Publications

Mean-Field Controls with Q-Learning for Cooperative MARL: Convergence and Complexity Analysis

H. Gu, X. Guo, X. Wei, R. Xu, “Mean-field controls with Q-learning for cooperative MARL: convergence and complexity analysis”. SIAM Journal on Mathematics of Data Science, 2021.

Interbank lending with benchmark rates: Pareto optima for a class of singular control games

Cont, RGuo, XXu, RInterbank lending with benchmark rates: Pareto optima for a class of singular control gamesMathematical Finance2021311357– 1393https://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

Nonzero-Sum Stochastic Games and Mean-Field Games with Impulse Controls

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 Intelligence36(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