DEPARTMENT OF APPLIED MATHEMATICS 87 Email li.xun@polyu.edu.hk Qualification BSc (Shanghai University of Science and Technology) MSc (Shanghai University) PhD (The Chinese University of Hong Kong) ORCID ID 0000-0003-0493-417X Prof. LI Xun Professor Research Areas Stochastic controls and applied probability with financial applications Representative Publications • 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 • 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), 533569 • X.Y. Cui, D. Li and X. Li, Mean-variance policy for discretetime 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 Awards • First-class Natural Science Award of Chinese Association of Automation, 2022 • Outstanding Achievement Award in Natural Science for Institution of Higher Education (Second Prize), Ministry of Education of the People's Republic of China, 2018
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