Portfolio Selection in the Enlarged Markovian Regime-Switching Market. - Xin Zhang 012; Tak Kuen Siu; Qingbin Meng (SIAM J. Control. Optim., 2010)

A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance. - Xin Zhang 012; Robert J. Elliott; Tak Kuen Siu (SIAM J. Control. Optim., 2012)

Mean-variance portfolio selection under a constant elasticity of variance model. - Yang Shen; Xin Zhang 012; Tak Kuen Siu (Oper. Res. Lett., 2014)

Maximum Principle for Markov Regime-Switching Forward-Backward Stochastic Control System with Jumps and Relation to Dynamic Programming. - Zhongyang Sun; Junyi Guo; Xin Zhang 012 (J. Optim. Theory Appl., 2018)

A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type. - Xin Zhang 012; Zhongyang Sun; Jie Xiong 004 (SIAM J. Control. Optim., 2018)

Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System. - Jiaqiang Wen; Xun Li 002; Jie Xiong 004; Xin Zhang 012 (SIAM J. Control. Optim., 2023)

Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions. - Siyu Lv; Jie Xiong 004; Xin Zhang 012 (Autom., 2023)

Optimal Claim-Dependent Proportional Reinsurance Under a Self-Exciting Claim Model. - Fan Wu; Yang Shen; Xin Zhang 012; Kai Ding (J. Optim. Theory Appl., 2024)

Stochastic Linear Quadratic Optimal Control Problems with Regime-Switching Jumps in Infinite Horizon. - Fan Wu; Xun Li 002; Xin Zhang 012 (SIAM J. Control. Optim., 2025)