Research Interest
Education
Professional Experience
Editorship
Research Paper
Zuoquan Xu (许左权)
I am seeking for Ph.D candidates in mathematical finance and stochastic control. A candidate is expected to hold a bachlor degree in applied or pure mathematics from a world leading university. Anyone without a master or M.Phil degree will not be considered.
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l Office: TU828, Core T (Campus Map)
l Address: Department of Applied Mathematics, The Hong Kong Polytechnic University, Kowloon, Hong Kong, China
l Phone: (+852) 2766 6962
l Email: maxu [at] polyu.edu.hk
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Mathematical Finance & Financial Engineering
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Behavioral Finance
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Insurance & Risk Management
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Stochastic Control
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Free Boundary Problem in Finance
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Ph.D. Department of Systems Engineering and
Engineering Management, The Chinese
University of Hong Kong, Hong Kong, China
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M.Phil. School of Mathematical Sciences,
Peking University, Beijing, China
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B.Sc. School of Mathematical Sciences,
Nankai University, Tianjin, China
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Assistant/Associate Professor, Department of Applied
Mathematics, The Hong Kong Polytechnic
University, Hong Kong, China
l Nomura
Research Fellow in Mathematical Finance,
Mathematical Institute, The University of Oxford, UK
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Associate Member, Oxford-Man Institute of
Quantitative Finance, The University of Oxford,
UK
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Post-Doc, Department of Systems Engineering and
Engineering Management, The Chinese
University of Hong Kong, Hong Kong, China
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Mathematics of Operations Research
Associate Editor
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Digital Finance
Associate Editor
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Mathematics
Guest Editor
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Journal of Risk and Financial Management
Guest Editor
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Chonghu Guan, Jiacheng Fan, Zuo Quan Xu.
Optimal dividend payout with path-dependent drawdown constraint,
arXiv version
l
Ying Hu, Xiaomin Shi, Zuo Quan Xu.
Comparison theorems for multi-dimensional BSDEs with jumps and stochastic linear-quadratic control with jumps,
arXiv version
l
Na Li, Xun Li, Zuo Quan Xu.
Policy iteration reinforcement learning method for continuous-time mean-field linear-quadratic optimal problem,
arXiv version
l
Chonghu Guan, Zuo Quan Xu.
Optimal ratcheting of dividend payout under Brownian motion surplus,
arXiv version
l
Hui Mi, Zuo Quan Xu.
Optimal management of DC pension plan with inflation risk and tail VaR constraint,
arXiv version
l
Yunhong Li, Zuo Quan Xu.
Stochastic linear-quadratic control with regime switching and controlled time,
l
Panpan Zhang, Zuo Quan Xu.
Multidimensional indefinite stochastic Riccati equations and zero-sum linear-quadratic stochastic differential games with non-Markovian regime switching,
arXiv version
l
Ying Hu, Xiaomin Shi, Zuo Quan Xu.
Optimal consumption-investment with coupled constraints on consumption and investment strategies in a regime switching market with random coefficients,
arXiv version
l
Xiaomin Shi, Zuo Quan Xu.
Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients,
Systems and Control Letters, (2024).
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Ying Hu, Xiaomin Shi, Zuo Quan Xu.
Non-homogeneous stochastic LQ control with regime switching and random coefficients,
Mathematical Control and Related Fields, 14 (2024), 671-694.
published version
arXiv version
l
Zhuo Jin, Zuo Quan Xu, Bin Zou.
Optimal moral-hazard-free reinsurance under extended distortion premium principles,
SIAM Journal on Control and Optimization, (2023).
arXiv version
l
Pengyu Wei, Zuo Quan Xu.
Dynamic growth-optimum portfolio choice under risk control,
arXiv version
l
Zuo Quan Xu.
Moral-hazard-free insurance contract design under rank-dependent utility theory,
arXiv version
l
Yunhong Li, Zuo Quan Xu, Xun Yu Zhou.
Robust utility maximization with intractable claims,
Finance and Stochastics, 27 (2023) 985-1015.
published version
arXiv version
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Jing Peng, Pengyu Wei, Zuo Quan Xu.
Relative growth rate optimization under behavioral criterion,
SIAM Journal on Financial Mathematics, 14 (2023), 1140-1174.
published version
arXiv version
l
Chonghu Guan, Xiaomin Shi, Zuo Quan Xu.
