My research interests include mathematical finance, stochastic analysis, game theory and machine learning.
Zhengqi Wu and Renyuan Xu. Risk-sensitive Reinforcement Learning under General Utility Functions
, Preprint, 2023.
Ben Hambly, Renyuan Xu and Huining Yang. Partially Observable Linear-quadratic Games with Information Corrections
, Preprint, 2023.
Renyuan Xu, Thaleia Zariphopoulou and Luhao Zhang. Reversible and Irreversible Decisions under Costly Information Acquisition
, Preprint, 2023.
Rama Cont, Alain Rossier and Renyuan Xu. Asymptotic Analysis of Deep Residual Networks
, Submitted, 2023.
Yinbin Han, Meisam Razaviyayn and Renyuan Xu. Policy Gradient Finds Global Optimum of Nearly Linear-quadratic Control Systems, Submitted, 2023.
Jingwei Ji, Renyuan Xu and Ruihao Zhu. Risk-Aware Linear Bandits: Theory and Applications in Smart Order Routing, Submitted, 2023.
- Short version accepted by NeurIPS 2022 Workshop on Optimization for Machine Learning.
Rama Cont, Alain Rossier and Renyuan Xu. Convergence and Implicit Regularization Properties of Gradient Descent for Deep Residual Networks, Rreprint, 2022.
Rama Cont, Mihai Cucuringu, Renyuan Xu and Chao Zhang. TailGAN: Nonparametric Scenario Genration for Tail Risk Estimation, Submitted, 2022.
Haotian Gu, Xin Guo, Xiaoli Wei and Renyuan Xu. Mean-Field Multi-Agent Reinforcement Learning: A Decentralized Network Approach, Revision, Mathematics of Operations Research, 2022.
Ben Hambly, Renyuan Xu and Huining Yang. Recent Advances in Reinforcement Learning in Finance, To appear, Mathematical Finance, 2023.
Ben Hambly, Renyuan Xu and Huining Yang. Policy Gradient Methods Find the Nash Equilibrium in N-player General-sum Linear-quadratic Games, To appear, Journal of Machine Learning Research (JMLR), 2023.
Alain-Sam Cohen, Rama Cont, Alain Rossier and Renyuan Xu. Scaling Properties of Deep Residual Networks, International Conference on Machine Learning (ICML), 2021.
Anna Ananova, Rama Cont, and Renyuan Xu. Excursion Risk, Preprint, 2020.
Rama Cont, Artur Kotlicki and Renyuan Xu. Modelling COVID-19 Contagion: Risk Assessment and Targeted Mitigation Policies, 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, Mathematical Finance, 2021.
Ben Hambly, Renyuan Xu and Huining Yang. The Policy Gradient method for the Noisy Linear Quadratic Regulator over a Finite Horizon, SIAM Journal on Control and Optimization, 2021.
Xin Guo, Renyuan Xu and Thaleia Zariphopoulou. Entropy Regularization for Mean Field Games with Learning, Mathematics of Operations Research, 2021.
Haotian Gu, Xin Guo, Xiaoli Wei and Renyuan Xu. Mean-Field Controls with Q-learning for Cooperative MARL: Convergence and Complexity Analysis
, SIAM Journal on Mathematics of Data Science
- Short version accepted by the 3rd ACM International Conference of AI in Finance (ICAIF'22).
- Short version accepted for full presentation at INFORMS 6TH Workshop on Data Science.
Haotian Gu, Xin Guo, Xiaoli Wei and Renyuan Xu. Dynamic Programming Principles for Learning Mean-Field Controls, Operations Research, 2022.
Xin Guo, Anran Hu, Renyuan Xu and Junzi Zhang. General Framework for Learning Mean-Field Games, Accepted, Mathematics of Operations Research, 2021.
Zhengyuan Zhou, Renyuan Xu and Jose Blanchet. Delay-Adaptive Learning in Generalized Linear Contextual Bandits, Accepted, Mathematics of Operations Research, 2021.
Xin Guo, Wenpin Tang, and Renyuan Xu. A Class of Stochastic Games and Stochastic Free Boundary Problems, Accepted, SIAM Journal on Control and Optimization, 2021.
Xin Guo, Charles-Albert Lehalle, and Renyuan Xu. Transaction Cost Data Analytics for Corporate Bonds, Accepted, 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.