Research at FAST

93 Department of Applied Mathematics Department of Applied Mathematics Representative Publications • R.H. Chan, Y. Guo, S.T. Lee and X. Li , Financial Mathematics, Derivatives and Structured Products, Springer, Singapore ( 2019 ) • Y.H. Ni, X. Li , J.F. Zhang and M. Krstic, Mixed equilibrium solution of time-inconsistent stochastic LQ problem, SIAM Journal on Control and Optimization, Vol. 57 ( 2019 ), 533-569 • 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 • R. Elliott, X. Li and Y.H. Ni, Discrete time mean-field stochastic linear-quadratic optimal control problems, Automatica, Vol. 49 ( 2013 ), 3222-3233 • 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 Award • 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 Prof. LI Xun Professor Research Areas Stochastic controls and applied probability with financial applications Qualification BSc (SUST) MSc (SHU) PhD (CUHK) ORCID ID 0000-0003-0493-417X