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, 2020, arXiv:1908.10916.
- 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.
- 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.
- H. Y. Cao and X. Guo. SDE approximations of GANs training and its long-run behavior. Arxiv 2006.02047. Minor revision for Journal of Applied Probability, 2022.
- 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. To appear in SICON, 2022.
- M. Basei, X. Guo, A. R. Hu, and Y.F. Zhang. Linear quadratic reinforcement learning: logarithmic regret in the episodic continuous-time framework. Arxiv 3247127. To appear in JMLR, 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. 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, 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 and O. Mounjid. GANs training, a game and stochastic control approach. Submitted, 2022. Revised for Mathematical Finance. 2023.
- X. Guo, H. Pham, and X. L. Wei. Ito's Lemma for flows of measures on semi-martingales. Arxiv 2010.05288. To appear in Stochastic Processes and their Applications. 2023.
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.
- 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.
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.