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Xun Yu Zhou
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2020 – today
- 2024
- [i13]Xuefeng Gao, Lingfei Li, Xun Yu Zhou:
Reinforcement Learning for Jump-Diffusions. CoRR abs/2405.16449 (2024) - [i12]Yilie Huang, Yanwei Jia, Xun Yu Zhou:
Sublinear Regret for An Actor-Critic Algorithm in Continuous-Time Linear-Quadratic Reinforcement Learning. CoRR abs/2407.17226 (2024) - 2023
- [j69]Yun Shi
, Xiangyu Cui
, Xun Yu Zhou
:
Beta and Coskewness Pricing: Perspective from Probability Weighting. Oper. Res. 71(2): 776-790 (2023) - [j68]Yanwei Jia, Xun Yu Zhou:
q-Learning in Continuous Time. J. Mach. Learn. Res. 24: 161:1-161:61 (2023) - [j67]Sang Hu
, Jan Oblój
, Xun Yu Zhou
:
A Casino Gambling Model Under Cumulative Prospect Theory: Analysis and Algorithm. Manag. Sci. 69(4): 2474-2496 (2023) - [j66]Xia Han, Ruodu Wang
, Xun Yu Zhou:
Choquet Regularization for Continuous-Time Reinforcement Learning. SIAM J. Control. Optim. 61(5): 2777-2801 (2023) - [i11]Min Dai, Yuchao Dong, Yanwei Jia, Xun Yu Zhou:
Learning Merton's Strategies in an Incomplete Market: Recursive Entropy Regularization and Biased Gaussian Exploration. CoRR abs/2312.11797 (2023) - 2022
- [j65]Wenpin Tang
, Xiao Xu
, Xun Yu Zhou
:
Asset selection via correlation blockmodel clustering. Expert Syst. Appl. 195: 116558 (2022) - [j64]Yanwei Jia, Xun Yu Zhou:
Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach. J. Mach. Learn. Res. 23: 154:1-154:55 (2022) - [j63]Yanwei Jia, Xun Yu Zhou:
Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms. J. Mach. Learn. Res. 23: 275:1-275:50 (2022) - [j62]Jose H. Blanchet
, Lin Chen, Xun Yu Zhou
:
Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances. Manag. Sci. 68(9): 6382-6410 (2022) - [j61]Xuefeng Gao
, Zuo Quan Xu
, Xun Yu Zhou:
State-Dependent Temperature Control for Langevin Diffusions. SIAM J. Control. Optim. 60(3): 1250-1268 (2022) - [j60]Wenpin Tang
, Yuming Paul Zhang, Xun Yu Zhou:
Exploratory HJB Equations and Their Convergence. SIAM J. Control. Optim. 60(6): 3191-3216 (2022) - [c17]Yilie Huang, Yanwei Jia
, Xun Yu Zhou:
Achieving Mean-Variance Efficiency by Continuous-Time Reinforcement Learning. ICAIF 2022: 377-385 - [i10]Xuefeng Gao, Xun Yu Zhou:
Logarithmic regret bounds for continuous-time average-reward Markov decision processes. CoRR abs/2205.11168 (2022) - [i9]Yanwei Jia
, Xun Yu Zhou:
q-Learning in Continuous Time. CoRR abs/2207.00713 (2022) - [i8]Xia Han, Ruodu Wang, Xun Yu Zhou:
Choquet regularization for reinforcement learning. CoRR abs/2208.08497 (2022) - [i7]Xuefeng Gao
, Xun Yu Zhou:
Square-root regret bounds for continuous-time episodic Markov decision processes. CoRR abs/2210.00832 (2022) - [i6]Kaizheng Wang
, Xiao Xu, Xun Yu Zhou:
Variable Clustering via Distributionally Robust Nodewise Regression. CoRR abs/2212.07944 (2022) - 2021
- [j59]Ken Seng Tan
, Wei Wei
, Xun Yu Zhou:
Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency. SIAM J. Control. Optim. 59(6): 4136-4154 (2021) - [i5]Yanwei Jia, Xun Yu Zhou:
Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach. CoRR abs/2108.06655 (2021) - [i4]Yanwei Jia, Xun Yu Zhou:
Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms. CoRR abs/2111.11232 (2021) - 2020
- [j58]Sebastian Ebert, Wei Wei
, Xun Yu Zhou:
Weighted discounting - On group diversity, time-inconsistency, and consequences for investment. J. Econ. Theory 189: 105089 (2020) - [j57]Haoran Wang, Thaleia Zariphopoulou, Xun Yu Zhou:
Reinforcement Learning in Continuous Time and Space: A Stochastic Control Approach. J. Mach. Learn. Res. 21: 198:1-198:34 (2020) - [j56]Bahman Angoshtari
, Thaleia Zariphopoulou
, Xun Yu Zhou:
Predictable Forward Performance Processes: The Binomial Case. SIAM J. Control. Optim. 58(1): 327-347 (2020) - [i3]Xuefeng Gao, Zuo Quan Xu
, Xun Yu Zhou:
State-Dependent Temperature Control for Langevin Diffusions. CoRR abs/2011.07456 (2020)
2010 – 2019
- 2019
- [j55]Xue Dong He
, Sang Hu, Jan Oblój
, Xun Yu Zhou:
Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers. SIAM J. Control. Optim. 57(3): 1845-1868 (2019) - [i2]Haoran Wang, Xun Yu Zhou:
Continuous-Time Mean-Variance Portfolio Optimization via Reinforcement Learning. CoRR abs/1904.11392 (2019) - [i1]Haoran Wang, Xun Yu Zhou:
Large scale continuous-time mean-variance portfolio allocation via reinforcement learning. CoRR abs/1907.11718 (2019) - 2017
- [j54]Xue Dong He, Sang Hu, Jan Oblój
, Xun Yu Zhou:
Technical Note - Path-Dependent and Randomized Strategies in Barberis' Casino Gambling Model. Oper. Res. 65(1): 97-103 (2017) - [j53]Ying Hu, Hanqing Jin, Xun Yu Zhou:
Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium. SIAM J. Control. Optim. 55(2): 1261-1279 (2017) - [j52]Xue Dong He, Roy Kouwenberg
, Xun Yu Zhou:
Rank-Dependent Utility and Risk Taking in Complete Markets. SIAM J. Financial Math. 8(1): 214-239 (2017) - 2015
- [j51]Xue Dong He, Hanqing Jin, Xun Yu Zhou:
Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR. Math. Oper. Res. 40(3): 773-796 (2015) - 2013
- [j50]Zhongmin Qian, Xun Yu Zhou:
Existence of Solutions to a Class of Indefinite Stochastic Riccati Equations. SIAM J. Control. Optim. 51(1): 221-229 (2013) - 2012
- [j49]Ying Hu
, Hanqing Jin, Xun Yu Zhou:
Time-Inconsistent Stochastic Linear-Quadratic Control. SIAM J. Control. Optim. 50(3): 1548-1572 (2012) - 2011
- [j48]Xue Dong He, Xun Yu Zhou:
Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment. Manag. Sci. 57(2): 315-331 (2011) - 2010
- [j47]Fausto Gozzi, Andrzej Swiech, Xun Yu Zhou:
Erratum: "A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions". SIAM J. Control. Optim. 48(6): 4177-4179 (2010) - [j46]Min Dai, Zuo Quan Xu
, Xun Yu Zhou:
Continuous-Time Markowitz's Model with Transaction Costs. SIAM J. Financial Math. 1(1): 96-125 (2010)
2000 – 2009
- 2009
- [j45]Qing Zhang, Xun Yu Zhou:
Valuation of Stock Loans with Regime Switching. SIAM J. Control. Optim. 48(3): 1229-1250 (2009) - [j44]Huyên Pham, Vathana Ly Vath, Xun Yu Zhou:
Optimal Switching over Multiple Regimes. SIAM J. Control. Optim. 48(4): 2217-2253 (2009) - 2008
- [j43]Hiroaki Morimoto, Xun Yu Zhou:
Optimal Consumption in a Growth Model with the Cobb--Douglas Production Function. SIAM J. Control. Optim. 47(6): 2991-3006 (2008) - [c16]Hanqing Jin, Xun Yu Zhou:
