Xun Yu Zhou

SIAM J. Control. Optim., 2020

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

[BibT_eX]

[DOI]

Haoran Wang

Thaleia Zariphopoulou

J. Mach. Learn. Res., 2020

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

[BibT_eX]

[DOI]

Sebastian Ebert

Wei Wei

J. Econ. Theory, 2020

2019

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

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2019

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

[BibT_eX]

[DOI]

Haoran Wang

CoRR, 2019

Continuous-Time Mean-Variance Portfolio Optimization via Reinforcement Learning.

[BibT_eX]

[DOI]

Haoran Wang

CoRR, 2019

2017

Rank-Dependent Utility and Risk Taking in Complete Markets.

[BibT_eX]

[DOI]

Xue Dong He

Roy Kouwenberg

SIAM J. Financial Math., 2017

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

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2017

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

[BibT_eX]

[DOI]

Oper. Res., 2017

2015

Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR.

[BibT_eX]

[DOI]

Xue Dong He

Math. Oper. Res., 2015

2013

Existence of Solutions to a Class of Indefinite Stochastic Riccati Equations.

[BibT_eX]

[DOI]

Zhongmin Qian

SIAM J. Control. Optim., 2013

2012

Time-Inconsistent Stochastic Linear-Quadratic Control.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2012

2011

Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment.

[BibT_eX]

[DOI]

Xue Dong He

Manag. Sci., 2011

2010

Continuous-Time Markowitz's Model with Transaction Costs.

[BibT_eX]

[DOI]

Min Dai

Zuo Quan Xu

SIAM J. Financial Math., 2010

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

[BibT_eX]

[DOI]

Fausto Gozzi

Andrzej Swiech

SIAM J. Control. Optim., 2010

2009

Valuation of Stock Loans with Regime Switching.

[BibT_eX]

[DOI]

Qing Zhang

SIAM J. Control. Optim., 2009

Optimal Switching over Multiple Regimes.

[BibT_eX]

[DOI]

Huyên Pham

Vathana Ly Vath

SIAM J. Control. Optim., 2009

2008

Optimal Consumption in a Growth Model with the Cobb--Douglas Production Function.

[BibT_eX]

[DOI]

Hiroaki Morimoto

SIAM J. Control. Optim., 2008

Continuous-time behavioral portfolio selection.

[BibT_eX]

[DOI]

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

2007

Mean-Variance Portfolio Selection under Partial Information.

[BibT_eX]

[DOI]

Jie Xiong

SIAM J. Control. Optim., 2007

2006

Tracking a Financial Benchmark Using a Few Assets.

[BibT_eX]

[DOI]

Oper. Res., 2006

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

[BibT_eX]

[DOI]

Shaolin Ji

Commun. Inf. Syst., 2006

2005

A new risk-sensitive maximum principle.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2005

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

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2005

Stochastic Control for Linear Systems Driven by Fractional Noises.

[BibT_eX]

[DOI]

Yaozhong Hu

SIAM J. Control. Optim., 2005

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

[BibT_eX]

[DOI]

Fausto Gozzi

Andrzej Swiech

SIAM J. Control. Optim., 2005

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

[BibT_eX]

[DOI]

Yuanjin Liu

Autom., 2005

2004

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

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2004

Stochastic Linear-Quadratic Control via Primal-Dual Semidefinite Programming.

[BibT_eX]

[DOI]

SIAM Rev., 2004

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

[BibT_eX]

[DOI]

Xi Chen

SIAM J. Control. Optim., 2004

2003

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

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2003

Indefinite Stochastic Riccati Equations.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2003

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

[BibT_eX]

[DOI]

Tahir Choulli

Michael Taksar

SIAM J. Control. Optim., 2003

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

[BibT_eX]

[DOI]

Xun Li

Mustapha Ait Rami

J. Glob. Optim., 2003

Multiple-objective risk-sensitive control and its small noise limit.

[BibT_eX]

[DOI]

John B. Moore

Autom., 2003

2002

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

[BibT_eX]

[DOI]

Hanzhong Wu

IEEE Trans. Autom. Control., 2002

Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation.

[BibT_eX]

[DOI]

Mustapha Ait Rami

John B. Moore

SIAM J. Control. Optim., 2002

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

[BibT_eX]

[DOI]

Xun Li

SIAM J. Control. Optim., 2002

Mean-Variance Portfolio Selection with Random Parameters in a Complete Market.

[BibT_eX]

[DOI]

Math. Oper. Res., 2002

Indefinite stochastic LQ controls with Markovian jumps in a finite time horizon.

[BibT_eX]

[DOI]

Xun Li

Commun. Inf. Syst., 2002

2001

A primal-dual semi-definite programming approach to linear quadratic control.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2001

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

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2001

Risk-sensitive control with HARA utility.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2001

Stochastic Linear-Quadratic Control via Semidefinite Programming.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2001

Stochastic Frequency Characteristics.

[BibT_eX]

[DOI]

Hanzhong Wu

SIAM J. Control. Optim., 2001

Linear-Quadratic Control of Backward Stochastic Differential Equations.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2001

2000

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

[BibT_eX]

[DOI]

Gerhard Sorger

IEEE Trans. Autom. Control., 2000

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

[BibT_eX]

[DOI]

Mustapha Ait Rami

IEEE Trans. Autom. Control., 2000

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

[BibT_eX]

[DOI]

Ngo-Tai Fong

IEEE Trans. Autom. Control., 2000

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

[BibT_eX]

[DOI]

Michael Kohlmann

SIAM J. Control. Optim., 2000

Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II.

[BibT_eX]

[DOI]

Shuping Chen

SIAM J. Control. Optim., 2000

1999

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

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 1999

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

[BibT_eX]

[DOI]

Houmin Yan

Oper. Res., 1999

1998

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

[BibT_eX]

Duan Li

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

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

[BibT_eX]

John B. Moore

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.

[BibT_eX]

[DOI]

Qing Zhang

IEEE Trans. Robotics Autom., 1997

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

[BibT_eX]

[DOI]

Chand Samaratunga

Oper. Res., 1997

1996

Optimal feedback controls in deterministic dynamic two-machine flowshops.

[BibT_eX]

[DOI]

Oper. Res. Lett., 1996

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

[BibT_eX]

[DOI]