A Pseudo-Markov Property for Controlled Diffusion Processes. - Julien Claisse; Denis Talay; Xiaolu Tan (SIAM J. Control. Optim., 2016)

Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints. - Gaoyue Guo; Xiaolu Tan; Nizar Touzi (SIAM J. Control. Optim., 2016)

On the Monotonicity Principle of Optimal Skorokhod Embedding Problem. - Gaoyue Guo; Xiaolu Tan; Nizar Touzi (SIAM J. Control. Optim., 2016)

Numerical approximation of BSDEs using local polynomial drivers and branching processes. - Bruno Bouchard 002; Xiaolu Tan; Xavier Warin; Yiyi Zou (Monte Carlo Methods Appl., 2017)

Discrete-time Simulation of Stochastic Volterra Equations. - Alexandre Richard; Xiaolu Tan; Fan Yang (CoRR, 2020)

Ergodicity of the underdamped mean-field Langevin dynamics. - Anna Kazeykina; Zhenjie Ren; Xiaolu Tan; Junjian Yang (CoRR, 2020)

Utility Maximization with Proportional Transaction Costs Under Model Uncertainty. - Shuoqing Deng; Xiaolu Tan; Xiang Yu (Math. Oper. Res., 2020)

On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals. - Alexandre Richard; Xiaolu Tan; Nizar Touzi (SIAM J. Control. Optim., 2020)

Duality and Approximation of Stochastic Optimal Control Problems under Expectation Constraints. - Laurent Pfeiffer; Xiaolu Tan; Yu-Long Zhou (SIAM J. Control. Optim., 2021)

Convergence of Simulated Annealing Using Kinetic Langevin Dynamics. - Xuedong He; Xiaolu Tan; Ruocheng Wu (CoRR, 2022)

McKean-Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations. - Mao Fabrice Djete; Dylan Possamaï; Xiaolu Tan (Math. Oper. Res., 2022)

On the Discrete-Time Simulation of the Rough Heston Model. - Alexandre Richard; Xiaolu Tan; Fan Yang (SIAM J. Financial Math., 2023)

Entropic Optimal Planning for Path-Dependent Mean Field Games. - Zhenjie Ren; Xiaolu Tan; Nizar Touzi; Junjian Yang (SIAM J. Control. Optim., 2023)

Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation. - Yunzhang Li; Xiaolu Tan; Shanjian Tang (SIAM J. Control. Optim., 2024)