Continuous-time Markowitz’s mean-variance model under different borrowing and saving rates,
Journal of Optimization Theory and Applications, 199 (2023), 167-208.
published version
arXiv version
l
Ying Hu, Xiaomin Shi, Zuo Quan Xu.
Constrained monotone mean-variance problem with random coefficients,
SIAM Journal on Financial Mathematics, 14 (2023), 838-854.
published version
arXiv version
l
Hui Mi, Zuo Quan Xu.
Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility,
Insurance: Mathematics and Economics, 110 (2023), 82-105.
published version
SSRN version
l
Ying Hu, Xiaomin Shi, Zuo Quan Xu.
Stochastic linear-quadratic control with a jump and regime switching on a random horizon,
Mathematical Control and Related Fields, 13 (2023), 1597-1617.
published version
arXiv version
l
Ying Hu, Shanjian Tang, Zuo Quan Xu.
Optimal control of SDES with expected path constraints and related constrained FBSDES,
Probability, Uncertainty and Quantitative Risk, 7 (2022), 365-384.
published version
arXiv version
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Xiangyu Wang, Jianming Xia, Zuo Quan Xu, Zhou Yang.
Minimal quantile functions subject to stochastic dominance constraints,
SIAM Journal on Financial Mathematics, 13 (2022), SC87-SC98.
published version
arXiv version l
Mingyu Xu, Zuo Quan Xu, Xun Yu Zhou.
g-Expectation of Distributions,
Probability, Uncertainty and Quantitative Risk, 7 (2022), 385-404.
published version
arXiv version
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Chonghu Guan, Jing Peng, Zuo Quan Xu.
A multi-dimensional free boundary problem arising from a hidden regime-switching stock trading model,
Journal of Differential Equations, 337 (2022), 436-459.
published version
arXiv version
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Chonghu Guan, Zuo Quan Xu, Fahuai Yi.
A consumption-investment model with wealth-dependent lower bound constraint on consumption,
Journal of Mathematical Analysis and Applications, 516 (2022) 126511.
published version
arXiv version
l
Zuo Quan Xu.
Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory,
Scandinavian Actuarial Journal, 2023 (2023), No.3, 269-289.
published version
arXiv version
l
Hyun Jin Jang, Zuo Quan Xu, Harry Zheng.
Optimal investment, heterogeneous consumption and the best time for retirement,
Operations Research, 2022.
published version
arXiv version
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Na Li, Xun li, Jing Peng, Zuo Quan Xu.
Stochastic Linear Quadratic Optimal Control Problem: A Reinforcement Learning Method,
IEEE Transactions on Automatic Control, 67 (2022), 5009-5016.
published version
arXiv version
l
Chonghu Guan, Zuo Quan Xu, Rui Zhou.
Dynamic optimal reinsurance and dividend-payout in finite time horizon,
Mathematics of Operations Research, 337 (2022) 436–459.
published
version
arXiv version
l
Xuefeng Gao, Zuo Quan Xu, Xun Yu Zhou.
Temperature control for Langevin Diffusions,
SIAM Journal on Control and Optimization, 60 (2022), 1250-1268.
published version
arXiv version
l
Ying Hu, Xiaomin Shi, Zuo Quan Xu.
Constrained stochastic LQ control on infinite time horizon with regime switching,
ESAIM: Control, Optimisation and Calculus of Variations, 28 (2022), 5.
published
version
arXiv version
l
Ying Hu, Xiaomin Shi, Zuo Quan Xu.
Constrained stochastic LQ control with regime switching and application to portfolio selection,
Annals of Applied Probability, 32 (2022), 426-460.
published version
arXiv version
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Zhuo Jin, Zuo Quan Xu, Bin Zou.
A perturbation approach to optimal investment, liability ratio, and dividend strategies,
Scandinavian Actuarial Journal, 26 (2022), 351-382.
published version
arXiv version
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Yichun Chi, Zuo Quan Xu, Sheng Chao Zhuang.
Distributionally robust goal-reaching in the presence of background risk,
North American Actuarial Journal, 67 (2022), no.9, 5009-5016.
published version
arXiv version
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Jie Xiong, Zuo Quan Xu, Jiayu Zheng.
