Xun Yu Zhou

Publication Activity (10 Years)

Years Active: 1994-2024
Publications (10 Years): 32

Top Topics

Portfolio Selection

Stochastic Control

Reinforcement Learning

Markov Decision Processes

Top Venues

SIAM J. Control. Optim.

J. Mach. Learn. Res.

Publications

Yilie Huang, Yanwei Jia, Xun Yu Zhou
Sublinear Regret for An Actor-Critic Algorithm in Continuous-Time Linear-Quadratic Reinforcement Learning. CoRR (2024)
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
Reinforcement Learning for Jump-Diffusions. CoRR (2024)
Sang Hu, Jan Oblój, Xun Yu Zhou
A Casino Gambling Model Under Cumulative Prospect Theory: Analysis and Algorithm. Manag. Sci. 69 (4) (2023)
Yun Shi, Xiangyu Cui, Xun Yu Zhou
Beta and Coskewness Pricing: Perspective from Probability Weighting. Oper. Res. 71 (2) (2023)
Yanwei Jia, Xun Yu Zhou
q-Learning in Continuous Time. J. Mach. Learn. Res. 24 (2023)
Min Dai, Yuchao Dong, Yanwei Jia, Xun Yu Zhou
Learning Merton's Strategies in an Incomplete Market: Recursive Entropy Regularization and Biased Gaussian Exploration. CoRR (2023)
Xia Han, Ruodu Wang, Xun Yu Zhou
Choquet Regularization for Continuous-Time Reinforcement Learning. SIAM J. Control. Optim. 61 (5) (2023)
Xuefeng Gao, Zuo Quan Xu, Xun Yu Zhou
State-Dependent Temperature Control for Langevin Diffusions. SIAM J. Control. Optim. 60 (3) (2022)
Xia Han, Ruodu Wang, Xun Yu Zhou
Choquet regularization for reinforcement learning. CoRR (2022)
Xuefeng Gao, Xun Yu Zhou
Square-root regret bounds for continuous-time episodic Markov decision processes. CoRR (2022)
Wenpin Tang, Yuming Paul Zhang, Xun Yu Zhou
Exploratory HJB Equations and Their Convergence. SIAM J. Control. Optim. 60 (6) (2022)
Wenpin Tang, Xiao Xu, Xun Yu Zhou
Asset selection via correlation blockmodel clustering. Expert Syst. Appl. 195 (2022)
Jose H. Blanchet, Lin Chen, Xun Yu Zhou
Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances. Manag. Sci. 68 (9) (2022)
Yanwei Jia, Xun Yu Zhou
q-Learning in Continuous Time. CoRR (2022)
Yanwei Jia, Xun Yu Zhou
Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach. J. Mach. Learn. Res. 23 (2022)
Kaizheng Wang, Xiao Xu, Xun Yu Zhou
Variable Clustering via Distributionally Robust Nodewise Regression. CoRR (2022)
Yilie Huang, Yanwei Jia, Xun Yu Zhou
Achieving Mean-Variance Efficiency by Continuous-Time Reinforcement Learning. ICAIF (2022)
Xuefeng Gao, Xun Yu Zhou
Logarithmic regret bounds for continuous-time average-reward Markov decision processes. CoRR (2022)
Yanwei Jia, Xun Yu Zhou
Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms. J. Mach. Learn. Res. 23 (2022)
Ken Seng Tan, Wei Wei, Xun Yu Zhou
Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency. SIAM J. Control. Optim. 59 (6) (2021)
Yanwei Jia, Xun Yu Zhou
Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach. CoRR (2021)
Yanwei Jia, Xun Yu Zhou
Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms. CoRR (2021)
Sebastian Ebert, Wei Wei, Xun Yu Zhou
Weighted discounting - On group diversity, time-inconsistency, and consequences for investment. J. Econ. Theory 189 (2020)
Haoran Wang, Thaleia Zariphopoulou, Xun Yu Zhou
Reinforcement Learning in Continuous Time and Space: A Stochastic Control Approach. J. Mach. Learn. Res. 21 (2020)
Xuefeng Gao, Zuo Quan Xu, Xun Yu Zhou
