Welcome to Xin Guo’s Webpage

Professor
Coleman Fung Chair Professor in Financial Modeling
Dept of IEOR, UC Berkeley, CA

Tel: 510-642-3615 begin_of_the_skype_highlighting 510-642-3615 end_of_the_skype_highlighting
Email: xinguo AT ieor DOT berkeley DOT edu

RESUME

RADAResearch Lab

Publications

Archival Journals

X. Guo. Cesàro summability of Fourier series on unitary groups under the critical index, Chinese Annals of Mathematics, 15A(4):386-395, 1994. Also in Chinese Journal of Contemporary Mathematics, 15(3):215-226, 1994.
X. Guo. Information and option pricings, Quantitative Finance, 1(1):38-44, 2001.
X. Guo. An explicit solution to an optimal stopping problem with regime switching, Journal of Applied Probability, 38(2):464-481, 2001.
X. Guo and L. Shepp. Some optimal stopping problems with non-trivial boundaries for pricing exotic options, Journal of Applied Probability, 38(3):647-658, 2001.
X. Guo. When the `bull' meets the `bear'--A first passage time problem for a hidden Markov process, Methodology and Computation in Applied Probability, 3(2):135-143, 2001.
X. Guo. An optimal strategy for sellers in an online auction, ACM Transactions on Internet Technology, 2(1):1-13, 2002.
X. Guo. Some risk management problems for firms with internal competition and debt, Journal of Applied Probability, 39(1):55-69, 2002.
X. Guo. Option pricings in an incomplete market with regime switching,, Proc. of the Steklov Institute of Mathematics, (237), 192-202, 2002.
X. Guo and Q. Zhang. Closed-form solutions for perpetual American put options with regime switching, SIAM Journal on Applied Mathematics, 64(6):2034-2049, 2004.
X. Guo, J. Liu, and X. Y. Zhou. A constrained non-linear regular-singular stochastic control problem, with applications, Stochastic Processes and their Applications, 109(2):167-187, 2004.
X. Guo and H. Pham. Optimal partially reversible investment with entry decision and general production function, Stochastic Processes and their Applications, 115(5):705-736, 2005.
A. Banerjee, X. Guo, and H. Wang. On the optimality of conditional expectation as a Bregman predictor, IEEE Transactions on Information Theory, 51(7):2664-2669, 2005.
X. Guo, J. J. Miao, and E. Morellec. Irreversible investment with regime shifts, Journal of Economic Theory, 122(1):37-59, 2005.
X. Guo and J. Liu. Stopping at the maximum of geometric Brownian motion when signals are received, Journal of Applied Probability, 42(3):826-838, 2005.
X. Guo and Q. Zhang. Optimal selling rules in a regime switching model, IEEE Transactions on Automatic Control, 50(9):1450-1455, 2005.
X. Guo and G. Yin. Wonham filter with random parameters: Rate of convergence and error bounds, IEEE Transactions on Automatic Control, 51(3):460-464, 2006.
X. Guo and Y. Zeng. Intensity process and compensator: A new filtration expansion approach and the Jeulin--Yor formula, The Annals of Applied Probability, 18(1), 120-142, 2008.
X. Guo and P. Tomecek. Connections between singular control and optimal switching, SIAM Journal on Control and Optimization, 47(1), 421-443, 2008.
X. Guo, R. A. Jarrow, and H. Z. Lin. Distressed debt prices and recovery rate estimation, Review of Derivatives Research. 11(3): 171-204. 2008.
X. Guo, R. A. Jarrow, and Y. Zeng. Modeling the recovery rate in a reduced form model, Mathematical Finance. 19(1): 73-97, 2009.
X. Guo, R. A. Jarrow, and Y. Zeng. Credit risk models with incomplete information (earlier version "Information reduction in credit risk models”), Mathematics of Operations Research, 34(2): 320-332, 2009.
X. Guo and P. Tomecek. A class of singular control problems and the smooth fit principle, SIAM Journal on Control and Optimization, 47(6): 3076-3099, 2009.
X. Guo and G. L. Wu. Smooth fit principle for impulse control of multi-dimensional diffusion processes, SIAM Journal on Control and Optimization, 48(2): 594-617, 2009.
M. H. Davis, X. Guo, and G. L. Wu. Impulse control of multidimensional jump diffusions, SIAM Journal on Control and Optimization, 48(8): 5276-5293, 2010.
X. Guo, P. Kaminsky, P. Tomecek, and M. K. Yuen. Optimal spot market inventory strategy in the presence of cost and price risk, Mathematical Methods for Operations Research,73:109-137, 2011.
I. O. Filiz, X. Guo, J. Morton, and B. Sturmfels. Graphical models for correlated defaults, Mathematical Finance, 22(4):621-644, 2012.
X. Guo and M. Zervos. π options, Stochastic Processes and Their Applications, 120:1033-1059, 2010.
Y-S. A. Chen and X. Guo. Impulse control of multidimensional jump diffusions in finite time horizon, SIAM Journal on Control and Optimization, 51(3):2638-2663, 2013.
X. Guo, R. A. Jarrow, and A. de Larrard. Economic default time and the arcsine law, Journal of Financial Engineering, DOI: http://dx.doi.org/10.1142/S2345768614500251, 2014.
X. Guo and M. Zervos. Optimal execution with multiplicative price impact, SIAM Journal on Financial Mathematics, 6(1), 281-306, 2015.
X. Guo, A. de Larrard and Z. Ruan. Optimal placement in a limit order book, an analytical approach, Mathematics and Financial Economics, DOI: 10.1007/s11579-016- 0177-5, 2016.
X. Guo, C. Pan and S. G. Peng. Martingle problem under nonlinear expectations, Mathematics and Financial Economics, 2017.
X. Guo, C. Pan. Ito's calculus in a sublinear expectation space expectations via regularity of PDEs and rough path, Stochastic Processes and their Applications, DOI: 10.1016/j.spa.2017.08.008, 2017.
X. Guo and R. Y. Xu. Stochastic games for fuel follower problem: N versus mean field game, SIAM Journal on Control and Optimization, 57(1), 659–692, 2019.
M. Basei, H. Y. Cao and X. Guo Nonzero-sum stochastic games and mean-field games with impulse controls, Mathematics of Operations Research (to appear), 2020, arXiv:1901.08085.
H. Y. Cao and X. Guo MFGs for partially reversible investment, Stochastic Processes and their Applications (to appear), 2020, arXiv:1908.10916.