Continuous-time behavioral portfolio selection. CDC 2008: 5602-5607 - 2007
- [j42]Jie Xiong
, Xun Yu Zhou:
Mean-Variance Portfolio Selection under Partial Information. SIAM J. Control. Optim. 46(1): 156-175 (2007) - 2006
- [j41]Shaolin Ji, Xun Yu Zhou:
A maximum principle for stochastic optimal control with terminal state constraints, and its applications. Commun. Inf. Syst. 6(4): 321-338 (2006) - [j40]David D. Yao, Shuzhong Zhang, Xun Yu Zhou:
Tracking a Financial Benchmark Using a Few Assets. Oper. Res. 54(2): 232-246 (2006) - 2005
- [j39]Yuanjin Liu, Gang George Yin, Xun Yu Zhou:
Near-optimal controls of random-switching LQ problems with indefinite control weight costs. Autom. 41(6): 1063-1070 (2005) - [j38]Fausto Gozzi, Andrzej Swiech, Xun Yu Zhou:
A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions. SIAM J. Control. Optim. 43(6): 2009-2019 (2005) - [j37]Yaozhong Hu, Xun Yu Zhou:
Stochastic Control for Linear Systems Driven by Fractional Noises. SIAM J. Control. Optim. 43(6): 2245-2277 (2005) - [j36]Ying Hu
, Xun Yu Zhou:
Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection. SIAM J. Control. Optim. 44(2): 444-466 (2005) - [j35]Andrew E. B. Lim, Xun Yu Zhou:
A new risk-sensitive maximum principle. IEEE Trans. Autom. Control. 50(7): 958-966 (2005) - 2004
- [j34]Xiaoqiang Cai, Kok Lay Teo, Xiaoqi Yang
, Xun Yu Zhou:
Minimax portfolio optimization: empirical numerical study. J. Oper. Res. Soc. 55(1): 65-72 (2004) - [j33]Xi Chen, Xun Yu Zhou:
Stochastic Linear-Quadratic Control with Conic Control Constraints on an Infinite Time Horizon. SIAM J. Control. Optim. 43(3): 1120-1150 (2004) - [j32]David D. Yao, Shuzhong Zhang, Xun Yu Zhou:
Stochastic Linear-Quadratic Control via Primal-Dual Semidefinite Programming. SIAM Rev. 46(1): 87-111 (2004) - [j31]Gang George Yin, Xun Yu Zhou:
Markowitz's mean-variance portfolio selection with regime switching: from discrete-time models to their continuous-time limits. IEEE Trans. Autom. Control. 49(3): 349-360 (2004) - [c15]Hanqing Jin, Jia-An Yan, Xun Yu Zhou:
Mean-risk portfolio selection models in continuous time. CDC 2004: 3909-3914 - 2003
- [j30]Andrew E. B. Lim, Xun Yu Zhou, John B. Moore:
Multiple-objective risk-sensitive control and its small noise limit. Autom. 39(3): 533-541 (2003) - [j29]Xun Li
, Xun Yu Zhou, Mustapha Ait Rami:
Indefinite Stochastic Linear Quadratic Control with Markovian Jumps in Infinite Time Horizon. J. Glob. Optim. 27(2-3): 149-175 (2003) - [j28]Tahir Choulli, Michael Taksar, Xun Yu Zhou:
A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control. SIAM J. Control. Optim. 41(6): 1946-1979 (2003) - [j27]Ying Hu
, Xun Yu Zhou:
Indefinite Stochastic Riccati Equations. SIAM J. Control. Optim. 42(1): 123-137 (2003) - [j26]Xun Yu Zhou, Gang George Yin:
Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model. SIAM J. Control. Optim. 42(4): 1466-1482 (2003) - [c14]Andrew E. B. Lim, Xun Yu Zhou:
A maximum principle for risk-sensitive control. CDC 2003: 5819-5824 - [c13]Tomasz R. Bielecki, Stanley R. Pliska
, Hanqing Jin, Xun Yu Zhou:
Continuous-time mean-variance portfolio choice with no-bankruptcy constraint. CDC 2003: 5945-5950 - 2002
