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.
    • Short version, ICML 2020 Workshop on Theory of Reinforcement Learning.
  • 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, NeurIPS 2018 Workshop on Causality.
  • Robert Almgren and Renyuan Xu. Smart Order Routing via Statistical Learning, Preprint, 2019.