schemes for the rough Heston model, which can be described by a stochastic Volterra equation (with non-Lipschtiz coefficient functions), or by an…
math.AP2021
Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability
Bruno Bouchard, Grégoire Loeper, Xiaolu Tan
We introduce a notion of approximate viscosity solution for a class of nonlinear path-dependent PDEs (PPDEs), including the Hamilton-Jacobi-Bellman type equations. Existence, compa…