Publications

 






Preprints:

Accepted papers:

  • X. He, X. Tan and J. Zou,
    mean-field version of Bank-El Karoui's representation of stochastic processes,
    The Annals of Applied Probability, to appear.

  • B. Bouchard and X. Tan,
    On the regularity of solutions of some linear parabolic path-dependent PDEs,
    Annales de l’Institut Henri Poincaré (B) Probabilités et Statistiques, to appear.

  • B. Bouchard, X. Tan and J. Wang,
    A C1-Itô's formula for flows of semimartingale distributions,
    Applied Mathematics & Optimization, 90:26, 2024.

  • A. Kazeykina, Z. Ren, X. Tan and J. Yang,
    Ergodicity of the underdamped mean-field Langevin dynamics,
    The Annals of Applied Probability, 34(3):3181-3226, 2024.

  • X. He, X. Tan and R. Wu,
    Convergence of Simulated Annealing Using Kinetic Langevin Dynamics,
    Electronic Journal of Probability, 29(77):1-31, 2024.

  • Y. Li, X. Tan and S. Tang
    Discrete-time Approximation of Stochastic Optimal Control with Partial Observation,
    SIAM Journal on Control and Optimization, 62(1):326-350, 2024.

  • B. Bouchard, G. Loeper and X. Tan,
    Approximate viscosity solutions of path-dependent PDEs and Dupire’s vertical differentiability,
    The Annals of Applied Probability, 33(6B): 5781-5809, 2023.

  • X. He, X. Tan and J. Zou
    An exit contract optimization problem,
    ESAIM: Control, Optimisation and Calculus of Variations, 29(82), 2023.

  • Z. Ren, X. Tan, N. Touzi and J. Yang,
    Entropic optimal planning for path-dependent mean field games,
    SIAM Journal on Control and Optimization, 61(3):1415-1437, 2023.

  • J. Claisse, Z. Ren and X. Tan,
    Mean Field Games with Branching,
    The Annals of Applied Probability, 33(2):834-875, 2023.

  • A. Richard, X. Tan and F. Yang,
    On the discrete-time simulation of the rough Heston model,
    SIAM Journal on Financial Mathematics, 14(1):223-249, 2023.

  • F. Djete, D. Possamaï and X. Tan,
    McKean-Vlasov optimal control: limit theory and equivalence between different formulations,
    Mathematics of Operations Research, 47(4):2891-2930, 2022.

  • B. Bouchard and X. Tan,
    Understanding the dual formulation for the hedging of path-dependent options with price impact,
    The Annals of Applied Probability, 32(3):1705-1733, 2022.

  • 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.

  • L. Pfeiffer, X. Tan and Y. Zhou,
    Duality and approximation of stochastic optimal control problems under expectation constraints,
    SIAM Journal on Control and Optimization, 59(5):3231-3260, 2021.

  • A. Richard, X. Tan and F. Yang,
    Discrete-time Simulation of Stochastic Volterra Equations,
    Stochastic Processes and their Applications, 141:109-138, 2021.

  • B. Bouchard and X. Tan,
    A quasi-sure optional decomposition and super-hedging result on the Skorokhod space,
    Finance and Stochastics, 25:505-528, 2021.

  • A. Richard, X. Tan and N. Touzi,
    On the Root solution to the Skorokhod embedding problem given full marginals,
    SIAM Journal on Control and Optimization, 58(4):1874-1892, 2020.

  • S. Deng, X. Tan and X. Yu,
    Utility maximization with proportional transaction costs under model uncertainty,
    Mathematics of Operations Research, 45(4):1210-1236, 2020.

  • B. Bouchard, X. Tan and X. Warin,
    Numerical approximation of general Lipschitz BSDEs with branching processes,
    ESAIM: Proceedings and Surveys, 65:309-329, 2019.

  • A. Aksamit, S. Deng, J. Obłój and X. Tan,
    Robust pricing-hedging duality for American options in discrete time financial markets,
    Mathematical Finance, 29(3):861-897, 2019.

