Forthcoming

1. Jie Cao, Amit Goyal, Xintong Zhan, Weiming Zhang. Unlocking ESG Premium from Options, Journal of Financial and Quantitative Analysis, forthcoming.
2. Jie Cao, Yi Li, Xintong Zhan, Weiming Zhang, Linyu Zhou. Carbon Emissions, Mutual Fund Trading, and the Liquidity of Corporate Bonds, Management Science, forthcoming.
3. Min Dai, Yaoting Lei , Hong Liu, Chen Yang. Optimal tax-timing strategy with transaction costs, Management Science, forthcoming.
4. Min Dai, Shuaijie Qian, Ling Qin, Jing Xu. Life-time portfolio and consumption choice with defined contribution plans, Finance and Stochastics, forthcoming.
5. Min Dai, Yu Sun, Zuoquan Xu, Xunyu Zhou. Learning to optimally stop diffusion processes, with applications to finance, Management Science, forthcoming.
6. X. D. He, Zhaoli Jiang, S. G. Kou. Dynamic portfolio selection under quantile maximization, Management Science, forthcoming.
7. Wenyuan Wang, Zuoquan Xu, Kazutoshi Yamazaki, Kaixin Yan, Xiaowen Zhou. De Finetti's problem with fixed transaction costs and regime switching, SIAM Journal on Control and Optimization, forthcoming.

2026

8. Jie Cao, Xintong Zhan, Junting Liu, Ruijing Yang, Linyu Zhou. Beyond Green: Impacts of Green Bond Issuance on Conventional Bonds in China, Asian Economic Policy Review, 21, 72-82, 2026.
9. Min Dai, Cong Qin, Neng Wang. Dynamic trading with realization utility, Journal of Finance, 81(1), 189-238, 2026.
10. Z. Niu, Q. Meng, Li Xun, M. Tang. Fully coupled nonlinear FBSDEs: solvability and LQ control insights, Automatica, 183, 112601, 2026.
11. Xiaomin Shi, Zuoquan Xu. Constrained stochastic linear quadratic control under regime switching with controlled jump size, Applied Mathematics and Optimization, 93, 3, 2026.
12. Xiang Yu, Fengyi Yuan. Time-inconsistent mean-field stopping problems: A regularized equilibrium approach, Finance and Stochastics, 30, 179-236, 2026.

