Hu Y., Li X. and Wen J.Q., Anticipated backward stochastic differential equations with quadratic growth, Journal of Differential Equations, 270 (2021), 1298-1331.
Li N., Li X. and Yu Z.Y., Indefinite mean-field type linear-quadratic stochastic optimal control problems, Automatica, 122 (2020), 109267.
Guan C.H., Li X. and Zhou W.X., An optimal investment problem with non-smooth and non-concave utility over a finite time horizon, SIAM Journal on Financial Mathematics, 11 (2020), 411-436.
Ni Y.H., Li X., Zhang J.F. and Krstic M., Mixed equilibrium solution of time-inconsistent stochastic LQ problem, SIAM Journal on Control and Optimization, 57 (2019), 533-569.
Kang Z.L., Li X., Li Z.F. and Zhu S.S., Data-driven robust mean-CVaR portfolio selection under distribution ambiguity, Quantitative Finance, Accepted for publication, 19 (2019), 105-121.
Li X., Sun J.R. and Xiong J., Linear quadratic optimal control problems for mean-field backward stochastic differential equations, Applied Mathematics & Optimization, Accepted for publication, 80 (2019), 223-250.
Hu Y., Huang J. and Li X., Linear quadratic mean field game with control input constraint, ESAIM: Control, Optimisation and Calculus of Variations, 24 (2018), 901-919.
Cui X.Y., Li D. and Li X., Mean-variance policy for discrete-time cone constrained markets: The consistency in efficiency and minimum-variance signed supermartingale measure, Mathematical Finance, 27 (2017), 471-504.
Sun J.R., Li X. and Yong J.M., Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control, SIAM Journal on Control and Optimization, 54 (2016), 2274-2308.
Huang J., Li X. and Wang T.X., Mean-field linear-quadratic-Gaussian (LQG) games for stochastic integral systems, IEEE Transactions on Automatic Control, 61 (2016), 2670-2675.
Choi T.M., Li X. and Ma C., Search-based advertising auctions with choice-based budget constraint, IEEE Transactions on Systems, Man, and Cybernetics: Systems, 45 (2015), 1178-1186.
Cui X.Y., Li X. and Li D., Unified framework of mean-field formulations for optimal multi-period mean-variance portfolio selection, IEEE Transactions on Automatic Control, 59 (2014), 1833-1844.
Cui X.Y., Gao J.J., Li X. and Li D., Optimal multi-period mean-variance policy under no-shorting constraint, 60 years following Harry Markowitz's contribution to portfolio theory and operations research, European Journal of Operational Research, 234 (2014), 459-468.
Elliott R., Li X. and Ni Y.H., Discrete time mean-field stochastic linear-quadratic optimal control problems, Automatica, 49 (2013), 3222-3233.
Li X., Shen J. and Song Q.S., Saddle points of discrete Markov zero-sum game with stopping, Automatica, 48 (2012), 1898-1903.
Chiu C.H., Choi T.M. and Li X., Supply chain coordination with risk sensitive retailer under target sales rebate, Automatica, 47 (2011), 1617-1625.
Huang J., Li X. and Wang G., Near-optimal control problems for linear forward-backward stochastic systems, Automatica, 46 (2010), 397-404.
Huang J., Li X. and Wang G., Maximum principles for a class of partial information risk-sensitive optimal controls, IEEE Transactions on Automatic Control, 55 (2010), 1438-1443.
Huang J. and Li X., System uncertainty and statistical detection for jump-diffusion models, IEEE Transactions on Automatic Control, 55 (2010), 697-702.
Li X. and Zhou X.Y., Continuous-time mean-variance efficiency: The 80% rule, Annals of Applied Probability, 16 (2006), 1751-1763.
Li X., Zhou X.Y. and Lim A.E.B., Dynamic mean-variance portfolio selection with no-shorting constraints, SIAM Journal on Control and Optimization, 40 (2002), 1540-1555.