State-Dependent Temperature Control for Langevin Diffusions. CoRR (2020)
Bahman Angoshtari, Thaleia Zariphopoulou, Xun Yu Zhou
Predictable Forward Performance Processes: The Binomial Case. SIAM J. Control. Optim. 58 (1) (2020)
Haoran Wang, Xun Yu Zhou
Continuous-Time Mean-Variance Portfolio Optimization via Reinforcement Learning. CoRR (2019)
Haoran Wang, Xun Yu Zhou
Large scale continuous-time mean-variance portfolio allocation via reinforcement learning. CoRR (2019)
Xue Dong He, Sang Hu, Jan Oblój, Xun Yu Zhou
Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers. SIAM J. Control. Optim. 57 (3) (2019)
Xue Dong He, Sang Hu, Jan Oblój, Xun Yu Zhou
Technical Note - Path-Dependent and Randomized Strategies in Barberis' Casino Gambling Model. Oper. Res. 65 (1) (2017)
Xue Dong He, Roy Kouwenberg, Xun Yu Zhou
Rank-Dependent Utility and Risk Taking in Complete Markets. SIAM J. Financial Math. 8 (1) (2017)
Ying Hu, Hanqing Jin, Xun Yu Zhou
Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium. SIAM J. Control. Optim. 55 (2) (2017)
Xue Dong He, Hanqing Jin, Xun Yu Zhou
Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR. Math. Oper. Res. 40 (3) (2015)
Zhongmin Qian, Xun Yu Zhou
Existence of Solutions to a Class of Indefinite Stochastic Riccati Equations. SIAM J. Control. Optim. 51 (1) (2013)
Ying Hu, Hanqing Jin, Xun Yu Zhou
Time-Inconsistent Stochastic Linear-Quadratic Control. SIAM J. Control. Optim. 50 (3) (2012)
Xue Dong He, Xun Yu Zhou
Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment. Manag. Sci. 57 (2) (2011)
Fausto Gozzi, Andrzej Swiech, Xun Yu Zhou
Erratum: "A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions". SIAM J. Control. Optim. 48 (6) (2010)
Min Dai, Zuo Quan Xu, Xun Yu Zhou
Continuous-Time Markowitz's Model with Transaction Costs. SIAM J. Financial Math. 1 (1) (2010)
Qing Zhang, Xun Yu Zhou
Valuation of Stock Loans with Regime Switching. SIAM J. Control. Optim. 48 (3) (2009)
Huyên Pham, Vathana Ly Vath, Xun Yu Zhou
Optimal Switching over Multiple Regimes. SIAM J. Control. Optim. 48 (4) (2009)
Hiroaki Morimoto, Xun Yu Zhou
Optimal Consumption in a Growth Model with the Cobb--Douglas Production Function. SIAM J. Control. Optim. 47 (6) (2008)
Hanqing Jin, Xun Yu Zhou
Continuous-time behavioral portfolio selection. CDC (2008)
Jie Xiong, Xun Yu Zhou
Mean-Variance Portfolio Selection under Partial Information. SIAM J. Control. Optim. 46 (1) (2007)
Shaolin Ji, Xun Yu Zhou
A maximum principle for stochastic optimal control with terminal state constraints, and its applications. Commun. Inf. Syst. 6 (4) (2006)
David D. Yao, Shuzhong Zhang, Xun Yu Zhou
Tracking a Financial Benchmark Using a Few Assets. Oper. Res. 54 (2) (2006)
Fausto Gozzi, Andrzej Swiech, Xun Yu Zhou
A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions. SIAM J. Control. Optim. 43 (6) (2005)
Andrew E. B. Lim, Xun Yu Zhou
A new risk-sensitive maximum principle. IEEE Trans. Autom. Control. 50 (7) (2005)
Ying Hu, Xun Yu Zhou
Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection. SIAM J. Control. Optim. 44 (2) (2005)
Yaozhong Hu, Xun Yu Zhou
Stochastic Control for Linear Systems Driven by Fractional Noises. SIAM J. Control. Optim. 43 (6) (2005)
Yuanjin Liu, Gang George Yin, Xun Yu Zhou
