# 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 |
---|---|---|---|

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 |

Course Code | Course Title | Academic Year | Term |
---|---|---|---|

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 |