Publications
Mean-Field Controls with Q-Learning for Cooperative MARL: Convergence and Complexity Analysis
Interbank lending with benchmark rates: Pareto optima for a class of singular control games
, , . Interbank lending with benchmark rates: Pareto optima for a class of singular control games. Mathematical Finance. 2021; 31: 1357– 1393. https://doi.org/10.1111/mafi.12325
A Class of Stochastic Games and Moving Free Boundary Problems
X. Guo, W. Tang, R. Xu, “A class of stochastic games and moving free boundary problems”. SIAM Journal on Control and Optimization 60 (2), 758-785
Logarithmic regret for episodic continuous-time linear-quadratic reinforcement learning over a finite-time horizon
M. Basei, X. Guo, A. Hu, Y. Zhang, “Logarithmic regret for episodic continuous-time linear-quadratic reinforcement learning over a finite-time horizon”. Journal of Machine Learning Research, 23 (178), 1-34
A General Framework for Learning Mean-Field Games
Guo, X., Hu, A., Xu, R., & Zhang, J. (2022). A General Framework for Learning Mean-Field Games. Mathematics of Operations Research. https://doi.org/10.1287/moor.2022.1274
Theoretical Guarantees of Fictitious Discount Algorithms for Episodic Reinforcement Learning and Global Convergence of Policy Gradient Methods
Guo, X., Hu, A., & Zhang, J. (2022). Theoretical Guarantees of Fictitious Discount Algorithms for Episodic Reinforcement Learning and Global Convergence of Policy Gradient Methods. Proceedings of the AAAI Conference on Artificial Intelligence, 36(6), 6774-6782. https://doi.org/10.1609/aaai.v36i6.20633
Transaction cost analytics for corporate bonds
X. Guo, C.A. Lehalle, R. Xu, “Transaction cost analytics for corporate bonds”. Quantitative Finance, 2022.
MFGs for partially reversible investment
H. Cao, X. Guo, “MFGs for partially reversible investment”. Stochastic Processes and their Applications, 150, 995-1014.
Entropy regularization for mean field games with learning
X. Guo, R. Xu, T. Zariphopoulou, “Entropy regularization for mean field games with learning”. Mathematics of Operations Research 47 (4), 3239-3260