Publications

Preprints

H. Y. Cao, X. Guo, and G. Wang. ``Meta-learning with GANs for anomaly detection, with deployment in high-speed rail system'.' Submitted, 2024. Arxiv 2202.05795
Y. Kusuke, B. Wang, J. Yi, R. Zhou, Q. Zou, X. Guo. ``Transfer learning for retinal vascular disease detection: a pilot study with diabetic retinopathy and retinopathy of prematurity.'' Submitted, 2024. Arxiv 2006.06968.
H. T. Gu, X. Guo, and X. Y. Li. ``Adversarial Training for Gradient Descent: Analysis Through its Continuous-time Approximation." Submitted, 2023.
X. Guo and Y. F. Zhang. ``Towards an analytical framework for potential games.'' Submitted. 2023.
H. Y. Cao, H. T. Gu, X. Guo, and M. Rosenbaum. ``Risk of transfer learning and its applications in finance.'' Submitted. 2023.
X. Guo. X. Y. Li, and R. Y. Xu. ``Fast policy learning for Linear Quadratic Control with entropy regularization.'' Submitted. 2023.
X. Guo, L. H. Li, S. Nabih, R. Salhab, and J. Z. Zhang. ``Balancing social optimality and mean-field equilibria with application to ad auction bidding.'' Submitted. 2024
X. Guo, R. X. Zhang, and C. Y. Zhao. ``On consistency of feature selections in Lasso with signatures.'' Submitted. 2024.
X. Guo, X. Y. Li, and Y. F Zhang. ``An alpha-potential game framework for N-player games". Submitted. 2024.
X. Guo, X. Y. Li, C. Maheshwari, S. Sastry, and M. X. Wu. ``Markov $\alpha$-potential games." Submitted. 2024.
H. Y. Cao, H. T. Gu, X. Guo. ``Feasibility of transfer learning: a mathematical framework.'' Submitted. 2024.
X. Guo, A. R. Hu, and J. C. Zhang. ``Optimization frameworks and sensitivity analysis of Stackelberg mean-field games.'' Preprint, 2023.

Archival Journals

2021~2024

X. Guo, J. Q. Han, M. Tajrobehkar, and W. P. Tang. Perturbed gradient descent with occupation time, Journal of Computational Mathematics and Data Science. 2024.
H. T. Gu, X. Guo, X. L. Wei, R. Y. Xu. Multi-agent reinforcement learning, a decentralized network approach. MOR. 2024.
H. Y. Cao X. Guo and M. Laurière. Connecting GANs, MFGs, and OT, Arxiv 2002.04112. SIAM Applied Math. 2024.
X. Guo, A.R. Hu, and J.Z. Zhang. MF-OMO: an optimization framework for mean- field games. SICON, 2023.
X. Guo and O. Mounjid. GANs training, a game and stochastic control approach. Mathematical Finance. 2023
X. Guo, H. Pham, and X. L. Wei. Ito's Lemma for flows of measures on semi-martingales. Arxiv 2010.05288. Stochastic Processes and their Applications. 2023.
H. Y. Cao and X. Guo. SDE approximations of GANs training and its long-run behavior. Arxiv 2006.02047. To appear in Journal of Applied Probability, 2023.
H. Y. Cao, X. Guo, and J. S. Lee. Approximation of N-player stochastic games with singular controls by mean field games. Numerical Algebra, Optimization and Control, 2023.
X. Guo, A. R. Hu, and Y. F. Zhang. Reinforcement learning for linear-convex models with jumps via stability analysis of feedback controls. ArXiv: 2104.09311. 61 (2) SICON, 2023.
M. Basei, X. Guo, A. R. Hu, and Y.F. Zhang. Logarithmic regret for episodic continuous-time linear-quadratic reinforcement learning over a finite-time. Arxiv 3247127. JMLR, 1-34, 22, 2022.
X. Guo, A. R. Hu, R. Y. Xu, and J. Z. Zhang. A general framework for learning mean-field games. Mathematics of Operations Research, 2022.
H. T. Gu, X. Guo, X. L. Wei, R. Y. Xu. Dynamic programming principle for mean field controls with learning. Operations Research, 2022. Arxiv: 1911.07314.
X. Guo, C. Lehalle, and R. Y. Xu. Transaction cost analysis for corporate bonds. Quantitative Finance, 2022.
X. Guo, W. P. Tang, and R. Y. Xu. A class of stochastic games and moving free boundary problems. SIAM Journal on Control and Optimization, 2022. Arxiv:1809.03459.
X. Guo, R. Y. Xu, and T. Zariphopoulou. Entropy regularizations for mean field games with learning. Mathematics of Operations Research, 2021. ArXiv 2010.00145 and SSRN 3702956.
H. T. Gu, X. Guo, X.L. Wei, and R. X. Xu, Mean-Field controls with Q-learning for cooperative MARL: convergence and complexity analysis. SIAM Journal on Mathematics of Data Science, 2021. Arxiv 2002.04131.
R. Cont, X. Guo and R. Y. Xu. Interbank lending with benchmark rates: Pareto optima for a class of singular control games. Mathematical Finance, 2021. SSRN 3745809.
B. S. Li, C. Wu, X. Guo, et al. Ultrasensitive detection of circulating tumour DNA via deep methylation sequencing aided by machine learning. Nature, Biomedical Engineering, 2021.

