Ying Hu, Xiaomin Shi, Zuo Quan Xu. Optimal control of stochastic homogenous systems.
arXiv version
Congran Hao, Wei Lin, Xun Li, Zuo Quan Xu. Asymptotic stabilization in mean square by memoryless nonsmooth feedback for time-delay stochastic feedforward systems.
Qingshuo Song, Gu Wang, Zuo Quan Xu, Chao Zhu. Ergodic non-zero sum differential game with McKean-Vlasov dynamics.
arXiv version
Steven Vanduffel, Morten Wilke, Zuo Quan Xu. Constrained Sharpe ratio maximization.
Wenyuan Wang, Zuo Quan Xu, Kazutoshi Yamazaki, Kaixin Yan, Xiaowen Zhou. De Finetti's problem with fixed transaction costs and regime switching.
arXiv version
Xiaomin Shi, Zuo Quan Xu. Constrained stochastic linear quadratic control under regime switching with controlled jump size.
arXiv version
Mingxin Guo, Zuo Quan Xu. Stochastic optimal self-path-dependent control: A new type of variational inequality and its viscosity solution.
arXiv version
Min Dai, Yu Sun, Zuo Quan Xu, Xun Yu Zhou. Learning to optimally stop a diffusion process.
arXiv version
Guangchen Wang, Zuo Quan Xu, Panpan Zhang. Competitive optimal portfolio selection in a non-Markovian financial market: A backward stochastic differential equation study.
arXiv version
Xiaomin Shi, Zuo Quan Xu. Mean-variance portfolio selection in jump-diffusion model under no-shorting constraint: A viscosity solution approach.
arXiv version
Chonghu Guan, Jiacheng Fan, Zuo Quan Xu. Optimal dividend payout with path-dependent drawdown constraint.
arXiv version
Hui Mi, Zuo Quan Xu, Dongfang Yang. Optimal management of DC pension plan with inflation risk and tail VaR constraint.
arXiv version
Kai Ding, Xun Li, Siyu Lv, Zuo Quan Xu. Infinite horizon discounted LQ optimal control problems for mean-field switching diffusions.
Systems and Control Letters,
204 (2025), 106212. arXiv versionpublished version
Ying Hu, Xiaomin Shi, Zuo Quan Xu. Comparison theorems for multidimensional BSDEs with jumps and applications to constrained stochastic linear-quadratic control.
SIAM Journal on Control and Optimization,
63 (2025), 3475-3500. arXiv versionpublished version
Xiaomin Shi, Zuo Quan Xu. Optimal mean-variance portfolio selection under regime-switching-induced stock price shocks.
Systems and Control Letters,
204 (2025), 106200. arXiv versionpublished version
Guanxing Fu, Xiaomin Shi, Zuo Quan Xu. A system of BSDEs with singular terminal values arising in optimal liquidation with regime switching.
SIAM Journal on Control and Optimization,
63 (2025), 3091-3166. arXiv versionpublished version
Zuo Quan Xu. Moral-hazard-free insurance contract design under the rank-dependent utility theory.
Probability, Uncertainty and Quantitative Risk,
10 (2025), 159-190. arXiv versionpublished version
Na Li, Xun Li, Zuo Quan Xu. Policy iteration reinforcement learning method for continuous-time linear-quadratic mean-field control problems.
IEEE Transactions on Automatic Control,
70 (2025), 2690-2697. arXiv versionpublished version
Pengyu Wei, Zuo Quan Xu. Dynamic growth-optimal portfolio choice under risk control.
European Journal of Operational Research,
322 (2025), 325-340. arXiv versionpublished version
Ying Hu, Xiaomin Shi, Zuo Quan Xu. Optimal consumption-investment with constraints in a regime switching market with random coefficients.
The Applied Mathematics and Optimization,
91 (2025), 5. arXiv versionpublished version
Panpan Zhang, Zuo Quan Xu. Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching.
SIAM Journal on Control and Optimization,
62 (2024), 3239-3265. arXiv versionpublished version
Chonghu Guan, Zuo Quan Xu. Optimal ratcheting of dividend payout under Brownian motion surplus.
SIAM Journal on Control and Optimization,
62 (2024), 2590-2620. arXiv versionpublished version
Xiaomin Shi, Zuo Quan Xu. Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients.
ESAIM: Control, Optimisation and Calculus of Variations,
30 (2024), 61. arXiv versionpublished version
Xiaomin Shi, Zuo Quan Xu. Constrained monotone mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients.
Systems and Control Letters,
188 (2024), 105796. arXiv versionpublished version
Hyun Jin Jang, Zuo Quan Xu, Harry Zheng. Optimal investment, heterogeneous consumption and the best time for retirement.
Operations Research,
72 (2024), 832-847. arXiv versionpublished version
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. arXiv versionpublished version
Zhuo Jin, Zuo Quan Xu, Bin Zou. Optimal moral-hazard-free reinsurance under extended distortion premium principles.
