Gaoyue GUO (郭高月)

Publications & Preprints

• "Infinite dimensional mean-field Belavkin equation: well-posedness and derivation." (Preprint, 2025)
  with De Bouard, A. and Herouard, T.  [arxiv]

• "Stabilization of jump-diffusion stochastic differential equations by hysteresis switching." (Preprint, 2025)
  with Liang, W.  [arxiv]

• "Graphon quantum filtering systems." (Preprint, 2025)
  with Amini, H., Amini, N. and Chalal, S.  [arxiv]

• "The soccer model, stochastic ordering and martingale transport." (Preprint, 2025)
  with Juillet, N. and Tang, W.  [arxiv]

• "Mean field game of mutual holding with defaultable agents, and systemic risk." (To appear in SIAM J. Control Optim., 2025)
  with Djete, M. and Touzi, N.  [arxiv]

• ""Errata to the paper “Strong equivalence between metrics of Wasserstein type"." (To appear in Electron. Commun. Probab., 2025)
  with Bayraktar, E.  [arxiv]

• "Systemic robustness: a mean-field particle system approach." (Math. Finance., 2025)
  with Bayraktar, E., Tang, W. and Zhang, Y.  [doi]

• "Mean-field limit of particle systems with absorption." (Preprint, 2024)
  with Tomašević, M.  [arxiv]

• "Observed quantum particles system with graphon interaction." (IEEE Control Systems Letters, 2024)
  with Amini, H., Amini, N. and Chalal, S.  [doi]

• "Randomness and early termination: what makes a game exciting?" (Probab. Theory Relat. Fields., 2024)
  with Howison, S., Possamaï, D. and Reisinger, C.  [doi]

• "McKean-Vlasov equations involving hitting times: blow-ups and global solvability." (Ann. Appl. Probab., 2024)
  with Bayraktar, E., Tang, W. and Zhang, Y.  [doi]

• "On the mean-field Belavkin filtering equation." (IEEE Control Systems Letters, 2023)
  with Amini, N. and Chalal, S.  [doi]

• "Strong equivalence between metrics of Wasserstein type." (Electron. Commun. Probab., 2021)
  with Bayraktar, E.  [doi]

• "Robust pricing and hedging of options on multiple assets and its numerics." (SIAM J. Finan. Math., 2021)
  with Eckstein, S., Lim, T. and Obłój, J.  [doi]

• "Computational methods for martingale optimal transport problems." (Ann. Appl. Probab., 2019)
  with Obłój, J.  [doi]

• "A stability result on optimal Skorokhod embedding." (Preprint, 2017)
    [arxiv]

• "Some results on Skorokhod embedding and robust hedging with local time." (J. Optim. Theory Appl., 2017)
  with Claisse, J. and Henry-Labordère, P.  [doi]

• "Tightness and duality of martingale transport on the Skorokhod space." (Stochastic Process. Appl., 2017)
  with Tan, X. and Touzi, N.  [doi]

• "On the monotonicity principle of optimal Skorokhod embedding problem." (SIAM J. Control Optim., 2016)
  with Tan, X. and Touzi, N.  [doi]

• "Optimal Skorokhod embedding under finitely many marginal constraints." (SIAM J. Control Optim., 2016)
  with Tan, X. and Touzi, N.  [doi]

• "Generalised arbitrage-free SVI volatility surfaces." (SIAM J. Finan. Math., 2016)
  with Martini, C., Neufcourt, L. and Jacquier, A.  [doi]