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Xiaolu Tan
Researcher at The Chinese University of Hong Kong
Publications - 80
Citations - 1515
Xiaolu Tan is an academic researcher from The Chinese University of Hong Kong. The author has contributed to research in topics: Duality (optimization) & Stochastic control. The author has an hindex of 22, co-authored 74 publications receiving 1259 citations. Previous affiliations of Xiaolu Tan include École Polytechnique & Paris Dauphine University.
Papers
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Optimal transportation under controlled stochastic dynamics
Xiaolu Tan,Nizar Touzi +1 more
TL;DR: In this article, an extension of the Monge-Kantorovitch optimal transportation problem is considered, where the mass is transported along a continuous semimartingale, and the cost of transportation depends on the drift and the diffusion coefficients of the continuous semi-artingsale.
Journal ArticleDOI
Optimal transportation under controlled stochastic dynamics
Xiaolu Tan,Nizar Touzi +1 more
TL;DR: In this article, an extension of the Monge-Kantorovitch optimal transportation problem is considered, where the mass is transported along a continuous semimartingale, and the cost of transportation depends on the drift and the diffusion coefficients of the continuous semi-artingsale.
Journal ArticleDOI
A numerical algorithm for a class of BSDEs via the branching process
TL;DR: In this article, the authors give a study to the algorithm for semi-linear parabolic PDEs in Henry-Labordere (2012) and then generalize it to the non-Markovian case for a class of backward SDEs (BSDEs).
Posted Content
Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems
Nicole El Karoui,Xiaolu Tan +1 more
TL;DR: In this article, the authors give an overview on how to derive the dynamic programming principle for a general stochastic control/stopping problem, using measurable selection techniques, and show how to check the required measurability conditions for different versions of the control problem, including in particular the controlled/stopped diffusion processes problem.
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Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
TL;DR: In this article, a representation result of parabolic semi-linear PD-Es, with polynomial nonlinearity, by branching diffusion processes is provided. But this result requires a non-explosion condition which restrict to " small maturity " or " small non-linearity " of the PDE.