My research areas include applied probability, stochastic control and game theory.
Over the years, I have also developed interests in other areas such as online sequential decision making and statistical learning.
Stochastic Control and Game Theory
Xin Guo and Renyuan Xu. Stochastic Games for Fuel Followers Problem: N vs MFG, Accepted, SIAM Journal of Control and Optimization, 2019.
Xin Guo, Wenpin Tang, and Renyuan Xu. A class of Stochastic Games and Stochastic Free Boundary Problems, Revision, 2019.
Xin Guo and Renyuan Xu. Pareto Optimality and Price of Anarchy for Stochastic Games with Singular Controls, Preprint, 2019.
Haotian Gu, Xin Guo, Xiaoli Wei and Renyuan Xu. Dynamic Programming Principles for Learning Mean-Field Controls, Preprint, 2019.
Xin Guo, Renyuan Xu and Thaleia Zariphopoulou. Exploration versus Exploitation in Learning Mean-Field Games, Preprint, 2019.
Zhengyuan Zhou, Renyuan Xu and Jose Blanchet. Learning in Generalized Linear Contextual Bandits with Stochastic Delays, Accepted NeurIPS (spotlight), 2019.
Xin Guo, Anran Hu, Renyuan Xu and Junzi Zhang. Learning Mean-Field Games, Accepted NeurIPS, 2019.
Xin Guo, Anran Hu, Renyuan Xu and Junzi Zhang. Consistency and Computation of Regularized MLEs for Multivariate Hawkes Processes, Submitted, 2018.
- Short version accepted by NeurIPS 2018 Workshop on Causality.
Xin Guo, Charles-Albert Lehalle, and Renyuan Xu. Transaction Cost Data Analytics for Corporate Bonds, Submitted, 2019.
Robert Almgren and Renyuan Xu. Smart Order Routing via Statistical Learning, Preprint, 2019.