Prof. Xiaolu TAN
Associate Professor
BSc (Peking University); MSc (Ecole Polytechnique)
PhD (Ecole Polytechnique)
Address:
Room 227, Lady Shaw Building,
The Chinese University of Hong Kong,
Shatin, N.T., Hong Kong
The Chinese University of Hong Kong,
Shatin, N.T., Hong Kong
Tel:
(852) 3943-5296
Email:
Personal Website:
Fields of Interest:
Mathematical Finance, Stochastic Analysis, Stochastic Optimal Control, Numerical Simulation of SDEs, Numerical Method for Nonlinear PDEs, Numerical Method for Optimal Control Problem.
Selected Publications:
- J. Claisse, Z. Ren and X. Tan, Mean Field Games with Branching, The Annals of Applied Probability, to appear.
- B. Bouchard, G. Loeper and X. Tan, A C^{0,1}-functional Itô's formula and its applications in mathematical finance, Stochastic Processes and their Applications, 148:299-323, 2022.
- F. Djete, D. Possamaï and X. Tan, McKean-Vlasov optimal control: the dynamic programming principle, The Annals of Probability, 50(2):791-833, 2022.
- F. Djete, D. Possamaï and X. Tan, McKean-Vlasov optimal control: limit theory and equivalence between different formulations, Mathematics of Operations Research, to appear.
- B. Bouchard and X. Tan, Understanding the dual formulation for the hedging of path-dependent options with price impact, The Annals of Applied Probability, to appear.
Major Research Grants:
- Research Grants Council - General Research Fund
Professional activities:
- Editorial Board - Numerical Algebra, Control and Optimization
- Editorial Board - Stochastic Processes and Their Applications
- Editorial Board - Journal of Optimization Theory and Applications
Courses
| Course Code | Course Title | Academic Year | Term |
|---|---|---|---|
| MATH6231 | Topics in Optimization Theory I | 2023/24 | 1 |
| MATH4210 | Financial Mathematics | 2023/24 | 2 |
| MMAT5340 | Probability and Stochastic Analysis | 2023/24 | 2 |
| Course Code | Course Title | Academic Year | Term |
|---|---|---|---|
| MATH4210 | Financial Mathematics | 2022/23 | 1 |
| MATH6231 | Topics in Optimization Theory I | 2022/23 | 1 |
| MATH2230B | Complex Variables with Applications | 2022/23 | 2 |
| MATH2230C | Complex Variables with Applications | 2022/23 | 2 |
| MATH4210 | Financial Mathematics | 2021/22 | 1 |
| MMAT5340 | Probability and Stochastic Analysis | 2021/22 | 1 |
| MATH6231 | Topics in Optimization Theory I | 2021/22 | 2 |
| MATH4210 | Financial Mathematics | 2020/21 | 1 |
| MATH6231 | Topics in Optimization Theory I | 2020/21 | 2 |
| MATH4210 | Financial Mathematics | 2019/20 | 1 |
| MATH6231 | Topics in Optimization Theory I | 2019/20 | 2 |