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Xiaolu Tan

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Papers (19)

  1. Optimal incentive scheme for ESG disclosure econ.GN · 2026 · author #3
  2. Comparison of viscosity solutions for a class of non-linear PDEs on the space of finite nonnegative measures math.PR · 2026 · author #4
  3. Numerical approximation of BSDEs using local polynomial drivers and branching processes math.NA · 2016 · author #2
  4. Robust pricing--hedging duality for American options in discrete time financial markets math.OC · 2016 · author #4
  5. Branching diffusion representation of semilinear PDEs and Monte Carlo approximation math.PR · 2016 · author #3
  6. Stochastic control for a class of nonlinear kernels and applications math.PR · 2015 · author #2
  7. Tightness and duality of martingale transport on the Skorokhod space math.PR · 2015 · author #2
  8. Optimal Skorokhod embedding under finitely-many marginal constraints math.PR · 2015 · author #2
  9. On the monotonicity principle of optimal Skorokhod embedding problem math.PR · 2015 · author #2
  10. A general Doob-Meyer-Mertens decomposition for $g$-supermartingale systems math.PR · 2015 · author #3
  11. Unbiased simulation of stochastic differential equations math.PR · 2015 · author #2
  12. On the convergence of monotone schemes for path-dependent PDE math.PR · 2015 · author #2
  13. Optimal Skorokhod embedding given full marginals and Azema-Yor peacocks math.PR · 2015 · author #2
  14. A pseudo-Markov property for controlled diffusion processes math.PR · 2015 · author #3
  15. Discrete-time probabilistic approximation of path-dependent stochastic control problems math.PR · 2014 · author #1
  16. Capacities, Measurable Selection and Dynamic Programming Part I: Abstract Framework math.OC · 2013 · author #2
  17. Weak approximation of second-order BSDEs math.PR · 2013 · author #2
  18. Optimal transportation under controlled stochastic dynamics math.PR · 2013 · author #1
  19. A numerical algorithm for a class of BSDEs via branching process math.NA · 2013 · author #2

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