Research Interest
Education
Professional Experience
Editorship
Research Paper
Zuoquan Xu (许左权)
Professor
Please contact me if you are interested in my research. |
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
l Official website: https://www.polyu.edu.hk/ama/people/academic-staff/prof-xu-zuoquan/
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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/Full 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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Wenyuan Wang, Zuo Quan Xu, Kazutoshi Yamazaki, Kaixin Yan, Xiaowen Zhou.
De Finetti’s problem with fixed transaction costs and regime switching.
arXiv version
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Guanxing Fu, Xiaomin Shi, Zuo Quan Xu.
A system of BSDEs with singular terminal values arising in optimal liquidation with regime switching.
arXiv version
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Xiaomin Shi, Zuo Quan Xu.
Constrained stochastic linear quadratic control under regime switching with controlled jump size.
arXiv version
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Mingxin Guo, Zuo Quan Xu.
Stochastic optimal self-path-dependent control: A new type of variational inequality and its viscosity solution.
arXiv version
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Min Dai, Yu Sun, Zuo Quan Xu, Xun Yu Zhou.
Learning to optimally stop a diffusion process.
arXiv version
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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
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Xiaomin Shi, Zuo Quan Xu.
Mean-variance portfolio selection in jump-diffusion model under no-shorting constraint: A viscosity solution approach.
arXiv version
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Chonghu Guan, Jiacheng Fan, Zuo Quan Xu.
Optimal dividend payout with path-dependent drawdown constraint.
arXiv version
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Ying Hu, Xiaomin Shi, Zuo Quan Xu.
Comparison theorems for multi-dimensional BSDEs with jumps and stochastic linear-quadratic control with jumps.
arXiv version
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Hui Mi, Zuo Quan Xu, Dongfang Yang.
Optimal management of DC pension plan with inflation risk and tail VaR constraint.
arXiv version
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Zuo Quan Xu.
Moral-hazard-free insurance contract design under the rank-dependent utility theory.
Probability, Uncertainty and Quantitative Risk, to appear (2024+).
arXiv version
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Pengyu Wei, Zuo Quan Xu.
Dynamic growth-optimal portfolio choice under risk control.
European Journal of Operational Research, 322 (2025), 325-340.
published version
arXiv version
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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, to appear (2024+).
published version
arXiv version
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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.
published version
arXiv version
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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.
published version
arXiv version
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Chonghu Guan, Zuo Quan Xu.
Optimal ratcheting of dividend payout under Brownian motion surplus.
SIAM Journal on Control and Optimization, 62 (2024), 2590-2620.
published version
arXiv version
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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.
published
version
arXiv version
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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.
published version
arXiv version
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Hyun Jin Jang, Zuo Quan Xu, Harry Zheng.
Optimal investment, heterogeneous consumption and the best time for retirement.
Operations Research, 72 (2024), 832-847.
published version
arXiv version
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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
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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.
published version
arXiv version
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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
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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
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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
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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
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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
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Zuo Quan Xu.
Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory.
Scandinavian Actuarial Journal, 2023 (2023), 269-289.
published version
arXiv version
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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
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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
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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
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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
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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
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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
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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), 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
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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
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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
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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
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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
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Yongwu Li, Zuo Quan Xu.
Optimal insurance design with a bonus.
Insurance: Mathematics and Economics, 77 (2017), 111-118.
published version
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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
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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
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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
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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
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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
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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
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Zuo Quan Xu.
Investment under duality risk measure.
European Journal of Operational Research, 239 (2014), 786-793.
published version
arXiv version
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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
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Zuo Quan Xu, Xun Yu Zhou.
Optimal stopping under probability distortion.
Annals of Applied Probability, 23 (2013), 251-282.
published version
arXiv version
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Min Dai, Zuo Quan Xu.
Optimal redeeming strategy of stock loans with finite maturity.
Mathematical Finance, 21 (2011), 775-793.
published version
arXiv version
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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
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Albert Shiryaev, Zuoquan Xu, Xun Yu Zhou.
Response to comment on "Thou shalt buy and hold".
Quantitative Finance, 8 (2008), 761-762.
published version
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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