# Xun Yu Zhou

According to our database

Collaborative distances:

^{1}, Xun Yu Zhou authored at least 59 papers between 1996 and 2020.Collaborative distances:

## Timeline

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Book In proceedings Article PhD thesis Other## Links

#### On csauthors.net:

## Bibliography

2020

SIAM J. Control. Optim., 2020

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

J. Mach. Learn. Res., 2020

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

J. Econ. Theory, 2020

2019

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

SIAM J. Control. Optim., 2019

Large scale continuous-time mean-variance portfolio allocation via reinforcement learning.

CoRR, 2019

CoRR, 2019

2017

SIAM J. Financial Math., 2017

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

SIAM J. Control. Optim., 2017

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

Oper. Res., 2017

2015

Math. Oper. Res., 2015

2013

SIAM J. Control. Optim., 2013

2012

SIAM J. Control. Optim., 2012

2011

Manag. Sci., 2011

2010

SIAM J. Financial Math., 2010

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

SIAM J. Control. Optim., 2010

2009

SIAM J. Control. Optim., 2009

SIAM J. Control. Optim., 2009

2008

SIAM J. Control. Optim., 2008

Proceedings of the 47th IEEE Conference on Decision and Control, 2008

2007

SIAM J. Control. Optim., 2007

2006

Oper. Res., 2006

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

Commun. Inf. Syst., 2006

2005

IEEE Trans. Autom. Control., 2005

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

SIAM J. Control. Optim., 2005

SIAM J. Control. Optim., 2005

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

SIAM J. Control. Optim., 2005

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

Autom., 2005

2004

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

IEEE Trans. Autom. Control., 2004

SIAM Rev., 2004

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

SIAM J. Control. Optim., 2004

2003

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

SIAM J. Control. Optim., 2003

SIAM J. Control. Optim., 2003

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

SIAM J. Control. Optim., 2003

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

J. Glob. Optim., 2003

Autom., 2003

2002

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

IEEE Trans. Autom. Control., 2002

Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation.

SIAM J. Control. Optim., 2002

SIAM J. Control. Optim., 2002

Math. Oper. Res., 2002

Commun. Inf. Syst., 2002

2001

IEEE Trans. Autom. Control., 2001

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

IEEE Trans. Autom. Control., 2001

IEEE Trans. Autom. Control., 2001

SIAM J. Control. Optim., 2001

SIAM J. Control. Optim., 2001

SIAM J. Control. Optim., 2001

2000

Stability of real-time lot-scheduling and machine replacement policies with quality levels.

IEEE Trans. Autom. Control., 2000

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

IEEE Trans. Autom. Control., 2000

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

IEEE Trans. Autom. Control., 2000

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

SIAM J. Control. Optim., 2000

SIAM J. Control. Optim., 2000

1999

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

IEEE Trans. Autom. Control., 1999

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

Oper. Res., 1999

1998

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

Proceedings of the Control of Distributed Parameter and Stochastic Systems, 1998

On LQG Control of Linear Stochastic Systems with Control Dependent Noise.

Proceedings of the Control of Distributed Parameter and Stochastic Systems, 1998

1997

Hierarchical production controls in a stochastic two-machine flowshop with a finite internal buffer.

IEEE Trans. Robotics Autom., 1997

Computational Evaluation of Hierarchical Production Control Policies for Stochastic Manufacturing Systems.

Oper. Res., 1997

1996

Oper. Res. Lett., 1996

Deterministic Near-Optimal Controls. Part II: Dynamic Programming and Viscosity Solution Approach.

Math. Oper. Res., 1996