Xun Yu Zhou

109 papers Journal 91Unranked 17
YearRankTypeTitle / Venue / Authors
2026 J jnl
ART for Diffusion Sampling: A Reinforcement Learning Approach to Timestep Schedule.
CoRR
Yilie Huang, Wenpin Tang, Xun Yu Zhou
2025 J jnl
Data-Driven Exploration for a Class of Continuous-Time Indefinite Linear-Quadratic Reinforcement Learning Problems.
CoRR
Yilie Huang, Xun Yu Zhou
2025 J jnl
Data-driven generative simulation of SDEs using diffusion models.
CoRR
Xuefeng Gao, Jiale Zha, Xun Yu Zhou
2025 J jnl
Reward-Directed Score-Based Diffusion Models via q-Learning.
J. Mach. Learn. Res.
Xuefeng Gao, Jiale Zha, Xun Yu Zhou
2025 J jnl
Sublinear Regret for a Class of Continuous-Time Linear-Quadratic Reinforcement Learning Problems.
SIAM J. Control. Optim.
Yilie Huang, Yanwei Jia, Xun Yu Zhou
2024 J jnl
Logarithmic Regret Bounds for Continuous-Time Average-Reward Markov Decision Processes.
SIAM J. Control. Optim.
Xuefeng Gao, Xun Yu Zhou
2024 J jnl
Mean-Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study.
CoRR
Yilie Huang, Yanwei Jia, Xun Yu Zhou
2024 J jnl
Regret of exploratory policy improvement and
CoRR
Wenpin Tang, Xun Yu Zhou
2024 J jnl
Reinforcement Learning for Jump-Diffusions.
CoRR
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
2024 J jnl
Reward-Directed Score-Based Diffusion Models via q-Learning.
CoRR
Xuefeng Gao, Jiale Zha, Xun Yu Zhou
2024 J jnl
Sublinear Regret for An Actor-Critic Algorithm in Continuous-Time Linear-Quadratic Reinforcement Learning.
CoRR
Yilie Huang, Yanwei Jia, Xun Yu Zhou
2023 J jnl
A Casino Gambling Model Under Cumulative Prospect Theory: Analysis and Algorithm.
Manag. Sci.
Sang Hu, Jan Oblój, Xun Yu Zhou
2023 J jnl
Beta and Coskewness Pricing: Perspective from Probability Weighting.
Oper. Res.
Yun Shi, Xiangyu Cui, Xun Yu Zhou
2023 J jnl
Choquet Regularization for Continuous-Time Reinforcement Learning.
SIAM J. Control. Optim.
Xia Han, Ruodu Wang, Xun Yu Zhou
2023 J jnl
Learning Merton's Strategies in an Incomplete Market: Recursive Entropy Regularization and Biased Gaussian Exploration.
CoRR
Min Dai, Yuchao Dong, Yanwei Jia, Xun Yu Zhou
2023 J jnl
q-Learning in Continuous Time.
J. Mach. Learn. Res.
Yanwei Jia, Xun Yu Zhou
2022 — conf
Achieving Mean-Variance Efficiency by Continuous-Time Reinforcement Learning.
ICAIF
Yilie Huang, Yanwei Jia, Xun Yu Zhou
2022 J jnl
Asset selection via correlation blockmodel clustering.
Expert Syst. Appl.
Wenpin Tang, Xiao Xu, Xun Yu Zhou
2022 J jnl
Choquet regularization for reinforcement learning.
CoRR
Xia Han, Ruodu Wang, Xun Yu Zhou
2022 J jnl
Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances.
Manag. Sci.
Jose H. Blanchet, Lin Chen, Xun Yu Zhou
2022 J jnl
Exploratory HJB Equations and Their Convergence.
SIAM J. Control. Optim.
Wenpin Tang, Yuming Paul Zhang, Xun Yu Zhou
2022 J jnl
Logarithmic regret bounds for continuous-time average-reward Markov decision processes.
CoRR
Xuefeng Gao, Xun Yu Zhou
2022 J jnl
Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach.
J. Mach. Learn. Res.
Yanwei Jia, Xun Yu Zhou
2022 J jnl
Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms.
J. Mach. Learn. Res.
Yanwei Jia, Xun Yu Zhou
2022 J jnl
Square-root regret bounds for continuous-time episodic Markov decision processes.
CoRR
Xuefeng Gao, Xun Yu Zhou
2022 J jnl
State-Dependent Temperature Control for Langevin Diffusions.
SIAM J. Control. Optim.
Xuefeng Gao, Zuo Quan Xu, Xun Yu Zhou
2022 J jnl
Variable Clustering via Distributionally Robust Nodewise Regression.
CoRR
Kaizheng Wang, Xiao Xu, Xun Yu Zhou
2022 J jnl
q-Learning in Continuous Time.
CoRR
Yanwei Jia, Xun Yu Zhou
2021 J jnl
Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency.
SIAM J. Control. Optim.
Ken Seng Tan, Wei Wei, Xun Yu Zhou
2021 J jnl
Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach.
CoRR
Yanwei Jia, Xun Yu Zhou
2021 J jnl
Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms.
CoRR
Yanwei Jia, Xun Yu Zhou
2020 J jnl
Predictable Forward Performance Processes: The Binomial Case.
SIAM J. Control. Optim.
Bahman Angoshtari, Thaleia Zariphopoulou, Xun Yu Zhou
2020 J jnl
Reinforcement Learning in Continuous Time and Space: A Stochastic Control Approach.
