Xun Yu Zhou

发表

Weighted discounting - On group diversity, time-inconsistency, and consequences for investment

Sebastian Ebert, Wei Wei, Xun Yu Zhou, 2020, J. Econ. Theory.

Mean-Variance Portfolio Selection with Random Parameters in a Complete Market

Andrew E. B. Lim, Xun Yu Zhou, X. Zhou, 2002, Math. Oper. Res..

Multiple-objective risk-sensitive control and its small noise limit

John B. Moore, Andrew E. B. Lim, Xun Yu Zhou, 2003, Autom..

Markowitz's mean-variance portfolio selection with regime switching: from discrete-time models to their continuous-time limits

Gang George Yin, Xun Yu Zhou, X. Zhou, 2004, IEEE Transactions on Automatic Control.

Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II

Xun Yu Zhou, Shuping Chen, X. Zhou, 2000, SIAM J. Control. Optim..

Reinforcement Learning in Continuous Time and Space: A Stochastic Control Approach

Xun Yu Zhou, Thaleia Zariphopoulou, Haoran Wang, 2020, J. Mach. Learn. Res..

Risk-sensitive control with HARA utility

Andrew E. B. Lim, Xun Yu Zhou, X. Zhou, 2001, IEEE Trans. Autom. Control..

Explicit Efficient Frontier of a Continuous-Time Mean Variance Portfolio Selection Problem

Duan Li, Xun Yu Zhou, X. Zhou, 1998, Control of Distributed Parameter and Stochastic Systems.

Tracking a Financial Benchmark Using a Few Assets

David D. Yao, Xun Yu Zhou, Shuzhong Zhang, 2006, Oper. Res..

Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation

John B. Moore, Xun Yu Zhou, Mustapha Ait Rami, 2002, SIAM J. Control. Optim..

Rank-Dependent Utility and Risk Taking in Complete Markets

Xun Yu Zhou, Roy Kouwenberg, Xue Dong He, 2016, SIAM J. Financial Math..

Stochastic Modeling and Optimization

David D. Yao, Xun Yu Zhou, Hanqin Zhang, 2003 .

Stochastic Frequency Characteristics

Xun Yu Zhou, Hanzhong Wu, 2001, SIAM J. Control. Optim..

Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR

Hanqing Jin, Xun Yu Zhou, Xue Dong He, 2015, Math. Oper. Res..

Time-Inconsistent Stochastic Linear-Quadratic Control

Hanqing Jin, Xun Yu Zhou, Ying Hu, 2011, SIAM J. Control. Optim..

A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control

Xun Yu Zhou, Michael I. Taksar, Tahir Choulli, 2002, SIAM J. Control. Optim..

Stochastic Linear-Quadratic Control with Conic Control Constraints on an Infinite Time Horizon

Xi Chen, Xun Yu Zhou, X. Zhou, 2004, SIAM J. Control. Optim..

Erratum: "A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions"

Xun Yu Zhou, Fausto Gozzi, Andrzej Swiech, 2010, SIAM J. Control. Optim..

State-Dependent Temperature Control for Langevin Diffusions

Zuo Quan Xu, Xun Yu Zhou, Xuefeng Gao, 2020, SIAM J. Control. Optim..

Indefinite Stochastic Linear Quadratic Control with Markovian Jumps in Infinite Time Horizon

Xun Yu Zhou, Mustapha Ait Rami, Xun Li, 2003, J. Glob. Optim..

Predictable Forward Performance Processes: The Binomial Case

Xun Yu Zhou, Thaleia Zariphopoulou, Bahman Angoshtari, 2020, SIAM J. Control. Optim..

Optimal Consumption in a Growth Model with the Cobb--Douglas Production Function

Xun Yu Zhou, Hiroaki Morimoto, 2008, SIAM J. Control. Optim..

Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints

Andrew E. B. Lim, Xun Yu Zhou, Xun Li, 2001, SIAM J. Control. Optim..

Stochastic Control for Linear Systems Driven by Fractional Noises

Xun Yu Zhou, Yaozhong Hu, X. Zhou, 2005, SIAM J. Control. Optim..

Valuation of Stock Loans with Regime Switching

Qing Zhang, Xun Yu Zhou, X. Zhou, 2009, SIAM J. Control. Optim..

Stability of Real-Time Lot-Scheduling and Machine Replacement Policies with Quality Levels

Suresh P. Sethi, Xun Yu Zhou, Gerhard Sorger, 2000, IEEE Trans. Autom. Control..

