Xun Yu Zhou
Orcid: 0000-0001-9908-5697
According to our database1,
Xun Yu Zhou
authored at least 92 papers
between 1994 and 2023.
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Bibliography
2023
SIAM J. Control. Optim., October, 2023
Manag. Sci., April, 2023
Oper. Res., March, 2023
Learning Merton's Strategies in an Incomplete Market: Recursive Entropy Regularization and Biased Gaussian Exploration.
CoRR, 2023
2022
SIAM J. Control. Optim., 2022
Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances.
Manag. Sci., 2022
Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms.
J. Mach. Learn. Res., 2022
Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach.
J. Mach. Learn. Res., 2022
CoRR, 2022
Logarithmic regret bounds for continuous-time average-reward Markov decision processes.
CoRR, 2022
Proceedings of the 3rd ACM International Conference on AI in Finance, 2022
2021
Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency.
SIAM J. Control. Optim., 2021
2020
SIAM J. Control. Optim., 2020
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
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
2008
SIAM J. Control. Optim., 2008
Proceedings of the 47th IEEE Conference on Decision and Control, 2008
2007
SIAM J. Control. Optim., 2007
2006
A maximum principle for stochastic optimal control with terminal state constraints, and its applications.
Commun. Inf. Syst., 2006
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
Proceedings of the 43rd IEEE Conference on Decision and Control, 2004
2003
Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model.
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
Proceedings of the 42nd IEEE Conference on Decision and Control, 2003
Proceedings of the 42nd IEEE Conference on Decision and Control, 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
Proceedings of the 41st IEEE Conference on Decision and Control, 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
SIAM J. Control. Optim., 2001
SIAM J. Control. Optim., 2001
Proceedings of the 40th IEEE Conference on Decision and Control, 2001
Proceedings of the 40th IEEE Conference on Decision and Control, 2001
Proceedings of the 40th IEEE Conference on Decision and Control, 2001
Proceedings of the 40th IEEE Conference on Decision and Control, 2001
Proceedings of the 40th IEEE Conference on Decision and Control, 2001
Optimal risk control and dividend distribution for a financial corporation with policy constraints.
Proceedings of the 40th IEEE Conference on Decision and Control, 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
Optimal control of backward stochastic differential equations: The linear-quadratic case.
Proceedings of the 39th IEEE Conference on Decision and Control, 2000
Proceedings of the 39th IEEE Conference on Decision and Control, 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
Circulant Preconditioners for Markov-Modulated Poisson Processes and Their Applications to Manufacturing Systems.
SIAM J. Matrix Anal. Appl., April, 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
Sufficient conditions of optimality for stochastic systems with controllable diffusions.
IEEE Trans. Autom. Control., 1996
Oper. Res. Lett., 1996
Deterministic Near-Optimal Controls. Part II: Dynamic Programming and Viscosity Solution Approach.
Math. Oper. Res., 1996
1994
IEEE Trans. Autom. Control., 1994