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Author ID: guo.xin Recent zbMATH articles by "Guo, Xin"
Published as: Guo, Xin; Guo, X.
Homepage: https://xinguo.ieor.berkeley.edu/
External Links: ORCID · Google Scholar · dblp

Publications by Year

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 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

Citations by Year