2025

13. Lijun Bo, Yijie Huang, Xiang Yu. On optimal tracking portfolio in incomplete markets: The reinforcement learning approach, SIAM Journal on Control and Optimization, 63 (1), 321-348, 2025.
14. Yizhou Cao, Min Dai, Steven Kou, Lewei Li, Chen Yang. Designing stable coins, Mathematical Finance, 35(1), 263-294, 2025.
15. X. Chen, Xun Li, F. Yi, Xiang Yu. Optimal consumption under a drawdown constraint over a finite horizon, Automatica, 173, 112034, 2025.
16. Xinman Cheng, Guanxing Fu, Xiaonyu Xia. Long time behavior of optimal liquidation problems with semimartingale strategies and external flows, Mathematics and Financial Economics, 19, 507-536, 2025.
17. Kai Ding, Xun Li, Siyu Lv, Zuoquan Xu. Infinite horizon discounted LQ optimal control problems for mean-field switching diffusions, Systems and Control Letters, 204, 106212, 2025.
18. Guanxing Fu, Xiaomin Shi, Zuoquan Xu. A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching, SIAM Journal on Control and Optimization, 63, 3091-3166, 2025.
19. Ying Hu, Xiaomin Shi, Zuoquan Xu. Optimal consumption-investment with constraints in a regime switching market with random coefficients, The Applied Mathematics and Optimization, 91, 5, 2025.
20. Ying Hu, Xiaomin Shi, Zuoquan Xu. Comparison theorems for multidimensional BSDEs with jumps and applications to constrained stochastic linear-quadratic control, SIAM Journal on Control and Optimization, 63, 3475-3500, 2025.
21. N. Li, Xun Li, Zuoquan Xu. Policy iteration reinforcement learning method for continuous-time mean-field linear-quadratic optimal problem, IEEE Transactions on Automatic Control, 70, 2690-2697, 2025.
22. Xun Li, G. Wang, J. Xiong, H. Zhang. Weak closed-loop solvability of linear quadratic stochastic optimal control problems with partial information, Applied Mathematics & Optimization, 91, 62, 2025.
23. Xun Li, G. Wang, Y. Wang, J. Xiong, H. Zhang. Two system transformation data-driven algorithms for linear quadratic mean-field games, European Journal of Control, 83, 101226, 2025.
24. Xun Li, G. Wang, J. Xiong, H. Zhang. Partially observed linear quadratic stochastic optimal control problem in infinite horizon: A data-driven approach, Systems & Control Letters, 198, 106050, 2025.
25. S. Luo, Xun Li, Q. Wei. Infinite time horizon stochastic recursive control problems with jumps: Dynamic programming and stochastic verification theorems, SIAM Journal on Control and Optimization, 63(2), 796-821, 2025.
26. S. Luo, W. Li, Xun Li, Q. Wei. Stochastic representation for solutions of a system of coupled HJB-Isaacs equations with integral–differential operators, Stochastic Processes and their Applications, 179, 104502, 2025.
27. Kyunghyun Park, Kexin Chen, Hoi Ying Wong. Irreversible consumption habit under ambiguity: singular control andoptimal G-stopping time, Annals of Applied Probability, 35(4), 2471-2525, 2025.
28. Y. Sun, H. Li, H. Zhang, Li Xun. Private inputs for leader-follower game with feedback Stackelberg strategy, ESAIM Control, Optimisation and Calculus of Variations, 31, 54, 2025.
29. N. Wang, H. Li, X. Lu, Xun Li, H. Zhang. Decentralized linear-quadratic control and stabilization for networked control systems with d-step delay, Automatica, 177, 112348, 2025.
30. Pengyu Wei, Zuoquan Xu. Dynamic growth-optimal portfolio choice under risk control, European Journal of Operational Research, 322, 325-340, 2025.
31. Xiaoli Wei, Xiang Yu. Continuous-time q-learning for mean-field control problems, Applied Mathematics & Optimization, 91, 10, 2025.
32. F. Wu, Xun Li, X. Zhang. Stochastic linear quadratic optimal control problems with regime-switching jumps in infinite horizon, SIAM Journal on Control and Optimization, 63(2), 852-891, 2025.
33. Zuoquan Xu. Moral-hazard-free insurance contract design under the rank-dependent utility theory, Probability, Uncertainty and Quantitative Risk, 10, 159-190, 2025.
34. L. Zhang, Li Xun. Stochastic McKean-Vlasov control problem with regime-switching and its applications, Journal of Systems Science & Complexity, 38(4), 1437-1461, 2025.

