Edit Profile (opens in new tab) Guo, Xin Co-Author Distance Author ID: guo.xin Published as: Guo, Xin; Guo, X. Homepage: https://xinguo.ieor.berkeley.edu/ External Links: ORCID · Google Scholar · dblp Documents Indexed: 69 Publications since 1994, including 17 Additional arXiv Preprints Co-Authors: 51 Co-Authors with 58 Joint Publications 1,924 Co-Co-Authors all top 5 Co-Authors 8 single-authored 12 Xu, Renyuan 8 Hu, Anran 6 Zhang, Junzi 5 Cao, Haoyang 4 Gu, Haotian 4 Jarrow, Robert Alan 4 Tomecek, Pascal I. 4 Wei, Xiaoli 3 Li, Xinyu 3 Pan, Chen 3 Zeng, Yan 3 Zhang, Yufei 2 Basei, Matteo 2 de Larrard, Adrien 2 Lee, Joonseok 2 Liu, Jun 2 Peng, Shige 2 Pham, Huyên 2 Shepp, Lawrence Alan 2 Tang, Wenpin 2 Wu, Guoliang 2 Zervos, Mihail 2 Zhang, Qing 1 Banerjee, Arindam 1 Chakrabarti, Arijit 1 Chen, Yann-Shin Aaron 1 Cont, Rama 1 Davis, Mark Herbert Ainsworth 1 Filiz, Ismail Onur 1 Gong, Sheng 1 Guo, Xianping 1 Han, Jiequn 1 Kaminsky, Philip M. 1 Lehalle, Charles-Albert 1 Li, Lihong 1 Li, Yanyun 1 Lin, Haizhi 1 Maheshwari, Chinmay 1 Miao, Jianjun 1 Morellec, Erwan 1 Morton, Jason 1 Mounjid, Othmane 1 Nabi, Sareh 1 Ruan, Zhao 1 Salhab, Rabih 1 Sastry, S. Shankar 1 Sturmfels, Bernd 1 Tajrobehkar, Mahan 1 Wang, Hui 1 Wu, Manxi 1 Yu, Qihuang 1 Zariphopoulou, Thaleia 1 Zhang, Jiacheng 1 Zhou, Xunyu all top 5 Serials 9 SIAM Journal on Control and Optimization 6 Stochastic Processes and their Applications 4 Journal of Applied Probability 4 Mathematics of Operations Research 4 Mathematical Finance 2 IEEE Transactions on Automatic Control 2 Quantitative Finance 2 Mathematics and Financial Economics 1 IEEE Transactions on Information Theory 1 Journal of Economic Theory 1 Operations Research 1 Chinese Annals of Mathematics. Series A 1 The Annals of Applied Probability 1 SIAM Journal on Applied Mathematics 1 Mathematical Methods of Operations Research 1 Methodology and Computing in Applied Probability 1 Asia-Pacific Financial Markets 1 Review of Derivatives Research 1 SIAM Journal on Financial Mathematics 1 Numerical Algebra, Control and Optimization 1 SIAM Journal on Mathematics of Data Science all top 5 Fields 36 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 25 Probability theory and stochastic processes (60-XX) 18 Systems theory; control (93-XX) 15 Calculus of variations and optimal control; optimization (49-XX) 10 Operations research, mathematical programming (90-XX) 6 Statistics (62-XX) 5 Computer science (68-XX) 2 Partial differential equations (35-XX) 2 Information and communication theory, circuits (94-XX) 1 Functions of a complex variable (30-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Sequences, series, summability (40-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 39 Publications have been cited 705 times in 534 Documents Cited by ▼ Year ▼ Closed-form solutions for perpetual American put options with regime switching. Zbl 1061.90082 Guo, Xin; Zhang, Qing 87 2004 Information and option pricings. Zbl 1405.91619 Guo, X. 85 2001 An explicit solution to an optimal stopping problem with regime switching. Zbl 0988.60038 Guo, Xin 58 2001 Optimal selling rules in a regime