Mean-variance portfolio selection under partial information with drift uncertainty,
Quantitative Finance, 21 (2021), 1461-1473.
published version
arXiv version
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Zuo Quan Xu, Fahuai Yi.
Optimal redeeming strategy of stock loans under drift uncertainty,
Mathematics of Operations Research, 45 (2020), 384-401.
published version
arXiv version
l
Yongwu Li, Zhongfei Li, Shouyang Wang, Zuo Quan Xu.
Dividend optimization for jump-diffusion model with solvency constraints,
Operations Research Letters, 48 (2020), 170-175.
published version
l
Ruodu Wang, Zuo Quan Xu, Xun Yu Zhou.
Dual utilities on risk aggregation under dependence uncertainty,
Finance and Stochastics, 23 (2019), 1025-1048.
published version
SSRN version
l
Baojun Bian, Xinfu Chen, Zuo Quan Xu.
Utility maximization under trading constraints with discontinuous utility,
SIAM Journal on Financial Mathematics, 10 (2019), 243-260.
published
version
l
Zuo Quan Xu, Xun Yu Zhou, Sheng Chao Zhuang.
Optimal insurance under rank-dependent utility and incentive compatibility,
Mathematical Finance, 29 (2019), 659-692.
published version
l
Yongwu Li, Zuo Quan Xu.
Optimal insurance design with a bonus,
Insurance: Mathematics and Economics, 77 (2017), 111-118.
published version
l
Chonghu Guan, Xun Li, Zuo Quan Xu, Fahuai Yi.
A stochastic control problem and related free boundaries in finance,
Mathematical Control and Related Fields, 7 (2017), 563-584.
published version
l
Sheng Chao Zhuang, Tim J. Boonen, Ken Seng Tan, Zuo Quan Xu.
Optimal insurance in the presence of reinsurance,
Scandinavian Actuarial Journal, 2017, 535-554.
published version
l
Xun Li, Zuo Quan Xu.
Continuous-time mean-variance portfolio selection with constraints on wealth and portfolio,
Operations Research Letters, 44 (2016), 729-736.
published version
arXiv version
l
Zuo Quan Xu.
A note on the quantile formulation,
Mathematical Finance, 26 (2016), 589-601.
published version
arXiv version
l
Zuo Quan Xu, Fahuai Yi.
An optimal consumption-investment model with constraint on consumption,
Mathematical Control and Related Fields, 6 (2016), 517-534.
published version
arXiv version
l
Danlin Hou, Zuo Quan Xu.
A robust Markowitz mean-variance portfolio selection model with an intractable claim,
SIAM Journal on Financial Mathematics, 7 (2016), 124-151.
published
version
l
Zuo Quan Xu, Jia-An Yan.
A note on the Monge-Kantorovich problem in the plane,
Communications on Pure and Applied Analysis, 14 (2015), 517-525.
published version
arXiv version
l
Zuo Quan Xu.
Investment under duality risk measure,
European Journal of Operational Research, 239 (2014), 786-793.
published version
arXiv version
l
Zuo Quan Xu.
A characterization of comonotonicity and its application in behavioral finance,
Journal of Mathematical Analysis and Applications, 418 (2014), 612-625.
published version
arXiv version
l
Zuo Quan Xu, Xun Yu Zhou.
Optimal stopping under probability distortion,
Annals of Applied Probability, 23 (2013), 251-282.
published version
arXiv version
l
Min Dai, Zuo Quan Xu.
Optimal redeeming strategy of stock loans with finite maturity,
Mathematical Finance, 21 (2011), 775-793.
published version
arXiv version
l
Min Dai, Zuo Quan Xu, Xun Yu Zhou.
Continuous-time Markowitz's model with transaction costs,
SIAM Journal on Financial Mathematics, 1 (2010), 96-125.
published version
arXiv version l
Albert Shiryaev, Zuoquan Xu, Xun Yu Zhou.
Response to comment on "Thou shalt buy and hold",
Quantitative Finance, 8 (2008), 761-762.
published version
l
Hanqing Jin, Zuo Quan Xu, Xun Yu Zhou.
A convex stochastic optimization problem arising from portfolio selection,
Mathematical Finance, 18 (2008), 171-184.
published version
arXiv version