25 citations · 54 across the 15 of their papers we have counts for
18 papers
Stability of supermartingale optimal transport problems
Shuoqing Deng, Gaoyue Guo, Dominykas Norgilas
We investigate stability properties of weak supermartingale optimal transport (WSOT) problems on . For probability measures satisfying $μ\leq_{cd}…
Optimal resource allocation for maintaining system solvency
Gaoyue Guo, Wenpin Tang, Nizar Touzi
We study two optimal allocation problems for a system of independent Brownian agents whose states evolve under a limited shared control. At each time, a unit of resource can be div…
Infinite Dimensional Mean-Field Belavkin Equation: Well-posedness and Derivation
Anne de Bouard, Gaoyue Guo, Théo Hérouard
We analyze the mean-field limit of a stochastic Schr{ö}dinger equation arising in quantum optimal control and mean-field games, where N interacting particles undergo continuous ind…
Stabilization of jump-diffusion stochastic differential equations by hysteresis switching
Weichao Liang, Gaoyue Guo
We address the stabilization of both classical and quantum systems modeled by jump-diffusion stochastic differential equations using a novel hysteresis switching strategy. Unlike t…
The football model, stochastic ordering and martingale transport
Gaoyue Guo, Nicolas Juillet, Wenpin Tang
Tournaments are competitions between a number of teams, the outcome of which determines the relative strength or rank of each team. In many cases, the strength of a team in the tou…
Randomness and early termination: what makes a game exciting?
Gaoyue Guo, Sam D. Howison, Dylan Possamaï +1
In this paper we revisit an open problem posed by Aldous on the max-entropy win-probability martingale: given two players of equal strength, such that the win-probability is a mart…
Mean field game of mutual holding with defaultable agents, and systemic risk
Mao Fabrice Djete, Gaoyue Guo, Nizar Touzi
We introduce the possibility of default in the mean field game of mutual holding of Djete and Touzi [11]. This is modeled by introducing absorption at the origin of the equity proc…
On the mean-field Belavkin filtering equation
Sofiane Chalal, Nina H. Amini, Gaoyue Guo
Following Kolokoltsov's work [1], we present an extension of mean-field control theory in quantum framework. In particular such an extension is done naturally by considering the Be…
Systemic robustness: a mean-field particle system approach
Erhan Bayraktar, Gaoyue Guo, Wenpin Tang +1
This paper is concerned with the problem of budget control in a large particle system modeled by stochastic differential equations involving hitting times, which arises from consid…
McKean-Vlasov equations involving hitting times: blow-ups and global solvability
Erhan Bayraktar, Gaoyue Guo, Wenpin Tang +1
This paper is concerned with the analysis of blow-ups for two McKean-Vlasov equations involving hitting times. Let be standard Brownian motion, and $τ:= \inf\{…
Robust pricing and hedging of options on multiple assets and its numerics
Stephan Eckstein, Gaoyue Guo, Tongseok Lim +1
We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-margin…
Computational Methods for Martingale Optimal Transport problems
Gaoyue Guo, Jan Obloj
We establish numerical methods for solving the martingale optimal transport problem (MOT) - a version of the classical optimal transport with an additional martingale constraint on…
A stability result on optimal Skorokhod embedding
Gaoyue Guo
Motivated by the model- independent pricing of derivatives calibrated to the real market, we consider an optimization problem similar to the optimal Skorokhod embedding problem, wh…
Some Results on Skorokhod Embedding and Robust Hedging with Local Time
Julien Claisse, Gaoyue Guo, Pierre Henry-Labordere
In this paper, we provide some results on Skorokhod embedding with local time and its applications to the robust hedging problem in finance. First we investigate the robust hedging…
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…
Generalised arbitrage-free SVI volatility surfaces
Gaoyue Guo, Antoine Jacquier, Claude Martini +1
In this article we propose a generalisation of the recent work of Gatheral and Jacquier on explicit arbitrage-free parameterisations of implied volatility surfaces. We also discuss…