  • B. Bouchard, S. Deng and X. Tan,
    Super-replication with proportional transaction cost under model uncertainty,
    Mathematical Finance, 29(3):837-860, 2019.

  • P. Henry-Labordère, N. Oudjane, X. Tan, N. Touzi and X. Warin,
    Branching diffusion representation of semilinear PDEs and Monte Carlo approximation,
    Annales de l’Institut Henri Poincaré (B) Probabilités et Statistiques, 55(1):184-210, 2019.

  • B. Bouchard, D. Possamaï, X. Tan and C. Zhou,
    A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
    Annales de l’Institut Henri Poincaré (B) Probabilités et Statistiques, 54(1):154-172, 2018.

  • D. Possamaï, X. Tan and C. Zhou,
    Stochastic control for a class of nonlinear kernels and applications,
    The Annals of Probability, 46(1):551-603, 2018.

  • B. Bouchard, X. Tan, X. Warin and Y. Zou,
    Numerical approximation of BSDEs using local polynomial drivers and branching processes,
    Monte Carlo Methods and Applications, 23(4):241-263, 2017.

  • P. Henry-Labordère, X. Tan and N. Touzi,
    Unbiased simulation of stochastic differential equations,
    The Annals of Applied Probability, 27(6):1-37, 2017.

  • Z. Ren and X. Tan,
    On the convergence of monotone schemes for path-dependent PDE,
    Stochastic Processes and their Applications, 127(6): 1738-1762, 2017.

  • S. Källblad, X. Tan and N. Touzi,
    Optimal Skorokhod embedding given full marginals and Azema-Yor peacocks,
    The Annals of Applied Probability, 27(2):686-719, 2017.

  • G. Guo, X. Tan and N. Touzi,
    Tightness and duality of martingale transport on the Skorokhod space,
    Stochastic Processes and their Applications, 127(3):927-956, 2017.

  • B. Bouchard, D. Possamaï and X. Tan,
    A general Doob-Meyer-Mertens decomposition for g-supermartingale systems,
    Electronic Journal of Probability, 21(36):1-21, 2016.

  • G. Guo, X. Tan and N. Touzi,
    On the monotonicity principle of optimal Skorokhod embedding problem.,
    SIAM Journal on Control and Optimization, 54(5):2478-2489, 2016.

  • G. Guo, X. Tan and N. Touzi,
    Optimal Skorokhod embedding under finitely-many marginal constraints,
    SIAM Journal on Control and Optimization, 54(4):2174-2201, 2016.

  • P. Henry-Labordère, X. Tan and N. Touzi,
    An Explicit Martingale Version of the One-dimensional Brenier’s Theorem with Full Marginals Constraint,
    Stochastic Processes and their Applications, 126(9):2800-2834, 2016.

  • J. Claisse, D. Talay and X. Tan,
    A pseudo-Markov property for controlled diffusion processes,
    SIAM Journal on Control and Optimization, 54(2):1017-1029, 2016

  • D. Possamaï and X. Tan,
    Weak approximation of second order BSDEs,
    The Annals of Applied Probability, 25(5):2535-2562, 2015.

  • P. Henry-Labordère, X. Tan and N. Touzi,
    A numerical algorithm for a class of BSDEs via branching process,
    Stochastic Processes and their Applications, 124(2):1112-1140, 2014.

  • X. Tan,
    Discrete-time probabilistic approximation of path-dependent stochastic control problems,
    The Annals of Applied Probability, 24(5):1803-1834, 2014.

  • X.Tan,
    A splitting method for fully nonlinear degenerate parabolic PDEs,
    Electron. J. Probab, 18(15):1-24, 2013.

  • J.F. Bonnans and X. Tan,
    A model-free no-arbitrage price bound for variance options,
    Applied Mathematics & Optimization, Vol. 68, Issue 1, 43-73, 2013.

  • X. Tan and N. Touzi,
    Optimal Transportation under Controlled Stochastic Dynamics,
    The Annals of Probability, Vol. 41, No. 5, 3201-3240, 2013.


    • Thesis: