Xiaolu Tan

16 papers Journal 16
YearRankTypeTitle / Venue / Authors
2026 J jnl
Unbiased Simulation of Asian Options.
SIAM J. Financial Math.
Bruno Bouchard, Xiaolu Tan
2024 J jnl
Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation.
SIAM J. Control. Optim.
Yunzhang Li, Xiaolu Tan, Shanjian Tang
2023 J jnl
Entropic Optimal Planning for Path-Dependent Mean Field Games.
SIAM J. Control. Optim.
Zhenjie Ren, Xiaolu Tan, Nizar Touzi, Junjian Yang
2023 J jnl
On the Discrete-Time Simulation of the Rough Heston Model.
SIAM J. Financial Math.
Alexandre Richard, Xiaolu Tan, Fan Yang
2022 J jnl
Convergence of Simulated Annealing Using Kinetic Langevin Dynamics.
CoRR
Xuedong He, Xiaolu Tan, RuoCheng Wu
2022 J jnl
McKean-Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations.
Math. Oper. Res.
Mao Fabrice Djete, Dylan Possamaï, Xiaolu Tan
2021 J jnl
Duality and Approximation of Stochastic Optimal Control Problems under Expectation Constraints.
SIAM J. Control. Optim.
Laurent Pfeiffer, Xiaolu Tan, Yu-Long Zhou
2021 J jnl
On the discrete-time simulation of the rough Heston model.
CoRR
Alexandre Richard, Xiaolu Tan, Fan Yang
2020 J jnl
Discrete-time Simulation of Stochastic Volterra Equations.
CoRR
Alexandre Richard, Xiaolu Tan, Fan Yang
2020 J jnl
Ergodicity of the underdamped mean-field Langevin dynamics.
CoRR
Anna Kazeykina, Zhenjie Ren, Xiaolu Tan, Junjian Yang
2020 J jnl
On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals.
SIAM J. Control. Optim.
Alexandre Richard, Xiaolu Tan, Nizar Touzi
2020 J jnl
Utility Maximization with Proportional Transaction Costs Under Model Uncertainty.
Math. Oper. Res.
Shuoqing Deng, Xiaolu Tan, Xiang Yu
2017 J jnl
Numerical approximation of BSDEs using local polynomial drivers and branching processes.
Monte Carlo Methods Appl.
Bruno Bouchard, Xiaolu Tan, Xavier Warin, Yiyi Zou
2016 J jnl
A Pseudo-Markov Property for Controlled Diffusion Processes.
SIAM J. Control. Optim.
Julien Claisse, Denis Talay, Xiaolu Tan
2016 J jnl
On the Monotonicity Principle of Optimal Skorokhod Embedding Problem.
SIAM J. Control. Optim.
Gaoyue Guo, Xiaolu Tan, Nizar Touzi
2016 J jnl
Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints.
SIAM J. Control. Optim.
Gaoyue Guo, Xiaolu Tan, Nizar Touzi