My research interests include mathematical finance, stochastic analysis, game theory and machine learning.
Rama Cont, Mihai Cucuringu, Renyuan Xu and Chao Zhang. TailGAN: Nonparametric Scenario Genration for Tail Risk Estimation, Working Paper, 2021.
Anna Ananova, Rama Cont, and Renyuan Xu. Excursion Risk, Submitted, 2020.
Rama Cont, Artur Kotlicki and Renyuan Xu. Modelling COVID-19 Contagion: Risk Assessment and Targeted Mitigation Policies, To Appear, Royal Society Open Science, 2021.
Rama Cont, Xin Guo and Renyuan Xu. Interbank Lending with Benchmark Rate: Pareto Optima for a Class of Singular Control Games, Revision, Mathematical Finance, 2020.
Ben Hambly, Renyuan Xu and Huining Yang. The Policy Gradient method for the Noisy Linear Quadratic Regulator over a Finite Horizon, Revision, SIAM Journal on Control and Optimization, 2020.
Xin Guo, Renyuan Xu and Thaleia Zariphopoulou. Entropy Regularization for Mean Field Games with Learning, Submitted, 2020.
Haotian Gu, Xin Guo, Xiaoli Wei and Renyuan Xu. Q-Learning for Mean-Field Controls, Submitted, 2020.
Haotian Gu, Xin Guo, Xiaoli Wei and Renyuan Xu. Dynamic Programming Principles for Learning Mean-Field Controls, Submitted, 2020.
Xin Guo, Anran Hu, Renyuan Xu and Junzi Zhang. General Framework for Learning Mean-Field Games, Revision, Mathematics of Operations Research, 2021.
Zhengyuan Zhou, Renyuan Xu and Jose Blanchet. Delay-Adaptive Learning in Generalized Linear Contextual Bandits, Revision, Mathematics of Operations Research, 2021.
Xin Guo, Wenpin Tang, and Renyuan Xu. A Class of Stochastic Games and Stochastic Free Boundary Problems, Revision, SIAM Journal on Control and Optimization, 2020.
Xin Guo, Charles-Albert Lehalle, and Renyuan Xu. Transaction Cost Data Analytics for Corporate Bonds, Revision, Quantitative Finance, 2020.
Xin Guo and Renyuan Xu. Stochastic Games for Fuel Followers Problem: N vs MFG, SIAM Journal of Control and Optimization, 2019.
Xin Guo, Anran Hu, Renyuan Xu and Junzi Zhang. Consistency and Computation of Regularized MLEs for Multivariate Hawkes Processes, Submitted, 2018.
- Short version, ICML 2020 Workshop on Theory of Reinforcement Learning.
Robert Almgren and Renyuan Xu. Smart Order Routing via Statistical Learning, Preprint, 2019.
- Short version, NeurIPS 2018 Workshop on Causality.