Near-optimal controls of random-switching LQ problems with indefinite control weight costs. Autom. 41 (6) (2005)
David D. Yao, Shuzhong Zhang, Xun Yu Zhou
Stochastic Linear-Quadratic Control via Primal-Dual Semidefinite Programming. SIAM Rev. 46 (1) (2004)
Hanqing Jin, Jia-An Yan, Xun Yu Zhou
Mean-risk portfolio selection models in continuous time. CDC (2004)
Gang George Yin, Xun Yu Zhou
Markowitz's mean-variance portfolio selection with regime switching: from discrete-time models to their continuous-time limits. IEEE Trans. Autom. Control. 49 (3) (2004)
Xi Chen, Xun Yu Zhou
Stochastic Linear-Quadratic Control with Conic Control Constraints on an Infinite Time Horizon. SIAM J. Control. Optim. 43 (3) (2004)
Andrew E. B. Lim, Xun Yu Zhou
A maximum principle for risk-sensitive control. CDC (2003)
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 Yu Zhou, Gang George Yin
Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model. SIAM J. Control. Optim. 42 (4) (2003)
Ying Hu, Xun Yu Zhou
Indefinite Stochastic Riccati Equations. SIAM J. Control. Optim. 42 (1) (2003)
Andrew E. B. Lim, Xun Yu Zhou, John B. Moore
Multiple-objective risk-sensitive control and its small noise limit. Autom. 39 (3) (2003)
Tomasz R. Bielecki, Stanley R. Pliska, Hanqing Jin, Xun Yu Zhou
Continuous-time mean-variance portfolio choice with no-bankruptcy constraint. CDC (2003)
Tahir Choulli, Michael Taksar, Xun Yu Zhou
A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control. SIAM J. Control. Optim. 41 (6) (2003)
Hanzhong Wu, Xun Yu Zhou
Characterizing all optimal controls for an indefinite stochastic linear quadratic control problem. IEEE Trans. Autom. Control. 47 (7) (2002)
Andrew E. B. Lim, Xun Yu Zhou
Mean-Variance Portfolio Selection with Random Parameters in a Complete Market. Math. Oper. Res. 27 (1) (2002)
Xun Yu Zhou, George Yin
Continuous-time mean-variance portfolio selection with regime switching. CDC (2002)
Xun Li, Xun Yu Zhou
Indefinite stochastic LQ controls with Markovian jumps in a finite time horizon. Commun. Inf. Syst. 2 (3) (2002)
Mustapha Ait Rami, John B. Moore, Xun Yu Zhou
Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation. SIAM J. Control. Optim. 40 (4) (2002)
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)
David D. Yao, Shuzhong Zhang, Xun Yu Zhou
Stochastic Linear-Quadratic Control via Semidefinite Programming. SIAM J. Control. Optim. 40 (3) (2001)
David D. Yao, Shuzhong Zhang, Xun Yu Zhou
A primal-dual semi-definite programming approach to linear quadratic control. IEEE Trans. Autom. Control. 46 (9) (2001)
Mustapha Ait Rami, Xi Chen, John B. Moore, Xun Yu Zhou
Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls. IEEE Trans. Autom. Control. 46 (3) (2001)
Hanzhong Wu, Xun Yu Zhou
Frequency domain approach for stochastic systems. CDC (2001)
Xun Li, Xun Yu Zhou, Mustapha Ait Rami
Indefinite stochastic LQ control with jumps. CDC (2001)
Tahir Choulli, Michael Taksar, Xun Yu Zhou
Optimal risk control and dividend distribution for a financial corporation with policy constraints. CDC (2001)
Andrew E. B. Lim, Xun Yu Zhou
Mean-variance portfolio selection via LQ optimal control. CDC (2001)
Mustapha Ait Rami, John B. Moore, Xun Yu Zhou
Indefinite stochastic linear quadratic control and generalized differential Riccati equation. CDC (2001)
Tahir Choulli, Michael Taksar, Xun Yu Zhou
