Guo, Gaoyue
- Computational Methods for Martingale Optimal Transport problems
2017/10/22 by Guo, Gaoyue, Obloj, Jan · 6 citations
#Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
- Robust pricing and hedging of options on multiple assets and its\n numerics
2019/09/09 by Stephan Eckstein, Gaoyue Guo, Eckstein, Stephan +5 · 5 citations
Business, Management and Accounting · Decision Sciences · Energy · #Advanced Queuing Theory Analysis #Computational Finance (q-fin.CP) #Energy, Environment, and Transportation Policies #FOS: Economics and business #FOS: Mathematics #Forecasting Techniques and Applications #Optimization and Control (math.OC) #Probability (math.PR)
- Systemic robustness: a mean-field particle system approach
2022/12/16 by Erhan Bayraktar, Bayraktar, Erhan, Gaoyue Guo +5 · 2 citations
Economics, Econometrics and Finance · Mathematics · #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
- Tightness and duality of martingale transport on the Skorokhod space
2015/07/04 by Gaoyue Guo, Xiaolu Tan, Guo, Gaoyue +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #Advanced Topology and Set Theory #FOS: Economics and business #FOS: Mathematics #Mathematical Dynamics and Fractals #Optimization and Control (math.OC) #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications
- Randomness and early termination: what makes a game exciting?
2023/06/12 by Gaoyue Guo, Sam Howison, Guo, Gaoyue +5 · 1 citation
Economics, Econometrics and Finance · #Analysis of PDEs (math.AP) #Economic theories and models #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications
- Mean-field limit of particle systems with absorption
2023/10/16 by Gaoyue Guo, Latypov, Maxime, Guo, Gaoyue +2 · 1 citation
Materials Science · Chemistry · Engineering · #Material Dynamics and Properties #Adsorption, diffusion, and thermodynamic properties of materials #Laser-Ablation Synthesis of Nanoparticles