Guanxing Fu and Ulrich Horst, Mean Field Portfolio Games with Epstein-Zin Preferences, arXiv:2505.07231, 2025
Guanxing Fu, Xiaomin Shi and Zuo Quan Xu, A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching, arXiv:2412.19058, 2025, to appear in SIAM Journal on Control and Optimization
Xinman Cheng, Guanxing Fu and Xiaonyu Xia, Long time behavior of optimal liquidation problems with semimartingale strategies and external flows, Mathematics and Financial Economics, 2025, https://doi.org/10.1007/s11579-025-00390-6
Guanxing Fu, Paul Hager and Ulrich Horst, A Mean Field Game of Market Entry: Portfolio Liquidation with Trading Constraints, arXiv:2403.10441, 2024
Guanxing Fu, Paul Hager and Ulrich Horst, Mean-Field Liquidation Games with Market Drop-out, arXiv:2303.05783, Mathematical Finance, 34(4): 1123--1166, 2024
Guanxing Fu, Mean Field Portfolio Games with Consumption, Mathematics and Financial Economics, 17(1), 79--99, 2023
Guanxing Fu, Ulrich Horst and Xiaonyu Xia, A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies, arXiv:2207.00446, Mathematics of Operations Research, 49(4): 2356--2384, 2023
Guanxing Fu and Chao Zhou, Mean Field Portfolio Games, Finance and Stochastics, 27(1), 189--231, 2023
Guanxing Fu, Ulrich Horst and Xiaonyu Xia, Portfolio Liquidation Games with Self-Exciting Order Flow, Mathematical Finance, 32(4), 1020-1065, 2022
Guanxing Fu, Extended Mean Field Games with Singular Controls, SIAM Journal on Control and Optimization, 61(1), 285--314, 2023
Guanxing Fu and Ulrich Horst, Mean Field Leader Follower Games with Terminal State Constraint, SIAM Journal on Control and Optimization, 58(4), 2078-2113, 2020
Guanxing Fu, Paulwin Graewe, Ulrich Horst and Alexandre Popier, A Mean Field Game of Optimal Portfolio Liquidation, Mathematics of Operations Research, 46(4), 1250--1281, 2021
Guanxing Fu and Ulrich Horst, Mean Field Games with Singular Controls, SIAM Journal on Control and Optimization, 55(6), 3833--3868, 2017
Guanxing Fu, Ulrich Horst and Jinniao Qiu, Maximum Principle for Quasi-Linear Reflected BSPDE, Journal of Mathematical Analysis and Applications, 456(1), 307--336, 2017
Giorgio Ferrari and Guanxing Fu, Foreword to the special issue on “mean-field models and their economic and financial applications”, Mathematics and Financial Economics, 18(2-3), 171--175, 2024
Dr. thesis: Maximum Principle for Reflected BSPDE and Mean Field Game Theory with Applications, 2018.
My research is being/was supported by
Hong Kong RGC (ECS), completed
NSF China Young Scientists Fund, completed
Department fund
Research Center for Quantitative Finance
NSF China General Program
Hong Kong RGC (GRF)
Conference organization.
Local Organizer of the 3rd Berlin-Princeton-Singapore Workshop on Quantitative Finance, April 19–22, 2017, Berlin
Organizer of Recent Advances on Quantitative Finance, August 27-30, 2023, Hong Kong
Asian Quantitative Finance Conference, August 8-10, 2024, Taipei
Local Organizing Committee member of The First INFORMS Conference on Financial Engineering and FinTech, August 19-21, 2024, Hong Kong
Local Organizing Committee member of The 2nd ETH-HK-Imperial Joint Workshop on Quantitative Finance, April 22-25, 2025, Hong Kong
Reviewer for
Applied Mathematics and Optimization, Digital Finance, ESAIM: COCV, Finance and Stochastics, Insurance: Mathematics and Economics, Journal of Economic Dynamics and Control, Mathematics and Financial Economics, Mathematics of Operations Research, Operations Research, Quantitative Finance, SIAM Journal on Financial Mathematics, SIAM Journal on Control and Optimization, Stochastics and Dynamics