Xun Li

Publication Activity (10 Years)

Years Active: 2002-2024
Publications (10 Years): 32

Top Topics

Portfolio Selection

Control Problems

Infinite Horizon

Optimal Control

Top Venues

IEEE Trans. Autom. Control.

Syst. Control. Lett.

Oper. Res. Lett.

J. Oper. Res. Soc.

Publications

Zhaorong Zhang, Juanjuan Xu, Minyue Fu, Xun Li
Decentralized Optimal Control for Linear Stochastic Systems with Control Signals subject to Unknown Noises. ICCA (2024)
Wenjing Wang, Liang Xu, Juanjuan Xu, Xun Li, Huanshui Zhang
Linear quadratic optimal control for time-delay stochastic system with partial information. Int. J. Syst. Sci. 54 (10) (2023)
Xiangyu Cui, Xun Li, Yun Shi, Si Zhao
Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning. CoRR (2023)
Liangquan Zhang, Xun Li
Mean-variance portfolio selection under no-shorting rules: A BSDE approach. Syst. Control. Lett. 177 (2023)
Na Li, Xun Li, Jing Peng, Zuo Quan Xu
Stochastic Linear Quadratic Optimal Control Problem: A Reinforcement Learning Method. IEEE Trans. Autom. Control. 67 (9) (2022)
Xun Li, Allen H. Tai, Fei Tian
A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application. Int. J. Control 94 (1) (2021)
Yuan-Hua Ni, Xun Li, Ji-Feng Zhang, Miroslav Krstic
Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection. IEEE Trans. Autom. Control. 65 (4) (2020)
Chonghu Guan, Xun Li, Wenxin Zhou
An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon. SIAM J. Financial Math. 11 (2) (2020)
Xiangyu Cui, Xun Li, Lanzhi Yang
Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem. Oper. Res. Lett. 48 (6) (2020)
Na Li, Xun Li, Zhiyong Yu
Indefinite mean-field type linear-quadratic stochastic optimal control problems. Autom. 122 (2020)
Shuaiqi Zhang, Xun Li, Jie Xiong
A stochastic maximum principle for partially observed stochastic control systems with delay. Syst. Control. Lett. 146 (2020)
Weiping Wu, Jianjun Gao, Junguo Lu, Xun Li
On continuous-time constrained stochastic linear-quadratic control. Autom. 114 (2020)
Xun Li, Xianping Wu, Haixiang Yao
Multi-period asset-liability management with cash flows and probability constraints: A mean-field formulation approach. J. Oper. Res. Soc. 71 (10) (2020)
Liangquan Zhang, Xun Li
Mean field game for linear-quadratic stochastic recursive systems. Syst. Control. Lett. 134 (2019)
Yuan-Hua Ni, Xun Li, Ji-Feng Zhang, Miroslav Krstic
Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic Problem. SIAM J. Control. Optim. 57 (1) (2019)
Weiping Wu, Jianjun Gao, Junguo Lu, Xun Li
Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications. CoRR (2018)
Xiangyu Cui, Xun Li, Xianping Wu, Lan Yi
A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with an uncertain exit time. J. Oper. Res. Soc. 69 (4) (2018)
Chun-Hung Chiu, Shui-Hung Hou, Xun Li, Wei Liu
Real options approach for fashionable and perishable products using stock loan with regime switching. Ann. Oper. Res. 257 (1-2) (2017)
Xiangyu Cui, Xun Li, Duan Li, Yun Shi
Time consistent behavioral portfolio policy for dynamic mean-variance formulation. J. Oper. Res. Soc. 68 (12) (2017)
Yun Shi, Xun Li, Xiangyu Cui
Better than pre-committed optimal mean-variance policy in a jump diffusion market. Math. Methods Oper. Res. 85 (3) (2017)
Jianhui Huang, Xun Li, Tianxiao Wang
Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems. Syst. Control. Lett. 110 (2017)
Chun-Hung Chiu, Tsan-Ming Choi, Xun Li, Ka-Fai Cedric Yiu
Coordinating Supply Chains With a General Price-Dependent Demand Function: Impacts of Channel Leadership and Information Asymmetry. IEEE Trans. Engineering Management 63 (4) (2016)
Jingrui Sun, Xun Li, Jiongmin Yong
Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems. SIAM J. Control. Optim. 54 (5) (2016)
Jianhui Huang, Xun Li, Tianxiao Wang
Mean-Field Linear-Quadratic-Gaussian (LQG) Games for Stochastic Integral Systems. IEEE Trans. Autom. Control. 61 (9) (2016)
