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.
  • Machine Learning

  • 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.

    Market Microstructure

  • 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.