Browsing CEREMADE (UMR CNRS 7534) by Author "Tan, Xiaolu"
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Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
Henry-Labordère, Pierre; Oudjane, Nadia; Tan, Xiaolu; Touzi, Nizar; Warin, Xavier (2017) Document de travail / Working paper -
Discrete-time probabilistic approximation of path-dependent stochastic control problems
Tan, Xiaolu (2014) Article accepté pour publication ou publié -
Ergodicity of the underdamped mean-field Langevin dynamics
Kazeykina, Anna; Ren, Zhenjie; Tan, Xiaolu; Yang, Junjian (2020) Document de travail / Working paper -
An Explicit Martingale Version of the One-dimensional Brenier's Theorem with Full Marginals Constraint
Henry-Labordère, Pierre; Tan, Xiaolu; Touzi, Nizar (2016) Article accepté pour publication ou publié -
A general Doob-Meyer-Mertens decomposition for g-supermartingale systems
Bouchard, Bruno; Possamaï, Dylan; Tan, Xiaolu (2016) Article accepté pour publication ou publié -
A numerical algorithm for a class of BSDEs via the branching process
Touzi, Nizar; Tan, Xiaolu; Henry-Labordère, Pierre (2014) Article accepté pour publication ou publié -
Numerical approximation of BSDEs using local polynomial drivers and branching processes
Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier; Zou, Yiyi (2017) Article accepté pour publication ou publié -
Numerical approximation of general Lipschitz BSDEs with branching processes
Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier (2019) Article accepté pour publication ou publié -
On the convergence of monotone schemes for path-dependent PDE
Ren, Zhenjie; Tan, Xiaolu (2017) Article accepté pour publication ou publié -
On the monotonicity principle of optimal Skorokhod embedding problem
Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar (2016) Article accepté pour publication ou publié -
On the Root solution to the Skorokhod embedding problem given full marginals
Richard, Alexandre; Tan, Xiaolu; Touzi, Nizar (2018) Document de travail / Working paper -
Optimal Skorokhod embedding given full marginals and Azéma -Yor peacocks
Källblad, Sigrid; Tan, Xiaolu; Touzi, Nizar (2017) Article accepté pour publication ou publié -
Optimal Skorokhod embedding given full marginals and Azéma -Yor peacocks
Källblad, Sigrid; Tan, Xiaolu; Touzi, Nizar (2017) Article accepté pour publication ou publié -
Optimal Skorokhod embedding under finitely-many marginal constraints
Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar (2016) Article accepté pour publication ou publié -
Optimal transportation under controlled stochastic dynamics
Tan, Xiaolu; Touzi, Nizar (2013) Article accepté pour publication ou publié -
A pseudo-Markov property for controlled diffusion processes
Claisse, Julien; Talay, Denis; Tan, Xiaolu (2016) Article accepté pour publication ou publié -
A pseudo-Markov property for controlled diffusion processes
Claisse, Julien; Talay, Denis; Tan, Xiaolu (2016) Article accepté pour publication ou publié -
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
Bouchard, Bruno; Tan, Xiaolu (2020) Document de travail / Working paper -
Robust pricing-hedging duality for American options in discrete time financial markets
Deng, Shuoqing; Tan, Xiaolu; Aksamit, Anna; Obloj , Jan (2017) Document de travail / Working paper -
A splitting method for fully nonlinear degenerate parabolic PDEs
Tan, Xiaolu (2013) Article accepté pour publication ou publié