switching model. Zbl 1365.60062 Guo, X.; Zhang, Q. 40 2005 On the optimality of conditional expectation as a Bregman predictor. Zbl 1284.94025 Banerjee, Arindam; Guo, Xin; Wang, Hui 39 2005 Impulse control of multidimensional jump diffusions. Zbl 1208.49045 Davis, Mark H. A.; Guo, Xin; Wu, Guoliang 35 2010 Irreversible investment with regime shifts. Zbl 1118.91049 Guo, Xin; Miao, Jianjun; Morellec, Erwan 31 2005 Optimal partially reversible investment with entry decision and general production function. Zbl 1077.60048 Guo, Xin; Pham, Huyên 30 2005 Some optimal stopping problems with nontrivial boundaries for pricing exotic options. Zbl 1026.91048 Guo, Xin; Shepp, Larry 28 2001 Connections between singular control and optimal switching. Zbl 1157.93042 Guo, Xin; Tomecek, Pascal 25 2008 Optimal execution with multiplicative price impact. Zbl 1310.93083 Guo, Xin; Zervos, Mihail 21 2015 Credit risk models with incomplete information. Zbl 1213.91157 Guo, Xin; Jarrow, Robert A.; Zeng, Yan 20 2009 Smooth fit principle for impulse control of multidimensional diffusion processes. Zbl 1194.49016 Guo, Xin; Wu, Guoliang 20 2009 A constrained non-linear regular-singular stochastic control problem, with applications. Zbl 1075.93045 Guo, Xin; Liu, Jun; Zhou, Xun Yu 19 2004 \(\pi \) options. Zbl 1200.91290 Guo, Xin; Zervos, Mihail 18 2010 Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem. Zbl 1145.60037 Guo, Xin; Zeng, Yan 15 2008 Stochastic games for fuel follower problem: \(N\) versus mean field game. Zbl 1420.91012 Guo, Xin; Xu, Renyuan 14 2019 Impulse control of multidimensional jump diffusions in finite time horizon. Zbl 1275.49062 Chen, Yann-Shin Aaron; Guo, Xin 14 2013 Optimal spot market inventory strategies in the presence of cost and price risk. Zbl 1209.49055 Guo, Xin; Kaminsky, P.; Tomecek, P.; Yuen, M. 12 2011 When the “bull” meets the “bear”: A first passage time problem for a hidden Markov process. Zbl 0997.60072 Guo, Xin 10 2001 A class of singular control problems and the smooth fit principle. Zbl 1176.93082 Guo, Xin; Tomecek, Pascal 9 2009 Modeling the recovery rate in a reduced form model. Zbl 1155.91383 Guo, Xin; Jarrow, Robert A.; Zeng, Yan 8 2009 Stopping at the maximum of geometric Brownian motion when signals are received. Zbl 1094.60030 Guo, Xin; Liu, J. 8 2005 Optimal placement in a limit order book: an analytical approach. Zbl 1409.91234 Guo, Xin; de Larrard, Adrien; Ruan, Zhao 8 2017 Some risk management problems for firms with internal competition and debt. Zbl 1018.93031 Guo, Xin 7 2002 Distressed debt prices and recovery rate estimation. Zbl 1165.91370 Guo, Xin; Jarrow, Robert A.; Lin, Haizhi 6 2008 Martingale problem under nonlinear expectations. Zbl 1391.60094 Guo, Xin; Pan, Chen; Peng, Shige 5 2018 Mean-field controls with Q-learning for cooperative MARL: convergence and complexity analysis. Zbl 1479.49088 Gu, Haotian; Guo, Xin; Wei, Xiaoli; Xu, Renyuan 5 2021 Nonzero-sum stochastic games and mean-field games with impulse controls. Zbl 1491.91016 Basei, Matteo; Cao, Haoyang; Guo, Xin 4 2022 Entropy regularization for mean field games with learning. Zbl 