Yuan-Hua Ni, Xun Li, Ji-Feng Zhang
Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control: From Finite Horizon to Infinite Horizon. IEEE Trans. Autom. Control. 61 (11) (2016)
Xun Li, Zuo Quan Xu
Continuous-time Markowitz's model with constraints on wealth and portfolio. Oper. Res. Lett. 44 (6) (2016)
Yuan-Hua Ni, Xun Li, Ji-Feng Zhang
Mean-field stochastic linear-quadratic optimal control with Markov jump parameters. Syst. Control. Lett. 93 (2016)
Yuan-Hua Ni, Robert J. Elliott, Xun Li
Discrete-time mean-field Stochastic linear-quadratic optimal control problems, II: Infinite horizon case. Autom. 57 (2015)
Chun-Hung Chiu, Tsan-Ming Choi, Gang Hao, Xun Li
Innovative menu of contracts for coordinating a supply chain with multiple mean-variance retailers. Eur. J. Oper. Res. 246 (3) (2015)
Tsan-Ming Choi, Xun Li, Cheng Ma
Search-Based Advertising Auctions With Choice-Based Budget Constraint. IEEE Trans. Syst. Man Cybern. Syst. 45 (8) (2015)
Yuan-Hua Ni, Ji-Feng Zhang, Xun Li
Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control. IEEE Trans. Autom. Control. 60 (7) (2015)
Liangquan Zhang, Jianhui Huang, Xun Li
Necessary condition for near optimal control of linear forward-backward stochastic differential equations. Int. J. Control 88 (8) (2015)
Lan Yi, Xianping Wu, Xun Li, Xiangyu Cui
A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time. Oper. Res. Lett. 42 (8) (2014)
Xiangyu Cui, Xun Li, Duan Li
Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection. IEEE Trans. Autom. Control. 59 (7) (2014)
Xiangyu Cui, Jianjun Gao, Xun Li, Duan Li
Optimal multi-period mean-variance policy under no-shorting constraint. Eur. J. Oper. Res. 234 (2) (2014)
Yuan-Hua Ni, Xun Li
Consensus seeking in multi-agent systems with multiplicative measurement noises. Syst. Control. Lett. 62 (5) (2013)
Xing Jin, Xun Li, Hwee Huat Tan, Zhenyu Wu
A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction. Eur. J. Oper. Res. 231 (2) (2013)
Robert J. Elliott, Xun Li, Yuan-Hua Ni
Discrete time mean-field stochastic linear-quadratic optimal control problems. Autom. 49 (11) (2013)
Xun Li, Jie Shen, Qingshuo Song
Saddle points of discrete Markov zero-sum game with stopping. Autom. 48 (8) (2012)
Jianhui Huang, Xun Li, Jingtao Shi
Forward-backward linear quadratic stochastic optimal control problem with delay. Syst. Control. Lett. 61 (5) (2012)
Chun-Hung Chiu, Tsan-Ming Choi, Xun Li
Supply chain coordination with risk sensitive retailer under target sales rebate. Autom. 47 (8) (2011)
Eddie C. M. Hui, Jianhui Huang, Xun Li, Guangchen Wang
Near-optimal control for stochastic recursive problems. Syst. Control. Lett. 60 (3) (2011)
Jianhui Huang, Xun Li
System Uncertainty and Statistical Detection for Jump-diffusion Models. IEEE Trans. Autom. Control. 55 (3) (2010)
Chenpeng Fu, Ali Lari-Lavassani, Xun Li
Dynamic mean-variance portfolio selection with borrowing constraint. Eur. J. Oper. Res. 200 (1) (2010)
Jianhui Huang, Xun Li, Guangchen Wang
Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls. IEEE Trans. Autom. Control. 55 (6) (2010)
Jianhui Huang, Xun Li, Guangchen Wang
Near-optimal control problems for linear forward-backward stochastic systems. Autom. 46 (2) (2010)
Tak Kuen Siu, Wai-Ki Ching, Eric S. Fung, Michael K. Ng, Xun Li
A high-order Markov-switching model for risk measurement. Comput. Math. Appl. 58 (1) (2009)
Xun Li, Zhenyu Wu
On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices. Comput. Oper. Res. 35 (1) (2008)
Xun Li, Xun Yu Zhou, Mustapha Ait Rami
Indefinite Stochastic Linear Quadratic Control with Markovian Jumps in Infinite Time Horizon. J. Glob. Optim. 27 (2-3) (2003)
Xun Li, Xun Yu Zhou, Andrew E. B. Lim
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints. SIAM J. Control. Optim. 40 (5) (2002)