Gaoyue Guo

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
McKean-Vlasov equations involving hitting times: blow-ups and global solvability The Annals of Applied Probability	2024-04-10	Paper
Mean-field limit of particle systems with absorption	2023-10-16	Paper
Randomness and early termination: what makes a game exciting?	2023-06-12	Paper
Mean field game of mutual holding with defaultable agents, and systemic risk	2023-03-14	Paper
Systemic robustness: a mean-field particle system approach	2022-12-16	Paper
Strong equivalence between metrics of Wasserstein type Electronic Communications in Probability	2022-01-06	Paper
Robust pricing and hedging of options on multiple assets and its numerics SIAM Journal on Financial Mathematics	2021-05-04	Paper
Computational methods for martingale optimal transport problems The Annals of Applied Probability	2020-02-21	Paper
Computational methods for martingale optimal transport problems The Annals of Applied Probability	2020-02-21	Paper
Some results on Skorokhod embedding and robust hedging with local time Journal of Optimization Theory and Applications	2018-11-27	Paper
Tightness and duality of martingale transport on the Skorokhod space Stochastic Processes and their Applications	2017-02-14	Paper
Generalized arbitrage-free SVI volatility surfaces SIAM Journal on Financial Mathematics	2016-09-28	Paper
On the monotonicity principle of optimal Skorokhod embedding problem SIAM Journal on Control and Optimization	2016-09-23	Paper
Optimal Skorokhod embedding under finitely many marginal constraints SIAM Journal on Control and Optimization	2016-09-06	Paper

Research outcomes over time

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