Xun Li

According to our database, Xun Li authored at least 54 papers between 2002 and 2023.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2023

Mean-variance portfolio selection under no-shorting rules: A BSDE approach.

Liangquan Zhang, Xun Li

Syst. Control. Lett., July, 2023

Linear quadratic optimal control for time-delay stochastic system with partial information.

Wenjing Wang, Liang Xu, Juanjuan Xu, Xun Li, Huanshui Zhang

Int. J. Syst. Sci., July, 2023

Deterministic optimal control for discrete-time systems with multiplicative noises and random coefficients.

Hongdan Li, Xun Li, Minyue Fu, Huanshui Zhang

Autom., April, 2023

Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning.

Xiangyu Cui, Xun Li, Yun Shi, Si Zhao

CoRR, 2023

A distributed stochastic approximation algorithm for stochastic LQ control with unknown uncertainty.

Zhaorong Zhang, Juanjuan Xu, Xun Li

Autom., 2023

2022

Stochastic Linear Quadratic Optimal Control Problem: A Reinforcement Learning Method.

Na Li, Xun Li, Jing Peng, Zuo Quan Xu

IEEE Trans. Autom. Control., 2022

Distributed Q-Learning for Stochastic LQ Control with Unknown Uncertainty.

Zhaorong Zhang, Juanjuan Xu, Xun Li

CoRR, 2022

2021

A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application.

Xun Li, Allen H. Tai, Fei Tian

Int. J. Control, 2021

Optimal control for discrete-time NCSs with input delay and Markovian packet losses: Hold-input case.

Hongdan Li, Xun Li, Huanshui Zhang

Autom., 2021

2020

Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection.

Yuan-Hua Ni, Xun Li, Ji-Feng Zhang, Miroslav Krstic

IEEE Trans. Autom. Control., 2020

An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon.

Chonghu Guan, Xun Li, Wenxin Zhou

SIAM J. Financial Math., 2020

A stochastic maximum principle for partially observed stochastic control systems with delay.

Shuaiqi Zhang, Xun Li, Jie Xiong

Syst. Control. Lett., 2020

Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem.

Xiangyu Cui, Xun Li, Lanzhi Yang

Oper. Res. Lett., 2020

Multi-period asset-liability management with cash flows and probability constraints: A mean-field formulation approach.

Xun Li, Xianping Wu, Haixiang Yao

J. Oper. Res. Soc., 2020

Optimal control and stablilization for linear continuous-time mean-field systems with delay.

Xiao Ma, Qingyuan Qi, Xun Li, Huanshui Zhang

CoRR, 2020

On continuous-time constrained stochastic linear-quadratic control.

Weiping Wu, Jianjun Gao, Junguo Lu, Xun Li

Autom., 2020

Indefinite mean-field type linear-quadratic stochastic optimal control problems.

Na Li, Xun Li, Zhiyong Yu

Autom., 2020

2019

Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic Problem.

Yuan-Hua Ni, Xun Li, Ji-Feng Zhang, Miroslav Krstic

SIAM J. Control. Optim., 2019

Mean field game for linear-quadratic stochastic recursive systems.

Liangquan Zhang, Xun Li

Syst. Control. Lett., 2019

2018

A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with an uncertain exit time.

Xiangyu Cui, Xun Li, Xianping Wu, Lan Yi

J. Oper. Res. Soc., 2018

Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications.

Weiping Wu, Jianjun Gao, Junguo Lu, Xun Li

CoRR, 2018

2017

Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems.

Jianhui Huang, Xun Li, Tianxiao Wang

Syst. Control. Lett., 2017

Better than pre-committed optimal mean-variance policy in a jump diffusion market.

Yun Shi, Xun Li, Xiangyu Cui

Math. Methods Oper. Res., 2017

Time consistent behavioral portfolio policy for dynamic mean-variance formulation.

Xiangyu Cui, Xun Li, Duan Li, Yun Shi

J. Oper. Res. Soc., 2017

Real options approach for fashionable and perishable products using stock loan with regime switching.

Chun-Hung Chiu, Shui-Hung Hou, Xun Li, Wei Liu

Ann. Oper. Res., 2017

2016

Coordinating Supply Chains With a General Price-Dependent Demand Function: Impacts of Channel Leadership and Information Asymmetry.

Chun-Hung Chiu, Tsan-Ming Choi, Xun Li, Ka-Fai Cedric Yiu

IEEE Trans. Engineering Management, 2016

Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control: From Finite Horizon to Infinite Horizon.

