Pfeiffer, Laurent; Tan, Xiaolu; Zhou, Yu-Long Duality and approximation of stochastic optimal control problems under expectation constraints. (English) Zbl 1471.93283 SIAM J. Control Optim. 59, No. 5, 3231-3260 (2021). MSC: 93E20 49N15 PDFBibTeX XMLCite \textit{L. Pfeiffer} et al., SIAM J. Control Optim. 59, No. 5, 3231--3260 (2021; Zbl 1471.93283) Full Text: DOI arXiv
Ren, Zhenjie; Tan, Xiaolu On the convergence of monotone schemes for path-dependent PDEs. (English) Zbl 1377.65077 Stochastic Processes Appl. 127, No. 6, 1738-1762 (2017). MSC: 65K10 93E03 93C20 93B40 65C30 60H15 35D40 PDFBibTeX XMLCite \textit{Z. Ren} and \textit{X. Tan}, Stochastic Processes Appl. 127, No. 6, 1738--1762 (2017; Zbl 1377.65077) Full Text: DOI arXiv
Possamaï, Dylan; Tan, Xiaolu Weak approximation of second-order BSDEs. (English) Zbl 1325.60117 Ann. Appl. Probab. 25, No. 5, 2535-2562 (2015). MSC: 60H35 60H10 60G44 60G42 60F05 65C30 93E15 PDFBibTeX XMLCite \textit{D. Possamaï} and \textit{X. Tan}, Ann. Appl. Probab. 25, No. 5, 2535--2562 (2015; Zbl 1325.60117) Full Text: DOI arXiv Euclid
Tan, Xiaolu Discrete-time probabilistic approximation of path-dependent stochastic control problems. (English) Zbl 1304.65160 Ann. Appl. Probab. 24, No. 5, 1803-1834 (2014). Reviewer: Maria Christina Mariani (El Paso) MSC: 65K10 93E20 93E25 65C30 60H15 60H35 65C05 PDFBibTeX XMLCite \textit{X. Tan}, Ann. Appl. Probab. 24, No. 5, 1803--1834 (2014; Zbl 1304.65160) Full Text: DOI arXiv Euclid
Tan, Xiaolu; Touzi, Nizar Optimal transportation under controlled stochastic dynamics. (English) Zbl 1283.60097 Ann. Probab. 41, No. 5, 3201-3240 (2013). Reviewer: Ludger Rüschendorf (Freiburg i. Br.) MSC: 60H30 65K99 65P99 PDFBibTeX XMLCite \textit{X. Tan} and \textit{N. Touzi}, Ann. Probab. 41, No. 5, 3201--3240 (2013; Zbl 1283.60097) Full Text: DOI arXiv Euclid