Xiaolu Tan

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List of research outcomes

Publication	Date of Publication	Type
Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability	2024-01-19	Paper
A $C^1$-It\^o's formula for flows of semimartingale distributions	2023-07-14	Paper
Entropic Optimal Planning for Path-Dependent Mean Field Games	2023-06-14	Paper
Mean field games with branching	2023-06-05	Paper
A mean-field version of Bank-El Karoui's representation of stochastic processes	2023-02-07	Paper
McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations	2023-01-09	Paper
Understanding the dual formulation for the hedging of path-dependent options with price impact	2022-09-05	Paper
Convergence of Simulated Annealing Using Kinetic Langevin Dynamics	2022-06-13	Paper
A $\mathbb{C}^{0, 1}$-functional Itô's formula and its applications in mathematical finance	2022-04-28	Paper
McKean-Vlasov optimal control: the dynamic programming principle	2022-04-22	Paper
Duality and Approximation of Stochastic Optimal Control Problems under Expectation Constraints	2021-09-22	Paper
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space	2021-08-27	Paper
On the discrete-time simulation of the rough Heston model	2021-07-16	Paper
On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals	2020-11-03	Paper
Superreplication with proportional transaction cost under model uncertainty	2019-10-31	Paper
The robust pricing–hedging duality for American options in discrete time financial markets	2019-10-31	Paper
Numerical approximation of general Lipschitz BSDEs with branching processes	2019-07-11	Paper
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation	2019-03-20	Paper
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations	2018-06-01	Paper
Stochastic control for a class of nonlinear kernels and applications	2018-04-27	Paper
Unbiased simulation of stochastic differential equations	2018-03-08	Paper
Numerical approximation of BSDEs using local polynomial drivers and branching processes	2018-01-16	Paper
Optimal Skorokhod embedding given full marginals and Azéma-Yor peacocks	2017-08-08	Paper
On the convergence of monotone schemes for path-dependent PDEs	2017-06-22	Paper
Tightness and duality of martingale transport on the Skorokhod space	2017-02-14	Paper
On the Monotonicity Principle of Optimal Skorokhod Embedding Problem	2016-09-23	Paper
Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints	2016-09-06	Paper
An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint	2016-08-08	Paper
A general Doob-Meyer-Mertens decomposition for $g$-supermartingale systems	2016-05-23	Paper
A Pseudo-Markov Property for Controlled Diffusion Processes	2016-04-25	Paper
Weak approximation of second-order BSDEs	2015-10-20	Paper
Discrete-time probabilistic approximation of path-dependent stochastic control problems	2014-09-25	Paper
A numerical algorithm for a class of BSDEs via the branching process	2014-02-07	Paper
A splitting method for fully nonlinear degenerate parabolic PDEs	2014-01-17	Paper
Optimal transportation under controlled stochastic dynamics	2013-11-12	Paper
A model-free no-arbitrage price bound for variance options	2013-10-21	Paper
Capacities, Measurable Selection and Dynamic Programming Part I: Abstract Framework	2013-10-12	Paper
Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems	2013-10-12	Paper

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