2011~2020

H. Y. Cao and X. Guo MFGs for partially reversible investment, Stochastic Processes and their Applications, 2020, arXiv:1908.10916.
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.
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.
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, C. Pan and S. G. Peng. Martingle problem under nonlinear expectations, Mathematics and Financial Economics, 2017.
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 and M. Zervos. Optimal execution with multiplicative price impact, SIAM Journal on Financial Mathematics, 6(1), 281-306, 2015.
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.
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.
I. O. Filiz, X. Guo, J. Morton, and B. Sturmfels. Graphical models for correlated defaults, Mathematical Finance, 22(4):621-644, 2012.
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.

1994~2010

X. Guo and M. Zervos. π options, Stochastic Processes and Their Applications, 120:1033-1059, 2010.
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 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.
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, R. A. Jarrow, and Y. Zeng. Modeling the recovery rate in a reduced form model, Mathematical Finance. 19(1): 73-97, 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, 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 and P. Tomecek. Connections between singular control and optimal switching, SIAM Journal on Control and Optimization, 47(1), 421-443, 2008.
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 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 Q. Zhang. Optimal selling rules in a regime switching model, IEEE Transactions on Automatic Control, 50(9):1450-1455, 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, J. J. Miao, and E. Morellec. Irreversible investment with regime shifts, Journal of Economic Theory, 122(1):37-59, 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 and H. Pham. Optimal partially reversible investment with entry decision and general production function, Stochastic Processes and their Applications, 115(5):705-736, 2005.
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 Q. Zhang. Closed-form solutions for perpetual American put options with regime switching, SIAM Journal on Applied Mathematics, 64(6):2034-2049, 2004.
A. Banerjee, X. Guo, and H. Wang. Optimal Bregman prediction and Jensen’s equality, Proc. IEEE International Symposium on Information Theory (ISIT), 168, 2004.
X. Guo. Option pricings in an incomplete market with regime switching,, Proc. of the Steklov Institute of Mathematics, (237), 192-202, 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. An optimal strategy for sellers in an online auction, ACM Transactions on Internet Technology, 2(1):1-13, 2002.
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 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. An explicit solution to an optimal stopping problem with regime switching, Journal of Applied Probability, 38(2):464-481, 2001.
X. Guo. Information and option pricings, Quantitative Finance, 1(1):38-44, 2001.
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.

Refereed Conference and Symposia Proceedings

H. T. Gu, X. Guo, T. Jacobs, P. Kaminsky, and X. Y. Li. Transportation marketplace rate forecast using signature transform. KDD 2024.
X. Guo, A. R. Hu, and J. Z. Zhang. Theoretical guarantees of fictitious discount algorithms for episodic reinforcement learning and global convergence of policy gradient methods. AAAI 2022.
X. Guo, J. Hong, D. Lin, and N. Yang. Relaxed Wasserstein with applications to GANs, IEEE-ICASSP, 2021.
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, A. R. Hu, R. Y. Xu, and J. Z. Zhang. Learning mean-field games, NeurIPS 2019.
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 and P. Tomecek. Connecting singular controls with optimal switching. CDC 2008.
X. Guo and P. Tomecek. Solving singular control from optimal switching, Special issue for Asian Pacific Financial Market, 2008.
X. Guo, Y. Lu, and M. S. Squillante. Optimal probabilistic routing in distributed parallel queues, SIGMETRICS Performance Evaluation Review, 32(2):53-54, 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. A regime switching model: Statistical estimation, empirical evidence, and change point detection, Proc. SIAM-AMS-IMA Research Conference in Mathematical Finance, 139-155, 2004.
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.

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, Cambridge Press, 2022.
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.