Xiaolu Tan

According to our database, Xiaolu Tan authored at least 15 papers between 2016 and 2026.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2026

Unbiased Simulation of Asian Options.

Bruno Bouchard, Xiaolu Tan

SIAM J. Financial Math., 2026

2024

Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation.

Yunzhang Li, Xiaolu Tan, Shanjian Tang

SIAM J. Control. Optim., February, 2024

2023

Entropic Optimal Planning for Path-Dependent Mean Field Games.

Zhenjie Ren, Xiaolu Tan, Nizar Touzi, Junjian Yang

SIAM J. Control. Optim., June, 2023

On the Discrete-Time Simulation of the Rough Heston Model.

Alexandre Richard, Xiaolu Tan, Fan Yang

SIAM J. Financial Math., March, 2023

2022

McKean-Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations.

Mao Fabrice Djete, Dylan Possamaï, Xiaolu Tan

Math. Oper. Res., November, 2022

Convergence of Simulated Annealing Using Kinetic Langevin Dynamics.

Xuedong He, Xiaolu Tan, Ruocheng Wu

CoRR, 2022

2021

Duality and Approximation of Stochastic Optimal Control Problems under Expectation Constraints.

Laurent Pfeiffer, Xiaolu Tan, Yu-Long Zhou

SIAM J. Control. Optim., 2021

2020

On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals.

Alexandre Richard, Xiaolu Tan, Nizar Touzi

SIAM J. Control. Optim., 2020

Utility Maximization with Proportional Transaction Costs Under Model Uncertainty.

Shuoqing Deng, Xiaolu Tan, Xiang Yu

Math. Oper. Res., 2020

Ergodicity of the underdamped mean-field Langevin dynamics.

Anna Kazeykina, Zhenjie Ren, Xiaolu Tan, Junjian Yang

CoRR, 2020

Discrete-time Simulation of Stochastic Volterra Equations.

Alexandre Richard, Xiaolu Tan, Fan Yang

CoRR, 2020

2017

Numerical approximation of BSDEs using local polynomial drivers and branching processes.

Bruno Bouchard, Xiaolu Tan, Xavier Warin, Yiyi Zou

Monte Carlo Methods Appl., 2017

2016

On the Monotonicity Principle of Optimal Skorokhod Embedding Problem.

Gaoyue Guo, Xiaolu Tan, Nizar Touzi

SIAM J. Control. Optim., 2016

Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints.

Gaoyue Guo, Xiaolu Tan, Nizar Touzi

SIAM J. Control. Optim., 2016

A Pseudo-Markov Property for Controlled Diffusion Processes.

Julien Claisse, Denis Talay, Xiaolu Tan

SIAM J. Control. Optim., 2016