- [j25]Xun Li, Xun Yu Zhou:
Indefinite stochastic LQ controls with Markovian jumps in a finite time horizon. Commun. Inf. Syst. 2(3): 265-282 (2002) - [j24]Andrew E. B. Lim, Xun Yu Zhou:
Mean-Variance Portfolio Selection with Random Parameters in a Complete Market. Math. Oper. Res. 27(1): 101-120 (2002) - [j23]Mustapha Ait Rami, John B. Moore, Xun Yu Zhou:
Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation. SIAM J. Control. Optim. 40(4): 1296-1311 (2002) - [j22]Xun Li
, Xun Yu Zhou, Andrew E. B. Lim:
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints. SIAM J. Control. Optim. 40(5): 1540-1555 (2002) - [j21]Hanzhong Wu, Xun Yu Zhou:
Characterizing all optimal controls for an indefinite stochastic linear quadratic control problem. IEEE Trans. Autom. Control. 47(7): 1119-1122 (2002) - [c12]Xun Yu Zhou, George Yin:
Continuous-time mean-variance portfolio selection with regime switching. CDC 2002: 383-388 - 2001
- [j20]Andrew E. B. Lim, Xun Yu Zhou:
Linear-Quadratic Control of Backward Stochastic Differential Equations. SIAM J. Control. Optim. 40(2): 450-474 (2001) - [j19]Hanzhong Wu, Xun Yu Zhou:
Stochastic Frequency Characteristics. SIAM J. Control. Optim. 40(2): 557-576 (2001) - [j18]David D. Yao, Shuzhong Zhang, Xun Yu Zhou:
Stochastic Linear-Quadratic Control via Semidefinite Programming. SIAM J. Control. Optim. 40(3): 801-823 (2001) - [j17]Mustapha Ait Rami, Xi Chen, John B. Moore, Xun Yu Zhou:
Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls. IEEE Trans. Autom. Control. 46(3): 428-440 (2001) - [j16]Andrew E. B. Lim, Xun Yu Zhou:
Risk-sensitive control with HARA utility. IEEE Trans. Autom. Control. 46(4): 563-578 (2001) - [j15]David D. Yao, Shuzhong Zhang, Xun Yu Zhou:
A primal-dual semi-definite programming approach to linear quadratic control. IEEE Trans. Autom. Control. 46(9): 1442-1447 (2001) - [c11]Hanzhong Wu, Xun Yu Zhou:
Frequency domain approach for stochastic systems. CDC 2001: 802-807 - [c10]Mustapha Ait Rami, X. Chen, Xun Yu Zhou:
Discrete-time indefinite LQ control with state and control dependent noises. CDC 2001: 1249-1250 - [c9]Mustapha Ait Rami, John B. Moore, Xun Yu Zhou:
Indefinite stochastic linear quadratic control and generalized differential Riccati equation. CDC 2001: 1263-1268 - [c8]Xun Li, Xun Yu Zhou, Mustapha Ait Rami:
Indefinite stochastic LQ control with jumps. CDC 2001: 1693-1698 - [c7]Andrew E. B. Lim, Xun Yu Zhou:
Mean-variance portfolio selection via LQ optimal control. CDC 2001: 4553-4558 - [c6]Tahir Choulli, Michael Taksar, Xun Yu Zhou:
Optimal risk control and dividend distribution for a financial corporation with policy constraints. CDC 2001: 4559-4564 - [c5]Tahir Choulli, Michael Taksar, Xun Yu Zhou:
An optimization model for a company with constraints on risk control. CDC 2001: 4571-4576 - 2000
- [j14]Michael Kohlmann, Xun Yu Zhou:
Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach. SIAM J. Control. Optim. 38(5): 1392-1407 (2000) - [j13]Shuping Chen, Xun Yu Zhou:
Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II. SIAM J. Control. Optim. 39(4): 1065-1081 (2000) - [j12]Mustapha Ait Rami, Xun Yu Zhou:
Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls. IEEE Trans. Autom. Control. 45(6): 1131-1143 (2000) - [j11]Ngo-Tai Fong, Xun Yu Zhou:
Optimal feedback controls in deterministic two-machine flowshops with finite buffers. IEEE Trans. Autom. Control. 45(6): 1198-1203 (2000) - [j10]Suresh P. Sethi, Gerhard Sorger
, Xun Yu Zhou:
Stability of real-time lot-scheduling and machine replacement policies with quality levels. IEEE Trans. Autom. Control. 45(11): 2193-2196 (2000) - [c4]Andrew E. B. Lim, Xun Yu Zhou:
Optimal control with HARA utility functions. CDC 2000: 228-233 - [c3]Andrew E. B. Lim, Xun Yu Zhou:
Optimal control of backward stochastic differential equations: The linear-quadratic case. CDC 2000: 2890-2895
1990 – 1999
- 1999
- [j9]Houmin Yan, Xun Yu Zhou, Gang George Yin:
Approximating an Optimal Production Policy in a Continuous Flow Line: Recurrence and Asymptotic Properties. Oper. Res. 47(4): 535-549 (1999) - [j8]Andrew E. B. Lim, Xun Yu Zhou:
Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights. IEEE Trans. Autom. Control. 44(7): 1359-1369 (1999) - [e1]Shuping Chen, Xunjing Li, Jiongmin Yong, Xun Yu Zhou:
Control of Distributed Parameter and Stochastic Systems, Proceedings of the IFIP WG7.2 International Conference, June 19-22, 1998, Hangzhou, China. IFIP Conference Proceedings 141, Kluwer 1999, ISBN 0-412-83790-0 [contents] - 1998
- [c2]John B. Moore, Xun Yu Zhou, Andrew E. B. Lim:
On LQG Control of Linear Stochastic Systems with Control Dependent Noise. Control of Distributed Parameter and Stochastic Systems 1998: 247-254 - [c1]Xun Yu Zhou, Duan Li:
Explicit Efficient Frontier of a Continuous-Time Mean Variance Portfolio Selection Problem. Control of Distributed Parameter and Stochastic Systems 1998: 323- - 1997
- [j7]Chand Samaratunga, Suresh P. Sethi, Xun Yu Zhou:
Computational Evaluation of Hierarchical Production Control Policies for Stochastic Manufacturing Systems. Oper. Res. 45(2): 258-274 (1997) - [j6]Wai-Ki Ching, Raymond H. Chan, Xun Yu Zhou:
Circulant Preconditioners for Markov-Modulated Poisson Processes and Their Applications to Manufacturing Systems. SIAM J. Matrix Anal. Appl. 18(2): 464-481 (1997) - [j5]Suresh P. Sethi, Qing Zhang, Xun Yu Zhou:
Hierarchical production controls in a stochastic two-machine flowshop with a finite internal buffer. IEEE Trans. Robotics Autom. 13(1): 1-13 (1997) - 1996
- [j4]Xun Yu Zhou:
Deterministic Near-Optimal Controls. Part II: Dynamic Programming and Viscosity Solution Approach. Math. Oper. Res. 21(3): 655-674 (1996) - [j3]Suresh P. Sethi, Xun Yu Zhou:
Optimal feedback controls in deterministic dynamic two-machine flowshops. Oper. Res. Lett. 19(5): 225-235 (1996) - [j2]Xun Yu Zhou:
Sufficient conditions of optimality for stochastic systems with controllable diffusions. IEEE Trans. Autom. Control. 41(8): 1176-1179 (1996) - 1994
- [j1]Suresh P. Sethi, Xun Yu Zhou:
Stochastic dynamic job shops and hierarchical production planning. IEEE Trans. Autom. Control. 39(10): 2061-2076 (1994)
Coauthor Index
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last updated on 2024-08-25 20:08 CEST by the dblp team
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