Basic Stochastic Calculus

Xun Yu Zhou, Jiongmin Yong, 1999 .

A maximum principle for stochastic optimal control with terminal state constraints, and its applications

Xun Yu Zhou, Shaolin Ji, 2006, Commun. Inf. Syst..

Continuous‐time mean–variance portfolio selection: A reinforcement learning framework

Xun Yu Zhou, Haoran Wang, X. Zhou, 2019, Mathematical Finance.

Optimal Feedback Controls in Deterministic Dynamic Two-Machine Flowshops

Suresh P. Sethi, Xun Yu Zhou, 1996, Oper. Res. Lett..

On LQG Control of Linear Stochastic Systems with Control Dependent Noise

John B. Moore, Andrew E. B. Lim, Xun Yu Zhou, 1998, Control of Distributed Parameter and Stochastic Systems.

Machine repairing models for manufacturing systems

Xun Yu Zhou, Wai Ki Ching, 1996, Proceedings 1996 IEEE Conference on Emerging Technologies and Factory Automation. ETFA '96.

Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach

Xun Yu Zhou, Michael Kohlmann, X. Zhou, 2000, SIAM J. Control. Optim..

General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion

Xun Yu Zhou, Yu-Jui Huang, Adrien Nguyen-Huu, 2017, Mathematical Finance.

Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls

Xun Yu Zhou, Mustapha Ait Rami, X. Zhou, 2000, IEEE Trans. Autom. Control..

Linear-Quadratic Control of Backward Stochastic Differential Equations

Andrew E. B. Lim, Xun Yu Zhou, X. Zhou, 2001, SIAM J. Control. Optim..

Near-optimal controls of random-switching LQ problems with indefinite control weight costs

Gang George Yin, Xun Yu Zhou, Yuanjin Liu, 2005, Autom..

Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers

Xun Yu Zhou, Jan Oblój, Xue Dong He, 2019, SIAM J. Control. Optim..

Proceedings of the IFIP WG7.2 International Conference on Control of Distributed Parameter and Stochastic Systems

Xun Yu Zhou, Jiongmin Yong, Xunjing Li, 1998 .

Mean-Variance Portfolio Selection under Partial Information

Xun Yu Zhou, Jie Xiong, X. Zhou, 2007, SIAM J. Control. Optim..

Hierarchical Production Controls in a Stochastic Two-Machine Flowshop with a Finite Internal Buffer

Suresh P. Sethi, Qing Zhang, Xun Yu Zhou, 1997, IEEE Trans. Robotics Autom..

Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights

Andrew E. B. Lim, Xun Yu Zhou, X. Zhou, 1999, IEEE Trans. Autom. Control..

Stopping Behaviors of Naive and Non-Committed Sophisticated Agents When They Distort Probability

Xun Yu Zhou, Yu-Jui Huang, Adrien Nguyen-Huu, 2017 .

Indefinite Stochastic Riccati Equations

Xun Yu Zhou, Ying Hu, X. Zhou, 2003, SIAM J. Control. Optim..

Optimal feedback controls in deterministic two-machine flowshops with finite buffers

Xun Yu Zhou, Ngo-Tai Fong, 2000, IEEE Trans. Autom. Control..

Time-Inconsistent Stochastic Linear–Quadratic Control: Characterization and Uniqueness of Equilibrium

Hanqing Jin, Xun Yu Zhou, Ying Hu, 2015, SIAM J. Control. Optim..

Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls

Xi Chen, John B. Moore, Xun Yu Zhou, 2001, IEEE Trans. Autom. Control..

Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment

Xun Yu Zhou, Xue Dong He, X. Zhou, 2010, Manag. Sci..

Continuous-Time Mean-Variance Portfolio Optimization via Reinforcement Learning pdf

Xun Yu Zhou, Haoran Wang, X. Zhou, 2019, ArXiv.

Continuous-Time Asset Allocation

Xun Yu Zhou, 2008 .

Feedback production planning in a stochastic two-machine flowshop: Asymptotic analysis and computational results

Xun Yu Zhou, Qing Zhang, Houmin Yan, 1993 .

Stochastic Linear-Quadratic Control via Semidefinite Programming

David D. Yao, Xun Yu Zhou, Shuzhong Zhang, 2001, SIAM J. Control. Optim..

A primal-dual semi-definite programming approach to linear quadratic control

David D. Yao, Xun Yu Zhou, Shuzhong Zhang, 2001, IEEE Trans. Autom. Control..

