• Principal Investigator: Optimal Affine Stochastic Controls with Input Constraints and Their Financial Applications, Hong Kong Research Grants Council no. 15216720, October 1, 2020 - September 30, 2023.
Principal Investigator: Optimal Controls of Mean-Field Stochastic Systems with Mixed State-Control Constraints and Some Financial Applications, Hong Kong Research Grants Council no. 15213218, October 1, 2018 - September 30, 2021.
Principal Investigator: Optimal Controls of Forward-Backward Stochastic Systems with Mixed State-Control Constraints and Their Financial Applications, Hong Kong Research Grants Council no. 15255416, October 1, 2016 - September 30, 2019.
Principal Investigator: Optimal Control and Stopping Problems for Stochastic Systems with Financial Applications, Hong Kong Research Grants Council no. 519913, October 1, 2013 - September 30, 2016.
Principal Investigator:Selling Financial Assets at the Best Time, Hong Kong Research Grants Council no. 524109, October 1, 2009 - September 30, 2012.
Co-Investigator: Hedging Derivatives in Incomplete Market and Portfolio Selection with Partial Information, NUS Grant no. R-146-000-059-112, July 1, 2004 - June 30, 2007.
2018 Outstanding Achievement Award in Natural Science for Institution of Higher Education (Second Prize) administrated by Ministry of Education of the People's Republic of China, January 15, 2019.
Member of Organizing Committee, 11th World Congress of the Bachelier Finance Society, Hong Kong, 2022.
Member of Program Committee, The Sixth Asian Quantitative Finance Conference, Guangzhou, November 18-19, 2018.
Member of Program Committee, Workshop on Financial Engineering and Risk Management of Sun Yat-sen University - Internet Finance & Insurance and Risk Management, Guangzhou, November 16-17, 2018.
Member of Program Committee, Guangzhou 2016 Symposium on Financial Engineering and Risk Management, Sun Yat-Sen University, Guangzhou, June 12-13, 2016.
Member of Organizing Committee, The Third Asian Quantitative Finance Conference, Hong Kong, July 6-8, 2015.
Member of Steering Committee, Inaugural Lecture of Hong Kong Consortium of Quantitative Finance, Hong Kong, February 2011- present.
Keynote Speaker, Society of Management Science and Engineering of China - The First Annual Meeting of the Finance and Risk Management Research Association, Lanzhou, July 14-15, 2018.
Keynote Speaker, The 7th Academic Annual Meeting of the Financial Engineering and Financial Risk Management Section, Operations Research Society of China, Changsha, September 23-24, 2017.
R.H. Chan, Y. Guo, S.T. Lee and X. Li, Financial Mathematics, Derivatives and Structured Products, Springer, Singapore, 2019.
Selected Research Papers
N. Li, X. Li, J. Peng and Z.Q. Xu, Stochastic linear quadratic optimal control problem: A reinforcement learning method, IEEE Transactions on Automatic Control, Vol. 67 (2022), 5009-5016.
S. Deng, X. Li, H. Pham and X. Yu, Optimal consumption with reference to past spending maximum, Finance and Stochastics, Vol. 26 (2022), 217-266.
H.D. Li, X. Li and H.S. Zhang, Optimal control for discrete-time NCSs with input delay and Markovian packet losses: Hold-input case, Automatica, Vol. 132 (2021), 109806.
X. Li, J. Shi and J.M. Yong, Mean-field linear-quadratic stochastic differential games in an infinite horizon, ESAIM: Control, Optimisation and Calculus of Variations, Vol. 27 (2021), 81, 1-40.
Y. Hu, X. Li and J.Q. Wen, Anticipated backward stochastic differential equations with quadratic growth, Journal of Differential Equations, Vol. 270 (2021), 1298-1331.
N. Li, X. Li and Z.Y. Yu, Indefinite mean-field type linear-quadratic stochastic optimal control problems, Automatica, Vol. 122 (2020), 109267.
C.H. Guan, X. Li and W.X. Zhou, An optimal investment problem with non-smooth and non-concave utility over a finite time horizon, SIAM Journal on Financial Mathematics, Vol. 11 (2020), 411-436.
Y.H. Ni, X. Li, J.F. Zhang and M. Krstic, Equilibrium solutions of multi-period mean-variance portfolio selection, IEEE Transactions on Automatic Control, Vol. 65 (2020), 1716-1723.
Y. Hu, J. Huang and X. Li, Linear quadratic mean field game with control input constraint, ESAIM: Control, Optimisation and Calculus of Variations, Vol. 24 (2018), 901-919.
X.Y. Cui, D. Li and X. Li, Mean-variance policy for discrete-time cone constrained markets: The consistency in efficiency and minimum-variance signed supermartingale measure, Mathematical Finance, Vol. 27 (2017), 471-504.
J.R. Sun, X. Li and J.M. Yong, Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control, SIAM Journal on Control and Optimization, Vol. 54 (2016), 2274-2308.
X.Y. Cui, X. Li and D. Li, Unified framework of mean-field formulations for optimal multi-period mean-variance portfolio selection, IEEE Transactions on Automatic Control, Vol. 59 (2014), 1833-1844.
X.Y. Cui, J.J. Gao, X. Li and D. Li, 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, Vol. 234 (2014), 459-468.
R. Elliott, X. Li and Y.H. Ni, Discrete time mean-field stochastic linear-quadratic optimal control problems, Automatica, Vol. 49 (2013), 3222-3233.
J. Huang, X. Li and G. Wang, Maximum principles for a class of partial information risk-sensitive optimal controls, IEEE Transactions on Automatic Control, Vol. 55 (2010), 1438-1443.
X. Li and X.Y. Zhou, Continuous-time mean-variance efficiency: The 80% rule, Annals of Applied Probability, Vol. 16 (2006), 1751-1763.
X. Li, X.Y. Zhou and A.E.B. Lim, Dynamic mean-variance portfolio selection with no-shorting constraints, SIAM Journal on Control and Optimization, Vol. 40 (2002), 1540-1555.