# 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.