2024

35. Lijun Bo, Yijie Huang, Xiang Yu. A decomposition-homogenization method for Robin boundary problems on the nonnegative orthant, Electronic Journal of Probability, 29, 200, 1-25, 2024.
36. Lijun Bo, Yijie Huang, Xiang Yu. Stochastic control problems with state-reflections arising from relaxed benchmark tracking, Mathematics of Operations Research, 50(4), 2433-3282, 2024.
37. Lijun Bo, Shihua Wang, Xiang Yu. A mean field game approach to equilibrium consumption under external habit formation, Stochastic Processes and their Applications, 178, 104461, 2024.
38. Lijun Bo, Shihua Wang, Xiang Yu. Mean field game of optimal relative investment with jump risk, Science China Mathematics, 67, 1159-1188, 2024.
39. R.H. Chan, Y. Guo, S.T. Lee and Xun Li. Financial Mathematics, Derivatives and Structured Products, Springer, Singapore, 2024.
40. Kexin Chen, Hoi Ying Wong. Duality in optimal consumption--investment problems with alternative data, Finance and Stochastics, 28, 709-758, 2024.
41. Min Dai, Xavier Giroud, Wei Jiang, Neng Wang. A q theory of internal capital markets, Journal of Finance, 79(2), 1147-1197, 2024.
42. Xinwei Feng, Ying Hu, Jianhui Huang. Linear-quadratic two-person differential game: Nash game versus Stackelberg game, local information versus global information, ESAIM: Control, Optimization and Calculus of Variations, 30, 47, 2024.
43. Guanxing Fu, Paul Hager, Ulrich Horst. Mean-Field Liquidation Games with Market Drop-out, Mathematical Finance, 34(4), 1123-1166, 2024.
44. Guanxing Fu, Ulrich Horst, Xiaonyu Xia. A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies, Mathematics of Operations Research, 49(4), 2356-2384, 2024.
45. Chonghu Guan, Zuoquan Xu. Optimal ratcheting of dividend payout under Brownian motion surplus, SIAM Journal on Control and Optimization, 62, 2590-2620, 2024.
46. Ying Hu, Jianhui Huang, Wenqiang Li. Backward stochastic differential equations with conditional reflection and related recursive optimal control problems, SIAM Journal on Control and Optimization, 62(5), 2557-2589, 2024.
47. Ying Hu, Xiaomin Shi, Zuoquan Xu. Non-homogeneous stochastic LQ control with regime switching and random coefficients, Mathematical Control and Related Fields, 14, 671-694, 2024.
48. Heqing Huang, Min Dai, Shuaijie Qian. Variational inequality problems in finance, SCIENTIA SINICA Mathematica, 54(3), 355-376, 2024.
49. Hyun Jin Jang, Zuoquan Xu, Harry Zheng. Optimal investment, heterogeneous consumption and the best time for retirement, Operations Research, 72, 832-847, 2024.
50. Zhuo Jin, Zuoquan Xu, Bin Zou. Optimal moral-hazard-free reinsurance under extended distortion premium principles, SIAM Journal on Control and Optimization, 62, 1390-1416, 2024.
51. Xun Li, Xiang Yu, and Qinyi Zhang. Optimal consumption with loss aversion and reference to past spending maximum, SIAM Journal on Financial Mathematics, 15(1), 121-160, 2024.
52. Z Li, LX Liu, X Liu, KC John Wei. Replicating and digesting anomalies in the Chinese A-share market, Management Science, 70(8), 5066-5090, 2024.
53. Xiaomin Shi, Zuoquan Xu. Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients, ESAIM: Control, Optimisation and Calculus of Variations, 30, 61, 2024.
54. Xiaomin Shi, Zuoquan Xu. Constrained monotone mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients, Systems & Control Letters, 188, 105796, 2024.
55. H. Wang, F. Zhao, Z. Zhang, J. Xu, Xun Li. Solving optimal predictor-feedback control using approximate dynamic programming, Automatica, 170, 111848, 2024.
56. Wenyuan Wang, Xiaowen Zhou, Xiang Yu. On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy, Applied Mathematics & Optimization, 89, 13, 2024.
57. Panpan Zhang, Zuoquan 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, 3239-3265, 2024.
58. Z. Zhang, J. Xu, M. Fu, Xun Li. Decentralized control for optimal LQ problems in stochastic systems with unknown uncertainties, Journal of the Franklin Institute, 361, 107274, 2024.