1505.91061 Guo, Xin; Xu, Renyuan; Zariphopoulou, Thaleia 4 2022 The Wonham filter with random parameters: rate of convergence and error bounds. Zbl 1366.93656 Guo, X.; Yin, G. 3 2006 Itô’s formula for flows of measures on semimartingales. Zbl 1509.60124 Guo, Xin; Pham, Huyên; Wei, Xiaoli 3 2023 Graphical models for correlated defaults. Zbl 1270.91092 Filiz, Ismail Onur; Guo, Xin; Morton, Jason; Sturmfels, Bernd 3 2012 Interbank lending with benchmark rates: Pareto optima for a class of singular control games. Zbl 1522.91297 Cont, Rama; Guo, Xin; Xu, Renyuan 3 2021 Optimal stopping times with different information levels and with time uncertainty. Zbl 1303.60031 Chakrabarty, Arijit; Guo, Xin 2 2012 Approximation of \(N\)-player stochastic games with singular controls by mean field games. Zbl 1518.49044 Cao, Haoyang; Guo, Xin; Lee, Joon Seok 2 2023 A class of stochastic games and moving free boundary problems. Zbl 1484.91033 Guo, Xin; Tang, Wenpin; Xu, Renyuan 2 2022 Solving singular control from optimal switching. Zbl 1143.93025 Guo, Xin; Tomecek, Pascal 1 2008 MFGs for partially reversible investment. Zbl 1492.91321 Cao, Haoyang; Guo, Xin 1 2022 Itô’s formula for flows of measures on semimartingales. Zbl 1509.60124 Guo, Xin; Pham, Huyên; Wei, Xiaoli 3 2023 Approximation of \(N\)-player stochastic games with singular controls by mean field games. Zbl 1518.49044 Cao, Haoyang; Guo, Xin; Lee, Joon Seok 2 2023 Nonzero-sum stochastic games and mean-field games with impulse controls. Zbl 1491.91016 Basei, Matteo; Cao, Haoyang; Guo, Xin 4 2022 Entropy regularization for mean field games with learning. Zbl 1505.91061 Guo, Xin; Xu, Renyuan; Zariphopoulou, Thaleia 4 2022 A class of stochastic games and moving free boundary problems. Zbl 1484.91033 Guo, Xin; Tang, Wenpin; Xu, Renyuan 2 2022 MFGs for partially reversible investment. Zbl 1492.91321 Cao, Haoyang; Guo, Xin 1 2022 Mean-field controls with Q-learning for cooperative MARL: convergence and complexity analysis. Zbl 1479.49088 Gu, Haotian; Guo, Xin; Wei, Xiaoli; Xu, Renyuan 5 2021 Interbank lending with benchmark rates: Pareto optima for a class of singular control games. Zbl 1522.91297 Cont, Rama; Guo, Xin; Xu, Renyuan 3 2021 Stochastic games for fuel follower problem: \(N\) versus mean field game. Zbl 1420.91012 Guo, Xin; Xu, Renyuan 14 2019 Martingale problem under nonlinear expectations. Zbl 1391.60094 Guo, Xin; Pan, Chen; Peng, Shige 5 2018 Optimal placement in a limit order book: an analytical approach. Zbl 1409.91234 Guo, Xin; de Larrard, Adrien; Ruan, Zhao 8 2017 Optimal execution with multiplicative price impact. Zbl 1310.93083 Guo, Xin; Zervos, Mihail 21 2015 Impulse control of multidimensional jump diffusions in finite time horizon. Zbl 1275.49062 Chen, Yann-Shin Aaron; Guo, Xin 14 2013 Graphical models for correlated defaults. Zbl 1270.91092 Filiz, Ismail Onur; Guo, Xin; Morton, Jason; Sturmfels, Bernd 3 2012 Optimal stopping times with different information levels and with time uncertainty. Zbl 1303.60031 Chakrabarty, Arijit; Guo, Xin 2 2012 Optimal spot market inventory strategies in the presence of cost and price risk. Zbl 