An optimization model for a company with constraints on risk control. CDC (2001)
Andrew E. B. Lim, Xun Yu Zhou
Linear-Quadratic Control of Backward Stochastic Differential Equations. SIAM J. Control. Optim. 40 (2) (2001)
Andrew E. B. Lim, Xun Yu Zhou
Risk-sensitive control with HARA utility. IEEE Trans. Autom. Control. 46 (4) (2001)
Mustapha Ait Rami, X. Chen, Xun Yu Zhou
Discrete-time indefinite LQ control with state and control dependent noises. CDC (2001)
Hanzhong Wu, Xun Yu Zhou
Stochastic Frequency Characteristics. SIAM J. Control. Optim. 40 (2) (2001)
Mustapha Ait Rami, Xun Yu Zhou
Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls. IEEE Trans. Autom. Control. 45 (6) (2000)
Ngo-Tai Fong, Xun Yu Zhou
Optimal feedback controls in deterministic two-machine flowshops with finite buffers. IEEE Trans. Autom. Control. 45 (6) (2000)
Shuping Chen, Xun Yu Zhou
Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II. SIAM J. Control. Optim. 39 (4) (2000)
Suresh P. Sethi, Gerhard Sorger, Xun Yu Zhou
Stability of real-time lot-scheduling and machine replacement policies with quality levels. IEEE Trans. Autom. Control. 45 (11) (2000)
Michael Kohlmann, Xun Yu Zhou
Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach. SIAM J. Control. Optim. 38 (5) (2000)
Andrew E. B. Lim, Xun Yu Zhou
Optimal control of backward stochastic differential equations: The linear-quadratic case. CDC (2000)
Andrew E. B. Lim, Xun Yu Zhou
Optimal control with HARA utility functions. CDC (2000)
Houmin Yan, Xun Yu Zhou, Gang George Yin
Approximating an Optimal Production Policy in a Continuous Flow Line: Recurrence and Asymptotic Properties. Oper. Res. 47 (4) (1999)
Andrew E. B. Lim, Xun Yu Zhou
Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights. IEEE Trans. Autom. Control. 44 (7) (1999)
John B. Moore, Xun Yu Zhou, Andrew E. B. Lim
On LQG Control of Linear Stochastic Systems with Control Dependent Noise. Control of Distributed Parameter and Stochastic Systems (1998)
Xun Yu Zhou, Duan Li
Explicit Efficient Frontier of a Continuous-Time Mean Variance Portfolio Selection Problem. Control of Distributed Parameter and Stochastic Systems (1998)
Wai-Ki Ching, Raymond H. Chan, Xun Yu Zhou
Circulant Preconditioners for Markov-Modulated Poisson Processes and Their Applications to Manufacturing Systems. SIAM J. Matrix Anal. Appl. 18 (2) (1997)
Suresh P. Sethi, Qing Zhang, Xun Yu Zhou
Hierarchical production controls in a stochastic two-machine flowshop with a finite internal buffer. IEEE Trans. Robotics Autom. 13 (1) (1997)
Chand Samaratunga, Suresh P. Sethi, Xun Yu Zhou
Computational Evaluation of Hierarchical Production Control Policies for Stochastic Manufacturing Systems. Oper. Res. 45 (2) (1997)
Xun Yu Zhou
Sufficient conditions of optimality for stochastic systems with controllable diffusions. IEEE Trans. Autom. Control. 41 (8) (1996)
Xun Yu Zhou
Deterministic Near-Optimal Controls. Part II: Dynamic Programming and Viscosity Solution Approach. Math. Oper. Res. 21 (3) (1996)
Suresh P. Sethi, Xun Yu Zhou
Optimal feedback controls in deterministic dynamic two-machine flowshops. Oper. Res. Lett. 19 (5) (1996)
Suresh P. Sethi, Xun Yu Zhou
Stochastic dynamic job shops and hierarchical production planning. IEEE Trans. Autom. Control. 39 (10) (1994)