Large Scale Continuous-Time Mean-Variance Portfolio Allocation via Reinforcement Learning

Xun Yu Zhou, Haoran Wang, X. Zhou, 2019, SSRN Electronic Journal.

A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions

Xun Yu Zhou, Fausto Gozzi, Andrzej Swiech, 2005, SIAM J. Control. Optim..

Characterizing all optimal controls for an indefinite stochastic linear quadratic control problem

Xun Yu Zhou, Hanzhong Wu, 2002, IEEE Trans. Autom. Control..

BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

Hanqing Jin, Xun Yu Zhou, Hanqing Jin, 2007, 0709.2830.

Optimal Switching over Multiple Regimes

Huyên Pham, Xun Yu Zhou, Vathana Ly Vath, 2009, SIAM J. Control. Optim..

Stochastic Optimal Control Problems

Xun Yu Zhou, Jiongmin Yong, 1999 .

Technical Note - Path-Dependent and Randomized Strategies in Barberis' Casino Gambling Model

Xun Yu Zhou, Xue Dong He, Jan Obłój, 2017, Oper. Res..

Continuous-Time Markowitz's Model with Transaction Costs

Zuo Quan Xu, Min Dai, Xun Yu Zhou, 2009, SIAM J. Financial Math..

Stochastic Linear-Quadratic Control via Primal-Dual Semidefinite Programming

David D. Yao, Xun Yu Zhou, Shuzhong Zhang, 2004, SIAM Rev..

Continuous‐time mean–variance portfolio selection: A reinforcement learning framework

Xun Yu Zhou, Haoran Wang, 2020 .

Computational Evaluation of Hierarchical Production Control Policies for Stochastic Manufacturing Systems

Suresh P. Sethi, Xun Yu Zhou, Chand Samaratunga, 1997, Oper. Res..

Approximating an Optimal Production Policy in a Continuous Flow Line: Recurrence and Asymptotic Properties

Gang George Yin, Xun Yu Zhou, Houmin Yan, 1999, Oper. Res..

Control of Distributed Parameter and Stochastic Systems: Proceedings of the IFIP WG 7.2 International Conference, June 19-22, 1998 Hangzhou, China ... in Information and Communication Technology)

Xun Yu Zhou, Shuping Chen, Xunjing Li, 2013 .

Continuous-time behavioral portfolio selection

Hanqing Jin, Xun Yu Zhou, X. Zhou, 2008, 2008 47th IEEE Conference on Decision and Control.

Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

Gang George Yin, Xun Yu Zhou, X. Zhou, 2003, SIAM J. Control. Optim..

Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection

Xun Yu Zhou, Ying Hu, X. Zhou, 2005, SIAM J. Control. Optim..

Existence of Solutions to a Class of Indefinite Stochastic Riccati Equations

Xun Yu Zhou, Zhongmin Qian, 2013, SIAM J. Control. Optim..

A new risk-sensitive maximum principle

Andrew E. B. Lim, Xun Yu Zhou, X. Zhou, 2005, IEEE Transactions on Automatic Control.

Indefinite stochastic LQ controls with Markovian jumps in a finite time horizon

Xun Yu Zhou, Xun Li, X. Zhou, 2002, Commun. Inf. Syst..

Exploratory HJB Equations and Their Convergence

Xun Yu Zhou, Wenpin Tang, Paul Yuming Zhang, 2021, SIAM J. Control. Optim..

Simulated annealing from continuum to discretization: a convergence analysis via the Eyring--Kramers law

Xun Yu Zhou, Wenpin Tang, 2021 .

Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach

Xun Yu Zhou, Yanwei Jia, 2021, SSRN Electronic Journal.

Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances

Xun Yu Zhou, Jose Blanchet, Lin Chen, 2018, Manag. Sci..

Asset selection via correlation blockmodel clustering

Xun Yu Zhou, Wenpin Tang, Xiao Xu, 2021, Expert Syst. Appl..

Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms pdf

Xun Yu Zhou, Yanwei Jia, 2021, ArXiv.

A Downside Risk Analysis based on Financial Index Tracking Models

Xun Yu Zhou, Shuzhong Zhang, X. Zhou, 2006 .

A duality analysis on stochastic partial differential equations

Xun Yu Zhou, X. Zhou, 1992 .

Hierarchical controls in stochastic manufacturing systems with machines in tandem

Suresh P. Sethi, Qing Zhang, Xun Yu Zhou, 1992 .

On the existence of optimal relaxed controls of stochastic partial differential equations

Xun Yu Zhou, X. Zhou, 1992 .

