Preprints:

• A. Kazeykina, Z. Ren, X. Tan and J. Yang
  Ergodicity of the underdamped mean-field Langevin dynamics.

• L. Pfeiffer, X. Tan and Y. Zhou
  Duality and approximation of stochastic optimal control problems under expectation constraints.

• B. Bouchard and X. Tan
  A quasi-sure optional decomposition and super-hedging result on the Skorokhod space.

• A. Richard, X. Tan and F. Yang
  Discrete-time Simulation of Stochastic Volterra Equations.

• F. Djete, D. Possamaï and X. Tan
  McKean-Vlasov optimal control: limit theory and equivalence between different formulations.

• F. Djete, D. Possamaï and X. Tan
  McKean-Vlasov optimal control: the dynamic programming principle.

• J. Claisse, Z. Ren and X. Tan
  Mean Field Games with Branching.

• B. Bouchard and X. Tan
  Understanding the dual formulation for the hedging of path-dependent options with price impact.

• N. El Karoui and X. Tan,
  Capacities, measurable selection and dynamic programming Part I: abstract framework.

• N. El Karoui and X. Tan,
  Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems.

Accepted papers:

A. Richard, X. Tan and N. Touzi,
On the Root solution to the Skorokhod embedding problem given full marginals,
SIAM Journal on Control and Optimization, 58(4):1874-1892, 2020.

S. Deng, X. Tan and X. Yu,
Utility maximization with proportional transaction costs under model uncertainty,
Mathematics of Operations Research, to appear.

B. Bouchard, X. Tan and X. Warin,
Numerical approximation of general Lipschitz BSDEs with branching processes,
ESAIM: Proceedings and Surveys, 65:309-329, 2019.

A. Aksamit, S. Deng, J. Obłój and X. Tan,
Robust pricing-hedging duality for American options in discrete time financial markets,
Mathematical Finance, 29(3):861-897, 2019.

B. Bouchard, S. Deng and X. Tan,
Super-replication with proportional transaction cost under model uncertainty,
Mathematical Finance, 29(3):837-860, 2019.

P. Henry-Labordère, N. Oudjane, X. Tan, N. Touzi and X. Warin,
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation,
Annales de l’Institut Henri Poincaré (B) Probabilités et Statistiques, 55(1):184-210, 2019.

B. Bouchard, D. Possamaï, X. Tan and C. Zhou,
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
Annales de l’Institut Henri Poincaré (B) Probabilités et Statistiques, 54(1):154-172, 2018.

D. Possamaï, X. Tan and C. Zhou,
Stochastic control for a class of nonlinear kernels and applications,
Annals of Probability, 46(1):551-603, 2018.

B. Bouchard, X. Tan, X. Warin and Y. Zou,
Numerical approximation of BSDEs using local polynomial drivers and branching processes,
Monte Carlo Methods and Applications, 23(4):241-263, 2017.

P. Henry-Labordère, X. Tan and N. Touzi,
Unbiased simulation of stochastic differential equations,
Annals of Applied Probability, 27(6):1-37, 2017.

Z. Ren and X. Tan,
On the convergence of monotone schemes for path-dependent PDE,
Stochastic Processes and their Applications, 127(6): 1738-1762, 2017.

S. Källblad, X. Tan and N. Touzi,
Optimal Skorokhod embedding given full marginals and Azema-Yor peacocks,
Annals of Applied Probability, 27(2):686-719, 2017.

G. Guo, X. Tan and N. Touzi,
Tightness and duality of martingale transport on the Skorokhod space,
Stochastic Processes and their Applications, 127(3):927-956, 2017.

B. Bouchard, D. Possamaï and X. Tan,
A general Doob-Meyer-Mertens decomposition for g-supermartingale systems,
Electronic Journal of Probability, 21(36):1-21, 2016.

G. Guo, X. Tan and N. Touzi,
On the monotonicity principle of optimal Skorokhod embedding problem.,
SIAM Journal on Control and Optimization, 54(5):2478-2489, 2016.

G. Guo, X. Tan and N. Touzi,
Optimal Skorokhod embedding under finitely-many marginal constraints,
SIAM Journal on Control and Optimization, 54(4):2174-2201, 2016.

P. Henry-Labordère, X. Tan and N. Touzi,
An Explicit Martingale Version of the One-dimensional Brenier’s Theorem with Full Marginals Constraint,
Stochastic Processes and their Applications, 126(9):2800-2834, 2016.

J. Claisse, D. Talay and X. Tan,
A pseudo-Markov property for controlled diffusion processes,
SIAM Journal on Control and Optimization, 54(2):1017-1029, 2016

D. Possamaï and X. Tan,
Weak approximation of second order BSDEs,
Annals of Applied Probability, 25(5):2535-2562, 2015.

P. Henry-Labordère, X. Tan and N. Touzi,
A numerical algorithm for a class of BSDEs via branching process,
Stochastic Processes and their Applications, 124(2):1112-1140, 2014.

X. Tan,
Discrete-time probabilistic approximation of path-dependent stochastic control problems,
Annals of Applied Probability, 24(5):1803-1834, 2014.

X.Tan,
A splitting method for fully nonlinear degenerate parabolic PDEs,
Electron. J. Probab, 18(15):1-24, 2013.

J.F. Bonnans and X. Tan,
A model-free no-arbitrage price bound for variance options,
Applied Mathematics & Optimization, Vol. 68, Issue 1, 43-73, 2013.

X. Tan and N. Touzi,
Optimal Transportation under Controlled Stochastic Dynamics,
Annals of Probability, Vol. 41, No. 5, 3201-3240, 2013.

Thesis:

• PHD Thesis, 12th december 2011
  Stochastic control methods for optimal transportation and probabilistic numerical schemes for PDEs.

• HDR Thesis, 1st december 2017,
  Martingale Optimal Transport, Non Markovian Stochastic Control and Branching Diffusion Processes.