Xiaolu TAN I am now ATER at CEREMADE of Dauphine (Paris IX) university. I obtained my Ph.D at CMAP, Ecole Polytechnique. CEREMADE Université PARIS - DAUPHINE Place du Maréchal De Lattre De Tassigny 75775 PARIS CEDEX 16, FRANCE Email: xiaolu.tan_at_polytechnique.edu

Research Interest

1. Stochastic analysis:
• Mass transportation, robust risk management.
• Dynamic programming principle of stochastic control problems.

2. Numerical analysis:
• Probabilistic numerical methods for stochastic control problems and nonlinear PDEs.
• Numerical methods for transportation problems.
• Numerical methods in finance and assurance.

Articles

• X. Tan and N. Touzi, Optimal Transportation under Controlled Stochastic Dynamics, Annals of Probability, to appear.

• J.F. Bonnans and X. Tan, A model-free no-arbitrage price bound for variance options, Applied Mathematics & Optimization, to appear.

• A. Kalife, X. Tan and L. Wang, Dynamic hedging by a large palyer: from theory to practical implementation, Neural, Parallel, and Scientific Computations, 20:191-214, 2012.

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

Preprints

• J.F. Bonnans and X. Tan, A Monotonicity condition for the $\theta$-scheme for diffusion equations,rapport de recherche INRIA RR 7778.

• X. Tan, Probabilistic numerical approximation for stochastic control problems, preprint.

• P. Henry-Labordere, X. Tan and N. Touzi A numerical algorithm for a class of BSDEs via branching process; preprint.

• J. Claisse, D. Talay and X. Tan A note on solutions to controlled martingale problems and their conditioning; preprint.

• N. El Karoui and X. Tan Capacities, measurable selection and dynamic programming; preprint.

Teaching Activities

• 2012-2013 : Monte Carlo, Master 1 MMD-MA, University of Paris Dauphine.

• 2012-2013 : Mathématiques du Risque et Programmation Dynamique, Master 1 MMD-MA, University of Paris Dauphine.

• 2012-2013 : Analyse 2, L1, University of Paris Dauphine.

• 2012-2013 : Gestion des risques et produits dérivées (TD), L3 maths, University of Paris Dauphine.

• 2011-2012 : Optimisation et contrôle stochastique (TD), Master 2 Probabilités et Finance, UMPC-X.

• 2011-2012 : C++ (TD), Master 1 Mathématiques Appliquées, Ecole Polytechnique.

CV

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