Segui
Xunyu Zhou
Xunyu Zhou
Altri nomiXun Yu Zhou
Liu Family Professor of IEOR, Columbia University
Email verificata su columbia.edu - Home page
Titolo
Citata da
Citata da
Anno
Stochastic controls: Hamiltonian systems and HJB equations
J Yong, XY Zhou
Springer Science & Business Media, 2012
39532012
Continuous-time mean-variance portfolio selection: A stochastic LQ framework
XY Zhou, D Li
Applied Mathematics and Optimization 42, 19-33, 2000
12932000
Markowitz's mean-variance portfolio selection with regime switching: A continuous-time model
XY Zhou, G Yin
SIAM Journal on Control and Optimization 42 (4), 1466-1482, 2003
6202003
Mean–variance portfolio optimization with state‐dependent risk aversion
T Björk, A Murgoci, XY Zhou
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2014
5502014
Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
MA Rami, XY Zhou
IEEE Transactions on Automatic Control 45 (6), 1131-1143, 2000
5142000
Stochastic linear quadratic regulators with indefinite control weight costs
S Chen, X Li, XY Zhou
SIAM Journal on Control and Optimization 36 (5), 1685-1702, 1998
5121998
Continuous‐time mean‐variance portfolio selection with bankruptcy prohibition
TR Bielecki, H Jin, SR Pliska, XY Zhou
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2005
4022005
Dynamic mean-variance portfolio selection with no-shorting constraints
X Li, XY Zhou, AEB Lim
SIAM Journal on Control and Optimization 40 (5), 1540-1555, 2002
3822002
Behavioral portfolio selection in continuous time
H Jin, X Yu Zhou
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2008
3582008
Portfolio choice under cumulative prospect theory: An analytical treatment
XD He, XY Zhou
Management Science 57 (2), 315-331, 2011
3552011
Mean-variance portfolio selection with random parameters in a complete market
AEB Lim, XY Zhou
Mathematics of Operations Research 27 (1), 101-120, 2002
3502002
Markowitz's mean-variance portfolio selection with regime switching: From discrete-time models to their continuous-time limits
G Yin, XY Zhou
IEEE Transactions on automatic control 49 (3), 349-360, 2004
3042004
Time-inconsistent stochastic linear--quadratic control
Y Hu, H Jin, XY Zhou
SIAM journal on Control and Optimization 50 (3), 1548-1572, 2012
2832012
Portfolio optimization under a minimax rule
X Cai, KL Teo, X Yang, XY Zhou
Management Science 46 (7), 957-972, 2000
2312000
Discrete-time indefinite LQ control with state and control dependent noises
MA Rami, X Chen, XY Zhou
Journal of Global Optimization 23, 245-265, 2002
2242002
Reinforcement learning in continuous time and space: A stochastic control approach
H Wang, T Zariphopoulou, XY Zhou
Journal of Machine Learning Research 21 (198), 1-34, 2020
217*2020
Relationship between backward stochastic differential equations and stochastic controls: a linear-quadratic approach
M Kohlmann, XY Zhou
SIAM Journal on Control and Optimization 38 (5), 1392-1407, 2000
2132000
Indefinite stochastic linear quadratic control and generalized differential Riccati equation
MA Rami, JB Moore, XY Zhou
SIAM Journal on Control and Optimization 40 (4), 1296-1311, 2002
2112002
A regime-switching model for European options
DD Yao, Q Zhang, XY Zhou
Stochastic Processes, Optimization, and Control Theory: Applications in …, 2006
1862006
A mean-field stochastic maximum principle via Malliavin calculus
T Meyer-Brandis, B Øksendal, XY Zhou
Stochastics An International Journal of Probability and Stochastic Processes …, 2012
182*2012
Il sistema al momento non può eseguire l'operazione. Riprova più tardi.
Articoli 1–20