Gaoyue GUO (郭高月)

Publications & Preprints

• "Mean-field limit of particle systems with absorption." (Preprint, arXiv:2310.10742 [math.PR], 2023)
  with Tomašević, M.  [arxiv]

• "Randomness and early termination: what makes a game exciting?" (Preprint, arXiv:2306.07133 [math.PR], 2023)
  with Howison, S., Possamaï, D. and Reisinger, C.  [arxiv]

• "On the mean-field Belavkin filtering equation." (IEEE Control Systems Letters, 7, 2910-2915, 2023)
  with Amini, N. and Chalal, S.  [doi]

• "Mean field game of mutual holding with defaultable agents, and systemic risk." (Preprint, arXiv:2303.07996 [math.PR], 2023)
  with Djete, M. and Touzi, N.  [arxiv]

• "Systemic robustness: a mean-field particle system approach." (Preprint, arXiv:2212.08518 [math.PR], 2022)
  with Bayraktar, E., Tang, W. and Zhang, Y.  [arxiv]

• "McKean-Vlasov equations involving hitting times: blow-ups and global solvability." (Preprint, arXiv:2010.14646 [math.PR], 2020)
  with Bayraktar, E., Tang, W. and Zhang, Y.  [arxiv]

• "Optimal urban planning and weighted Lloyd's algorithm." (In preparation, 2022)
  with Silveti-Falls, A.  

• "Strong equivalence between metrics of Wasserstein type." (Electron. Commun. Probab., 26(13), 1-13, 2021)
  with Bayraktar, E.  [doi]

• "Robust pricing and hedging of options on multiple assets and its numerics." (SIAM J. Finan. Math., 12(1), 158-188, 2021)
  with Eckstein, S., Lim, T. and Obłój, J.  [doi]

• "Computational methods for martingale optimal transport problems." (Ann. Appl. Probab., 29(6), 3311-3347, 2019)
  with Obłój, J.  [doi]

• "A stability result on optimal Skorokhod embedding." (Preprint, arXiv:1701.08204 [math.PR], 2017)
    [arxiv]

• "Some results on Skorokhod embedding and robust hedging with local time." (J. Optim. Theory Appl., 179(2), 569-597, 2017)
  with Claisse, J. and Henry-Labordère, P.  [doi]

• "Tightness and duality of martingale transport on the Skorokhod space." (Stochastic Process. Appl., 127(3), 927-956, 2017)
  with Tan, X. and Touzi, N.  [doi]

• "On the monotonicity principle of optimal Skorokhod embedding problem." (SIAM J. Control Optim., 54(5), 2478-2489, 2016)
  with Tan, X. and Touzi, N.  [doi]

• "Optimal Skorokhod embedding under finitely many marginal constraints." (SIAM J. Control Optim., 54(4), 2174-2201, 2016)
  with Tan, X. and Touzi, N.  [doi]

• "Generalised arbitrage-free SVI volatility surfaces." (SIAM J. Finan. Math., 7(1), 619-641, 2016)
  with Martini, C., Neufcourt, L. and Jacquier, A.  [doi]