SIAM Journal on Control and Optimization,
62 (2024), 1390-1416. arXiv versionpublished version
Yunhong Li, Zuo Quan Xu, Xun Yu Zhou. Robust utility maximization with intractable claims.
Finance and Stochastics,
27 (2023), 985-1015. arXiv versionpublished version
Jing Peng, Pengyu Wei, Zuo Quan Xu. Relative growth rate optimization under behavioral criterion.
SIAM Journal on Financial Mathematics,
14 (2023), 1140-1174. arXiv versionpublished version
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. arXiv versionpublished version
Ying Hu, Xiaomin Shi, Zuo Quan Xu. Constrained monotone mean-variance problem with random coefficients.
SIAM Journal on Financial Mathematics,
14 (2023), 838-854. arXiv versionpublished version
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. SSRN versionpublished version
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. arXiv versionpublished version
Zuo Quan Xu. Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory.
Scandinavian Actuarial Journal,
2023 (2023), 269-289. arXiv versionpublished version
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. arXiv versionpublished version
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. arXiv versionpublished version
Mingyu Xu, Zuo Quan Xu, Xun Yu Zhou. g-Expectation of Distributions.
Probability, Uncertainty and Quantitative Risk,
7 (2022), 385-404. arXiv versionpublished version
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. arXiv versionpublished version
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. arXiv versionpublished version
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. arXiv versionpublished version
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. arXiv versionpublished version
Xuefeng Gao, Zuo Quan Xu, Xun Yu Zhou. Temperature control for Langevin Diffusions.
SIAM Journal on Control and Optimization,
60 (2022), 1250-1268. arXiv versionpublished version
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. arXiv versionpublished version
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. arXiv versionpublished version
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. arXiv versionpublished version
Yichun Chi, Zuo Quan Xu, Sheng Chao Zhuang. Distributionally robust goal-reaching in the presence of background risk.
North American Actuarial Journal,
67 (2022), 5009-5016. arXiv versionpublished version
Jie Xiong, Zuo Quan Xu, Jiayu Zheng. Mean-variance portfolio selection under partial information with drift uncertainty.
Quantitative Finance,
21 (2021), 1461-1473. arXiv versionpublished version
Zuo Quan Xu, Fahuai Yi. Optimal redeeming strategy of stock loans under drift uncertainty.
Mathematics of Operations Research,
45 (2020), 384-401. arXiv versionpublished version
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
Ruodu Wang, Zuo Quan Xu, Xun Yu Zhou. Dual utilities on risk aggregation under dependence uncertainty.
Finance and Stochastics,
23 (2019), 1025-1048. SSRN versionpublished version
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
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
Yongwu Li, Zuo Quan Xu. Optimal insurance design with a bonus.
Insurance: Mathematics and Economics,
77 (2017), 111-118. published version
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. arXiv versionpublished version
Sheng Chao Zhuang, Tim J. Boonen, Ken Seng Tan, Zuo Quan Xu. Optimal insurance in the presence of reinsurance.
Scandinavian Actuarial Journal,
2017 (2017), 535-554. published version
Xun Li, Zuo Quan Xu. Continuous-time mean-variance portfolio selection with constraints on wealth and portfolio.
Operations Research Letters,
44 (2016), 729-736. arXiv versionpublished version
Zuo Quan Xu. A note on the quantile formulation.
Mathematical Finance,
26 (2016), 589-601. arXiv versionpublished version
Zuo Quan Xu, Fahuai Yi. An optimal consumption-investment model with constraint on consumption.
Mathematical Control and Related Fields,
6 (2016), 517-534. arXiv versionpublished version
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
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. arXiv versionpublished version
Zuo Quan Xu. Investment under duality risk measure.
European Journal of Operational Research,
239 (2014), 786-793. arXiv versionpublished version
Zuo Quan Xu. A new characterization of comonotonicity and its application in behavioral finance.
Journal of Mathematical Analysis and Applications,
418 (2014), 612-625. arXiv versionpublished version
Zuo Quan Xu, Xun Yu Zhou. Optimal stopping under probability distortion.
Annals of Applied Probability,
23 (2013), 251-282. arXiv versionpublished version
Min Dai, Zuo Quan Xu. Optimal redeeming strategy of stock loans with finite maturity.
Mathematical Finance,
21 (2011), 775-793. arXiv versionpublished version
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. arXiv versionpublished version
Albert Shiryaev, Zuoquan Xu, Xun Yu Zhou. Thou shalt buy and hold.
Quantitative Finance,
8 (2008), 765-776. published version
Hanqing Jin, Zuo Quan Xu, Xun Yu Zhou. A convex stochastic optimization problem arising from portfolio selection.
Mathematical Finance,
18 (2008), 171-184. arXiv versionpublished version