The premium of dynamic trading

Xun Yu Zhou, X. Zhou, C. Chiu, 2009, 0906.0999.

Continuous-time mean-variance portfolio selection with regime switching

G. Yin, Xun Yu Zhou, 2002, Proceedings of the 41st IEEE Conference on Decision and Control, 2002..

Circulant approximation for preconditioning in stochastic automata networks

Wai-Ki Ching, Xun Yu Zhou, X. Zhou, 2000 .

Stochastic Near-Optimal Controls: Necessary and Sufficient Conditions for Near-Optimality

Xun Yu Zhou, 1998 .

Sufficient conditions of optimality for stochastic systems with controllable diffusions

Xun Yu Zhou, 1996, IEEE Trans. Autom. Control..

Well-posedness and attainability of indefinite stochastic linear quadratic control in infinite time horizon

Xun Yu Zhou, M. Ait Rami, John B. Moore, 2000 .

Mean-variance portfolio selection via LQ optimal control

Andrew E. B. Lim, Xun Yu Zhou, 2001, Proceedings of the 40th IEEE Conference on Decision and Control (Cat. No.01CH37228).

Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction

Xun Yu Zhou, Michael I. Taksar, Tahir Choulli, 2001 .

Control of Distributed Parameter and Stochastic Systems

Xun Yu Zhou, Shuping Chen, Jiongmin Yong, 1999, IFIP Advances in Information and Communication Technology.

Continuous-time mean-variance efficiency: the 80% rule

Xun Yu Zhou, Xun Li, 2006 .

A sufficient condition for near-optimal stochastic controls and its application to manufacturing systems

Suresh P. Sethi, Xun Yu Zhou, 1994 .

Indefinite stochastic linear quadratic controls in infinite time horizon

Xun Yu Zhou, X. Zhou, M. Ait Rami, 1999, Proceedings of the 38th IEEE Conference on Decision and Control (Cat. No.99CH36304).

Linear Quadratic Control Revisited: A View Through Semidefinite Programming

David D. Yao, Xun Yu Zhou, Shuzhong Zhang, 2003 .

Backward stochastic differential equations and stochastic controls

Xun Yu Zhou, M. Kohlmann, X. Zhou, 1999, Proceedings of the 38th IEEE Conference on Decision and Control (Cat. No.99CH36304).

LQ control and mean-variance portfolio selec-tions: The stochastic parameter case

Andrew E. B. Lim, Xun Yu Zhou, 2001 .

Stochastic Verification Theorems within the Framework of Viscosity Solutions

Xun Yu Zhou, Jiongmin Yong, Xunjing Li, 1997 .

Buy Low and Sell High

Hanqing Jin, Xun Yu Zhou, Min Dai, 2009 .

Hierarchical controls in stochastic manufacturing systems with convex costs

Suresh P. Sethi, Qing Zhang, Xun Yu Zhou, 1994 .

Portfolio Optimization Under a Minimax Rule

Kok Lay Teo, Xiaoqi Yang, Xiaoqiang Cai, 2000 .

Deterministic near-optimal control, part 1: Necessary and sufficient conditions for near-optimality

Xun Yu Zhou, X. Zhou, 1995 .

Markowitz’s World in Continuous Time, and Beyond

Xun Yu Zhou, X. Zhou, 2003 .

Stochastic Controls with Terminal Contingent Conditions

Nikolai Dokuchaev, Xun Yu Zhou, 1999 .

A Regime-Switching Model for European Options

David D. Yao, Qing Zhang, Xun Yu Zhou, 2006 .

A mean-field stochastic maximum principle via Malliavin calculus

Bernt Øksendal, Xun Yu Zhou, Thilo Meyer-Brandis, 2012 .

Hierarchical production policies in stochastic two-machine flowshops with finite buffers

Xun Yu Zhou, N. T. Fong, 1996 .

Stochastic modeling and optimization : with applications in queues, finance, and supply chains

David D. Yao, Xun Yu Zhou, Hanqin Zhang, 2003 .

Thou shalt buy and hold

Zuo Quan Xu, Xun Yu Zhou, Albert N. Shiryaev, 2008 .

Mean-risk portfolio selection models in continuous time

Hanqing Jin, Xun Yu Zhou, Jia-An Yan, 2004, 2004 43rd IEEE Conference on Decision and Control (CDC) (IEEE Cat. No.04CH37601).

Optimal risk and dividend control for a company with a debt liability

Xun Yu Zhou, Michael I. Taksar, X. Zhou, 1998 .