Refereed Conference and Symposia Proceedings

Q. Yu, S. Gong, and X. Guo. Schwarzian derivative of holomorphic mappings, Singularities and complex geometry (Q. Lu, S. S. T. Yau, and A. Libgober, eds.), AMS/IP Studies in Advanced Mathematics, 5:317-323, 1997.
X. Guo. A regime switching model: Statistical estimation, empirical evidence, and change point detection, Proc. SIAM-AMS-IMA Research Conference in Mathematical Finance, 139-155, 2004.
A. Banerjee, X. Guo, and H. Wang. Optimal Bregman prediction and Jensen's equality, Proc. IEEE International Symposium on Information Theory, 168, 2004.
X. Guo, Y. Lu, and M. S. Squillante. Optimal probabilistic routing in distributed parallel queues, SIGMETRICS Performance Evaluation Review, 32(2):53-54, 2004.
X. Guo and P. Tomecek. Solving singular control from optimal switching, Special issue for Asian Pacific Financial Market, 2008.
X. Guo and P. Tomecek. Connecting singular controls with optimal switching. CDC 2008.
T. Y. Lin, Z. Y. Hu and X. Guo. Sparsemax and relaxed Wasserstein for topic sparsity, Proceedings of the Twelfth ACM International Conference on Web Search and Data Mining, Pages 141-149, 2019.
X. Guo, A. R. Hu, R. Y. Xu, and J. Z. Zhang. Learning mean-field games, NeurIPS 2019.
X. Guo, F. M. Tang, and W. P. Tang. Consistency of the Buckley-Osthus model and the hierarchical preferential attachment model, ICML, 2020, arXiv:1910.07698.
X. Guo, J. Hong, D. Lin, and N. Yang. Relaxed Wasserstein with applications to GANs, IEEE-ICASSP, 2021.