Yuan-Hua Ni, Xun Li, Ji-Feng Zhang

IEEE Trans. Autom. Control., 2016

Mean-Field Linear-Quadratic-Gaussian (LQG) Games for Stochastic Integral Systems.

Jianhui Huang, Xun Li, Tianxiao Wang

IEEE Trans. Autom. Control., 2016

Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems.

Jingrui Sun, Xun Li, Jiongmin Yong

SIAM J. Control. Optim., 2016

Mean-field stochastic linear-quadratic optimal control with Markov jump parameters.

Yuan-Hua Ni, Xun Li, Ji-Feng Zhang

Syst. Control. Lett., 2016

Continuous-time Markowitz's model with constraints on wealth and portfolio.

Xun Li, Zuo Quan Xu

Oper. Res. Lett., 2016

2015

Search-Based Advertising Auctions With Choice-Based Budget Constraint.

Tsan-Ming Choi, Xun Li, Cheng Ma

IEEE Trans. Syst. Man Cybern. Syst., 2015

Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control.

Yuan-Hua Ni, Ji-Feng Zhang, Xun Li

IEEE Trans. Autom. Control., 2015

Necessary condition for near optimal control of linear forward-backward stochastic differential equations.

Liangquan Zhang, Jianhui Huang, Xun Li

Int. J. Control, 2015

Innovative menu of contracts for coordinating a supply chain with multiple mean-variance retailers.

Chun-Hung Chiu, Tsan-Ming Choi, Gang Hao, Xun Li

Eur. J. Oper. Res., 2015

Discrete-time mean-field Stochastic linear-quadratic optimal control problems, II: Infinite horizon case.

Yuan-Hua Ni, Robert J. Elliott, Xun Li

Autom., 2015

2014

Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection.

Xiangyu Cui, Xun Li, Duan Li

IEEE Trans. Autom. Control., 2014

A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time.

Lan Yi, Xianping Wu, Xun Li, Xiangyu Cui

Oper. Res. Lett., 2014

Optimal multi-period mean-variance policy under no-shorting constraint.

Xiangyu Cui, Jianjun Gao, Xun Li, Duan Li

Eur. J. Oper. Res., 2014

2013

Consensus seeking in multi-agent systems with multiplicative measurement noises.

Yuan-Hua Ni, Xun Li

Syst. Control. Lett., 2013

A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction.

Xing Jin, Xun Li, Hwee Huat Tan, Zhenyu Wu

Eur. J. Oper. Res., 2013

Discrete time mean-field stochastic linear-quadratic optimal control problems.

Robert J. Elliott, Xun Li, Yuan-Hua Ni

Autom., 2013

2012

Forward-backward linear quadratic stochastic optimal control problem with delay.

Jianhui Huang, Xun Li, Jingtao Shi

Syst. Control. Lett., 2012

Saddle points of discrete Markov zero-sum game with stopping.

Xun Li, Jie Shen, Qingshuo Song

Autom., 2012

2011

Near-optimal control for stochastic recursive problems.

Eddie C. M. Hui, Jianhui Huang, Xun Li, Guangchen Wang

Syst. Control. Lett., 2011

Supply chain coordination with risk sensitive retailer under target sales rebate.

Chun-Hung Chiu, Tsan-Ming Choi, Xun Li

Autom., 2011

2010

Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls.

Jianhui Huang, Xun Li, Guangchen Wang

IEEE Trans. Autom. Control., 2010

System Uncertainty and Statistical Detection for Jump-diffusion Models.

Jianhui Huang, Xun Li

IEEE Trans. Autom. Control., 2010

Dynamic mean-variance portfolio selection with borrowing constraint.

Chenpeng Fu, Ali Lari-Lavassani, Xun Li

Eur. J. Oper. Res., 2010

Near-optimal control problems for linear forward-backward stochastic systems.

Jianhui Huang, Xun Li, Guangchen Wang

Autom., 2010

2009

A high-order Markov-switching model for risk measurement.

Tak Kuen Siu, Wai-Ki Ching, Eric S. Fung, Michael K. Ng, Xun Li

Comput. Math. Appl., 2009

2008

On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices.

Xun Li, Zhenyu Wu

Comput. Oper. Res., 2008

2003

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

Xun Li, Xun Yu Zhou, Mustapha Ait Rami

J. Glob. Optim., 2003

2002

Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints.

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

SIAM J. Control. Optim., 2002