2023

59. Kexin Chen, Chi Seng Pun, Hoi Ying Wong. Efficient Social Distancing during the COVID-19 Pandemic: Integrating Economic and Public Health Considerations, European Journal of Operational Research, 304(1), 84-98, 2023.
60. Min Dai, Yuchao Dong, Yanwei Jia. Learning equilibrium mean-variance strategy, Mathematical Finance, 33(4), 1166-1212, 2023.
61. Min Dai, Yipeng Jiang, Hong Liu, Jing Xu. A rational theory for disposition effects, Review of Economic Dynamics, 47, 131-157, 2023.
62. Min Dai, Steven Kou, Mete Soner, Chen Yang. Leveraged exchange-traded funds with market closure and frictions, Management Science, 69(4), 2517-2535, 2023.
63. X. Feng, Y. Hu, Jianhui Huang. A Unified Approach to Linear-Quadratic-Gaussian Mean-Field Team: Homogeneity, Heterogeneity and Quasi-Exchangeability, Annals of Applied Probability, 33(4), 2786-2823, 2023.
64. Guanxing Fu. Extended mean field games with singular controls, SIAM Journal on Control and Optimization, 61(1), 285-314, 2023.
65. Guanxing Fu. Mean field portfolio games with consumption, Mathematics and Financial Economics, 17(1), 79-99, 2023.
66. Guanxing Fu, Chao Zhou. Mean field portfolio games, Finance and Stochastics, 27(1), 189-231, 2023.
67. H. Ge, X.Y. Li, Xun Li, Z.F. Li. Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow, Communications in Statistics - Theory and Methods, 52, 1797-1832, 2023.
68. Chonghu Guan, Xiaomin Shi, Zuoquan Xu. Continuous-time Markowitz’s mean-variance model under different borrowing and saving rates, Journal of Optimization Theory and Applications, 199, 167-208, 2023.
69. Ying Hu, Xiaomin Shi, Zuoquan Xu. Constrained monotone mean-variance problem with random coefficients, SIAM Journal on Financial Mathematics, 14, 838-854, 2023.
70. Ying Hu, Xiaomin Shi, Zuoquan Xu. Stochastic linear-quadratic control with a jump and regime switching on a random horizon, Mathematical Control and Related Fields, 13, 1597-1617, 2023.
71. Wen J., Xun Li, Xiong J., Zhang X. Stochastic Linear-quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System, SIAM Journal on Control and Optimization, 61(2), 949-979, 2023.
72. H. Li, Xun Li, M. Fu, H. Zhang. Deterministic optimal control for discrete-time systems with multiplicative noises and random coefficients, Automatica, 150, 110852, 2023.
73. Xun Li, Xiang Yu, Q.Y. Zhang. Optimal consumption and life insurance under shortfall aversion and a drawdown constraint, Insurance: Mathematics and Economics, 108, 25-45, 2023.
74. Yunhong Li, Zuoquan Xu, Xun Yu Zhou. Robust utility maximization with intractable claims, Finance and Stochastics, 27, 985-1015, 2023.
75. J. Liu, K.C. Yiu, Xun Li, T.K. Siu, K.L. Teo. Mean-variance portfolio selection with random investment horizon, Journal of Industrial and Management Optimization, 19, 4726-4739, 2023.
76. Hui Mi, Zuoquan Xu. Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory, Insurance: Mathematics and Economics, 110, 82-105, 2023.
77. Jing Peng, Pengyu Wei, Zuoquan Xu. Relative growth rate optimization under behavioral criterion, SIAM Journal on Financial Mathematics, 14, 1140-1174, 2023.
78. Ling Wang, Kexin Chen, Mei Choi Chiu, Hoi Ying Wong. Optimal Expansion of Business Opportunity, European Journal of Operational Research, 309(1), 432-445, 2023.
79. W. Wang, L. Xu, J. Xu, Xun Li, H. Zhang. Linear quadratic optimal control for time-delay stochastic system with partial information, International Journal of Systems Science, 54, 2227-2238, 2023.
80. Zuoquan Xu. Moral-hazard-free insurance for variance premium principle insurer and rank-dependent utility insured, Scandinavian Actuarial Journal, 2023(3), 269-289, 2023.
81. L. Zhang, Xun Li. Mean–variance portfolio selection under no-shorting rules: A BSDE approach, Systems & Control Letters, 177, 105545, 2023.
82. Z. Zhang, J. Xu, Xun Li. A distributed stochastic approximation algorithm for stochastic LQ control with unknown uncertainty, Automatica, 151, 110917, 2023.