GG

Gaoyue Guo

Enseignant-chercheur
24
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Publications

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Publications

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The football model, stochastic ordering and martingale transport

Gaoyue Guo , Nicolas Juillet , Wenpin Tang

Bernoulli, In press

Article dans une revue hal-04983005v2
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Infinite Dimensional Mean-Field Belavkin Equation: Well-posedness and Derivation

Anne de Bouard , Gaoyue Guo , Théo Hérouard

Annales Henri Poincaré, In press

Article dans une revue hal-05185070v1
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McKean–Vlasov equations involving hitting times: Blow-ups and global solvability

Erhan Bayraktar , Gaoyue Guo , Wenpin Tang , Yuming Paul Zhang

The Annals of Applied Probability, 2024, 34 (1B), pp.1600-1622. ⟨10.1214/23-AAP1999⟩

Article dans une revue hal-04576917v1
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Randomness and early termination: what makes a game exciting?

Gaoyue Guo , Sam Howison , Dylan Possamaï , Christoph Reisinger

Probability Theory and Related Fields, 2023, 192 (1-2), pp.135-162. ⟨10.1007/s00440-024-01340-x⟩

Article dans une revue hal-04584978v1

On the Mean-Field Belavkin Filtering Equation

Sofiane Chalal , Nina Amini , Gaoyue Guo

IEEE Control Systems Letters, 2023, 7, pp.2910-2915. ⟨10.1109/LCSYS.2023.3289877⟩

Article dans une revue hal-04306445v1
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Mean field game of mutual holding with defaultable agents, and systemic risk

Mao Fabrice Djete , Gaoyue Guo , Nizar Touzi

SIAM Journal on Control and Optimization, 2023, 64 (1), pp.24-58. ⟨10.1137/24M1658668⟩

Article dans une revue hal-04565544v1
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Systemic robustness: a mean-field particle system approach

Erhan Bayraktar , Gaoyue Guo , Wenpin Tang , Yuming Paul Zhang

Mathematical Finance, 2023, 35 (4), pp.727-744. ⟨10.1111/mafi.12459⟩

Article dans une revue hal-04584970v1
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Strong equivalence between metrics of Wasserstein type

Erhan Bayraktar , Gaoyue Guo

Electronic Communications in Probability, 2021, 26, ⟨10.1214/21-ecp383⟩

Article dans une revue hal-04584954v1
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ROBUST PRICING AND HEDGING OF OPTIONS ON MULTIPLE ASSETS AND ITS NUMERICS

Gaoyue Guo

SIAM Journal on Financial Mathematics, 2020

Article dans une revue hal-04584963v1
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Computational methods for martingale optimal transport problems

Gaoyue Guo , Jan Obłój

The Annals of Applied Probability, 2019, 29 (6), ⟨10.1214/19-AAP1481⟩

Article dans une revue hal-05573511v1

Some Results on Skorokhod Embedding and Robust Hedging with Local Time

Julien Claisse , Gaoyue Guo , Pierre Henry-Labordère

Journal of Optimization Theory and Applications, 2018, 179 (2), pp.569-597. ⟨10.1007/s10957-017-1201-5⟩

Article dans une revue hal-03899343v1
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Tightness and duality of martingale transport on the Skorokhod space

Gaoyue Guo , Xiaolu Tan , Nizar Touzi

Stochastic Processes and their Applications, 2017, 127 (3), pp.927-956. ⟨10.1016/j.spa.2016.07.005⟩

Article dans une revue hal-01247005v1
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Optimal Skorokhod embedding under finitely-many marginal constraints

Gaoyue Guo , Xiaolu Tan , Nizar Touzi

SIAM Journal on Control and Optimization, 2016, 54 (4), pp.15M1025256. ⟨10.1137/15M1025256⟩

Article dans une revue hal-01247004v1
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Generalized Arbitrage-Free SVI Volatility Surfaces

Gaoyue Guo , Antoine Jacquier , Claude Martini , Leo Neufcourt

SIAM Journal on Financial Mathematics, 2016, 7 (1), pp.619-641. ⟨10.1137/120900320⟩

Article dans une revue hal-05564337v1
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On the monotonicity principle of optimal Skorokhod embedding problem *

Gaoyue Guo , Xiaolu Tan , Nizar Touzi

SIAM Journal on Control and Optimization, 2016

Article dans une revue hal-01247003v1
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Observed quantum particles system with graphon interaction

Sofiane Chalal , Nina Amini , Gaoyue Guo , Hamed Amini

63rd IEEE Conference on Decision and Control (CDC 2024), Dec 2024, Milan, Italy. ⟨10.1109/cdc56724.2024.10885856⟩

Communication dans un congrès hal-04800536v1