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About me
About me
Currently I am an associate professor at Institute for Advanced Study in Mathematics (IASM) of Harbin Institute of Technology. Before joining IASM, I have been working as an assistant professor at Tsinghua-Berkeley Shenzhen Institute. I was a post-doc at University of California, Berkeley under the supervision of Professor Xin Guo. Previously I obtained my Ph.D. degree at Université Paris Diderot under the supervision of Professor Huyên Pham in 2018.
Email: xiaoli.wei@hit.edu.cn
Research
Research
My research interests lie in stochastic controls and stochastic differential games and their applications to financial mathematics.
(with X. Yu) Continuous Time q Learning for McKean-Vlasov Control Problems, Submitted.
(with H. Gu, X. Guo, and R. Xu) Mean-Field Multi-Agent Reinforcement Learning: A Decentralized Network Approach, Submitted.
(with X.Guo and H. Pham) Itô's formula for flows of measures on semimartingales, Stochastic Processes and Their Applications, 2023.
(with H. Gu, X. Guo and R. Xu) Dynamic Programming Principle for Mean-Field Controls with Learning, Operations Research, 2023.
(with H. Pham and C. Zhou) Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach, Mathematical Finance, 2022.
(with H. Gu, X. Guo and R. Xu) Mean-Field Controls with Q-learning for Cooperative MARL: Convergence and Complexity Analysis, SIAM Journal on Mathematics of Data Science (SIMODS), 2021.
(with H. Pham) Bellman equation and viscosity solutions for mean-field stochastic control problem, ESAIM: COCV, 2018.
(with H. Pham) Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics, SIAM Journal on Control and Optimization, 2017.
(with H. Pham) Discrete time McKean-Vlasov control problem: a dynamic programming approach, Applied Mathematics and Optimization, 2016.
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