1209.49055 Guo, Xin; Kaminsky, P.; Tomecek, P.; Yuen, M. 12 2011 Impulse control of multidimensional jump diffusions. Zbl 1208.49045 Davis, Mark H. A.; Guo, Xin; Wu, Guoliang 35 2010 \(\pi \) options. Zbl 1200.91290 Guo, Xin; Zervos, Mihail 18 2010 Credit risk models with incomplete information. Zbl 1213.91157 Guo, Xin; Jarrow, Robert A.; Zeng, Yan 20 2009 Smooth fit principle for impulse control of multidimensional diffusion processes. Zbl 1194.49016 Guo, Xin; Wu, Guoliang 20 2009 A class of singular control problems and the smooth fit principle. Zbl 1176.93082 Guo, Xin; Tomecek, Pascal 9 2009 Modeling the recovery rate in a reduced form model. Zbl 1155.91383 Guo, Xin; Jarrow, Robert A.; Zeng, Yan 8 2009 Connections between singular control and optimal switching. Zbl 1157.93042 Guo, Xin; Tomecek, Pascal 25 2008 Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem. Zbl 1145.60037 Guo, Xin; Zeng, Yan 15 2008 Distressed debt prices and recovery rate estimation. Zbl 1165.91370 Guo, Xin; Jarrow, Robert A.; Lin, Haizhi 6 2008 Solving singular control from optimal switching. Zbl 1143.93025 Guo, Xin; Tomecek, Pascal 1 2008 The Wonham filter with random parameters: rate of convergence and error bounds. Zbl 1366.93656 Guo, X.; Yin, G. 3 2006 Optimal selling rules in a regime switching model. Zbl 1365.60062 Guo, X.; Zhang, Q. 40 2005 On the optimality of conditional expectation as a Bregman predictor. Zbl 1284.94025 Banerjee, Arindam; Guo, Xin; Wang, Hui 39 2005 Irreversible investment with regime shifts. Zbl 1118.91049 Guo, Xin; Miao, Jianjun; Morellec, Erwan 31 2005 Optimal partially reversible investment with entry decision and general production function. Zbl 1077.60048 Guo, Xin; Pham, Huyên 30 2005 Stopping at the maximum of geometric Brownian motion when signals are received. Zbl 1094.60030 Guo, Xin; Liu, J. 8 2005 Closed-form solutions for perpetual American put options with regime switching. Zbl 1061.90082 Guo, Xin; Zhang, Qing 87 2004 A constrained non-linear regular-singular stochastic control problem, with applications. Zbl 1075.93045 Guo, Xin; Liu, Jun; Zhou, Xun Yu 19 2004 Some risk management problems for firms with internal competition and debt. Zbl 1018.93031 Guo, Xin 7 2002 Information and option pricings. Zbl 1405.91619 Guo, X. 85 2001 An explicit solution to an optimal stopping problem with regime switching. Zbl 0988.60038 Guo, Xin 58 2001 Some optimal stopping problems with nontrivial boundaries for pricing exotic options. Zbl 1026.91048 Guo, Xin; Shepp, Larry 28 2001 When the “bull” meets the “bear”: A first passage time problem for a hidden Markov process. Zbl 0997.60072 Guo, Xin 10 2001 all cited Publications top 5 cited Publications all top 5 Cited by 805 Authors 26 Siu, Tak Kuen 22 Zhang, Qing 16 Ferrari, Giorgio 15 Guo, Xin 14 Gapeev, Pavel V. 10 Bonotto, Everaldo M. 10 Elliott, Robert James 9 De Angelis, Tiziano 8 Shao, Jinghai 8 Yin, Gang George 8 Zervos, Mihail 6 Tie, Jingzhi 6 Yang, Hailiang 6 Yoshioka, Hidekazu 6 Yuen, Kam Chuen 6 Zhu, Songping 5 Chan, Leunglung 5 Ching, Wai-Ki 5 Dong, Yinghui 5 Hieber, Peter 5 Lempa, Jukka 5 Rodosthenous, Neofytos 5 