Preprints

X. Guo, R. Y. Xu, and T. Zariphopoulou. Entropy regularization for MFGs with learning, Revision, 2021, arXiv:2010.00145.
R. Cont, X. Guo, and R. Y. Xu. Interbank lending with benchmark rates: Pareto optima for a class of singular control games, Revision, 2021, SSRN 3745809.
H. T. Gu, X. Guo, X. L. Wei, and R. Y. Xu. Dynamic programming principle for MFCs with learning, Revision, 2021, arXiv: 1911.07314.
X. Guo, J. Q. Han, M. Tajrobehkar, and W. P. Tang. Perturbed gradient descent with occupation time, Submitted, 2021, arXiv:2005.04507.
M. Basei, X. Guo, A.R. Hu, and Y. F. Zhang. Linear quadratic reinforcement learning: sublinear regret in the episodic continuous-time framework, Revision, 2020, arXiv:2006.15316.
Y. Kusuke, G. Wang, Y. Ji, Q. Zou , R. Zhou and X. Guo. Early detection of ROP in retinal fundus images via CNN, Submitted, 2021, arXiv:2006.06968.
H. Y. Cao X. Guo and M. Laurière. Connecting GANs, MFGs, and OT, Revision, 2021, arXiv:2002.04112.
H. Y. Cao and X. Guo. Approximation and convergence of GANs training: an SDE approach, Submitted, 2020, arXiv:2006.02047.
X. Guo, H. Pham and X. L. Wei. Ito’s Lemma for flows of measures on semimartingales, Submitted, 2021, arXiv:2010.05288.
H. T. Gu, X. Guo, X. L. Wei and R. Y. Xu. Mean-Field controls with Q-learning for cooperative MARL: convergence and complexity analysis, Submitted, 2021, arXiv:2002.04131.
X. Guo, A. R. Hu, and Y. F. Zhang. Reinforcement learning for linear-convex models with jumps via stability analysis of feedback controls, Submitted, 2021, arXiv:2104.09311.
H. T. Gu and X. Guo. An SDE approach to adversarial learning, with convergence and robustness analysis, Submitted, 2021.
X. Guo and O. Mounjid. Convergence of GANs training, a game and stochastic control approach, Submitted, 2021.
X. Guo, C-A. Lehalle, and R. Y. Xu. Transaction cost analytics for corporate bonds, Revision, 2019, arXiv:1903.09140.
X. Guo, W. P. Tang, and R. Y. Xu. A class of stochastic games and moving free boundary problems, Revision, 2019, arXiv:1809.03459.
X. Guo, A. R. Hu, R. Y. Xu, and J. Z. Zhang. Consistency and computation of regularized MLEs for multivariate Hawkes processes, Submitted, 2018, DOI: 10.13140/RG.2.2.25998.20803.
X. Guo and J. S. Lee. Stochastic games and mean field games with singular controls, Permanent Preprint, 2019, arXiv:1703.04437.
X. Guo, Z. Ruan, and L. J. Zhu. Dynamics of order positions and related queues in a limit order book, Permanent Preprint, 2016, arXiv:1505.04810.
X. Guo, C. Pan and S. G. Peng. A note on G-optimal stopping problems, Permanent Preprint, 2016, arXiv:1211.0598.
X. Guo, R. Jarrow, and C. Menn. A note on Lando's formula and conditional independence, Permanent Preprint.

Books

X. Guo, T.L. Lai, H. Shek and S.P. Wong. Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization, Chapman and Hall, 2016.

Book Chapters

X. Guo. and H. Y. Cao. Generative Adversarial Network: Some Analytical Perspectives, Handbook of Machine Chapters Learning and Applications to Mathematical Finance, 2021, to appear.
X. Guo. Optimal placement in a limit order book, in INFORMS TutORials in Operations Research, 2013.
A. Chakrabarty and X. Guo. Optimal stopping times with different information levels and with time uncertainty, Chapter in Stochastic Analysis and its Application to Mathematical Finance, World Scientific Publishers, 2011.
X. Guo. Some lookback option pricing problems, Chapter in Recent Developments in Mathematical Finance (J. Young, ed.), 39-49, World Scientific Publishers, 2002.
X. Guo and L. Shepp. Option pricing in a world with arbitrage, Chapter in Stochastic Optimization: Algorithms and Applications ( S. Ursayev and M. Pardalos, eds.), 87-96, Kluwer Academic Publishers, 2000.