Yaegashi, Yuta 5 Zhu, Jinxia 4 Biagini, Francesca 4 Coculescu, Delia 4 Ekström, Erik 4 Jeanblanc, Monique 4 Kort, Peter M. 4 Lv, Siyu 4 Ly Vath, Vathana 4 Moreno-Franco, Harold A. 4 Pemy, Moustapha 4 Tang, Wenpin 4 Tong, Jinying 4 Vargiolu, Tiziano 4 Villeneuve, Stéphane 4 Wang, Guojing 4 Yi, Fahuai 4 Zhang, Zhenzhong 3 Bortolan, Matheus Cheque 3 Cadenillas, Abel 3 Campi, Luciano 3 Cao, Haoyang 3 Caraballo Garrido, Tomás 3 Cont, Rama 3 Dai, Min 3 El Asri, Brahim 3 Fard, Farzad Alavi 3 Federico, Salvatore 3 Fischer, Aurélie 3 Jarrow, Robert Alan 3 Jiao, Ying 3 Jin, Zhuo 3 Johnson, Timothy C. 3 Kim, Bara 3 Kim, Geonwoo 3 Kim, Jerim 3 Li, Libo 3 Liu, Jingzhen 3 Liu, Ruihua 3 Lu, Xiaoping 3 Pistorius, Martijn R. 3 Protter, Philip Elliott 3 Reisinger, Christoph 3 Riedel, Frank 3 Saarinen, Harto 3 Seifried, Frank Thomas 3 Shen, Yang 3 Sotomayor, Luz Rocío 3 Su, Xiaonan 3 Wang, Wei 3 Xu, Renyuan 3 Zhang, Hanqin 3 Zheng, Harry H. 3 Zhu, Chao 2 Agram, Nacira 2 Al Motairi, Hessah 2 Azcue, Pablo 2 Azimzadeh, Parsiad 2 Basei, Matteo 2 Becherer, Dirk 2 Belak, Christoph 2 Bian, Baojun 2 Bilarev, Todor 2 Boyarchenko, Svetlana I. 2 Brécheteau, Claire 2 Capponi, Agostino 2 Carmona, René A. 2 Chen, Mi 2 Chen, Xiaoshan 2 Chevalier-Roignant, Benoît 2 Chevalier, Etienne 2 Collegari, Rodolfo 2 Décamps, Jean-Paul 2 Demuner, Daniela Paula 2 Dianetti, Jodi 2 Egami, Masahiko 2 Foroush Bastani, Ali 2 Frentrup, Peter ...and 705 more Authors all top 5 Cited in 146 Serials 29 SIAM Journal on Control and Optimization 23 Stochastic Processes and their Applications 20 Insurance Mathematics & Economics 19 Finance and Stochastics 16 Applied Mathematics and Optimization 16 Quantitative Finance 14 The Annals of Applied Probability 13 Journal of Computational and Applied Mathematics 13 Journal of Economic Dynamics & Control 13 Mathematical Finance 12 Automatica 12 International Journal of Theoretical and Applied Finance 12 Stochastics 10 Mathematics and Financial Economics 9 Journal of Applied Probability 9 Methodology and Computing in Applied Probability 8 Journal of Optimization Theory and Applications 7 Communications in Statistics. Theory and Methods 7 International Journal of Computer Mathematics 7 Mathematical Methods of Operations Research 7 Asia-Pacific Financial Markets 7 Journal of Industrial and Management Optimization 6 Journal of Mathematical Analysis and Applications 6 Mathematics of Operations Research 6 Statistics & Probability Letters 6 Annals of Operations Research 6 Mathematical Control and Related Fields 5 Advances in Applied Probability 5 Journal of Economic Theory 5 Operations Research Letters 5 European Journal of Operational Research 5 Applied Mathematical Finance 5 SIAM Journal on Financial Mathematics 4 Physica A 4 Stochastic Analysis and Applications 4 Acta Applicandae Mathematicae 4 North American Actuarial Journal 4 Nonlinear Analysis. Hybrid Systems 4 Electronic Journal of Statistics 3 Computers & Mathematics with Applications 3 Applied Mathematics and Computation 3 Journal of Differential Equations 3 Journal of Mathematical Economics 3 Mathematics and Computers in Simulation 3 Operations Research 3 Acta Mathematicae Applicatae Sinica. English Series 3 Asia-Pacific Journal of Operational Research 3 Machine Learning 3 Abstract and Applied Analysis 3 Discrete Dynamics in Nature and Society 3 The ANZIAM Journal 3 Journal of Systems Science and Complexity 3 Decisions in Economics and Finance 3 Review of Derivatives Research 3 Annals of Finance 2 Lithuanian Mathematical Journal 2 The Annals of Statistics 2 Fuzzy Sets and Systems 2 Numerical Methods for Partial Differential Equations 2 Journal of Scientific Computing 2 Journal of Applied Mathematics and Stochastic Analysis 2 Economics Letters 2 Complexity 2 Electronic Journal of Probability 2 Bernoulli 2 Mathematical Problems in Engineering 2 Communications in Nonlinear Science and Numerical Simulation 2 Discrete and Continuous Dynamical Systems. Series B 2 Stochastic Models 2 Entropy 2 ASTIN Bulletin 2 Frontiers of Mathematics in China 2 International Journal of Stochastic Analysis 2 Probability, Uncertainty and Quantitative Risk 1 The Canadian Journal of Statistics 1 International Journal of Control 1 Inverse Problems 1 Journal of the Franklin Institute 1 Mathematical Methods in the Applied Sciences 1 Mathematics of Computation 1 Chaos, Solitons and Fractals 1 Theory of Probability and its Applications 1 Biometrics 1 BIT 1 Collectanea Mathematica 1 Information Sciences 1 International Journal of Mathematics and Mathematical Sciences 1 Journal of Multivariate Analysis 1 Mathematische Nachrichten 1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 1 Synthese 1 Mathematical Social Sciences 1 Chinese Annals of Mathematics. Series B 1 Acta Mathematica Hungarica 1 Applied Numerical Mathematics 1 Optimization 1 Applied Mathematics Letters 1 Mathematical and Computer Modelling 1 SIAM Journal on Matrix Analysis and Applications 1 MCSS. Mathematics of Control, Signals, and Systems ...and 46 more Serials all top 5 Cited in 31 Fields 384 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 295 Probability theory and stochastic processes (60-XX) 150 Systems theory; control (93-XX) 95 Calculus of variations and optimal control; optimization (49-XX) 58 Statistics (62-XX) 45 Operations research, mathematical programming (90-XX) 41 Partial differential equations (35-XX) 41 Numerical analysis (65-XX) 18 Ordinary differential equations (34-XX) 13 Dynamical systems and ergodic theory (37-XX) 10 Computer science (68-XX) 8 Information and communication theory, circuits (94-XX) 7 Integral equations (45-XX) 6 Integral transforms, operational calculus (44-XX) 6 Operator theory (47-XX) 4 Biology and other natural sciences (92-XX) 3 General topology (54-XX) 3 Statistical mechanics, structure of matter (82-XX) 2 Combinatorics (05-XX) 2 Approximations and expansions (41-XX) 2 Functional analysis (46-XX) 2 Fluid mechanics (76-XX) 1 Real functions (26-XX) 1 Special functions (33-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Convex and discrete geometry (52-XX) 1 Differential geometry (53-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Optics, electromagnetic theory (78-XX) 1 Quantum theory (81-XX) 1 Geophysics (86-XX) Citations by Year