J. Mach. Learn. Res.
Haoran Wang, Thaleia Zariphopoulou, Xun Yu Zhou
2020 J jnl
State-Dependent Temperature Control for Langevin Diffusions.
CoRR
Xuefeng Gao, Zuo Quan Xu, Xun Yu Zhou
2020 J jnl
Weighted discounting - On group diversity, time-inconsistency, and consequences for investment.
J. Econ. Theory
Sebastian Ebert, Wei Wei, Xun Yu Zhou
2019 J jnl
Continuous-Time Mean-Variance Portfolio Optimization via Reinforcement Learning.
CoRR
Haoran Wang, Xun Yu Zhou
2019 J jnl
Large scale continuous-time mean-variance portfolio allocation via reinforcement learning.
CoRR
Haoran Wang, Xun Yu Zhou
2019 J jnl
Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers.
SIAM J. Control. Optim.
Xue Dong He, Sang Hu, Jan Oblój, Xun Yu Zhou
2017 J jnl
Rank-Dependent Utility and Risk Taking in Complete Markets.
SIAM J. Financial Math.
Xue Dong He, Roy Kouwenberg, Xun Yu Zhou
2017 J jnl
Technical Note - Path-Dependent and Randomized Strategies in Barberis' Casino Gambling Model.
Oper. Res.
Xue Dong He, Sang Hu, Jan Oblój, Xun Yu Zhou
2017 J jnl
Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium.
SIAM J. Control. Optim.
Ying Hu, Hanqing Jin, Xun Yu Zhou
2015 J jnl
Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR.
Math. Oper. Res.
Xue Dong He, Hanqing Jin, Xun Yu Zhou
2013 J jnl
Existence of Solutions to a Class of Indefinite Stochastic Riccati Equations.
SIAM J. Control. Optim.
Zhongmin Qian, Xun Yu Zhou
2012 J jnl
Time-Inconsistent Stochastic Linear-Quadratic Control.
SIAM J. Control. Optim.
Ying Hu, Hanqing Jin, Xun Yu Zhou
2011 J jnl
Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment.
Manag. Sci.
Xue Dong He, Xun Yu Zhou
2010 J jnl
Continuous-Time Markowitz's Model with Transaction Costs.
SIAM J. Financial Math.
Min Dai, Zuo Quan Xu, Xun Yu Zhou
2010 J jnl
Erratum: "A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions".
SIAM J. Control. Optim.
Fausto Gozzi, Andrzej Swiech, Xun Yu Zhou
2009 J jnl
Optimal Switching over Multiple Regimes.
SIAM J. Control. Optim.
Huyên Pham, Vathana Ly Vath, Xun Yu Zhou
2009 J jnl
Valuation of Stock Loans with Regime Switching.
SIAM J. Control. Optim.
Qing Zhang, Xun Yu Zhou
2008 — conf
Continuous-time behavioral portfolio selection.
CDC
Hanqing Jin, Xun Yu Zhou
2008 J jnl
Optimal Consumption in a Growth Model with the Cobb--Douglas Production Function.
SIAM J. Control. Optim.
Hiroaki Morimoto, Xun Yu Zhou
2007 J jnl
Mean-Variance Portfolio Selection under Partial Information.
SIAM J. Control. Optim.
Jie Xiong, Xun Yu Zhou
2006 J jnl
A maximum principle for stochastic optimal control with terminal state constraints, and its applications.
Commun. Inf. Syst.
Shaolin Ji, Xun Yu Zhou
2006 J jnl
Tracking a Financial Benchmark Using a Few Assets.
Oper. Res.
David D. Yao, Shuzhong Zhang, Xun Yu Zhou
2005 J jnl
A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions.
SIAM J. Control. Optim.
Fausto Gozzi, Andrzej Swiech, Xun Yu Zhou
2005 J jnl
A new risk-sensitive maximum principle.
IEEE Trans. Autom. Control.
Andrew E. B. Lim, Xun Yu Zhou
2005 J jnl
Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection.
SIAM J. Control. Optim.
Ying Hu, Xun Yu Zhou
2005 J jnl
Near-optimal controls of random-switching LQ problems with indefinite control weight costs.
Autom.
Yuanjin Liu, Gang George Yin, Xun Yu Zhou
2005 J jnl
Stochastic Control for Linear Systems Driven by Fractional Noises.
SIAM J. Control. Optim.
Yaozhong Hu, Xun Yu Zhou
2004 J jnl
Markowitz's mean-variance portfolio selection with regime switching: from discrete-time models to their continuous-time limits.
IEEE Trans. Autom. Control.
Gang George Yin, Xun Yu Zhou
2004 — conf
Mean-risk portfolio selection models in continuous time.
CDC
Hanqing Jin, Jia-An Yan, Xun Yu Zhou
2004 J jnl
Minimax portfolio optimization: empirical numerical study.
J. Oper. Res. Soc.
Xiaoqiang Cai, Kok Lay Teo, Xiaoqi Yang, Xun Yu Zhou
2004 J jnl
Stochastic Linear-Quadratic Control via Primal-Dual Semidefinite Programming.
SIAM Rev.
David D. Yao, Shuzhong Zhang, Xun Yu Zhou
2004 J jnl
Stochastic Linear-Quadratic Control with Conic Control Constraints on an Infinite Time Horizon.
SIAM J. Control. Optim.
Xi Chen, Xun Yu Zhou
2003 J jnl
A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control.
SIAM J. Control. Optim.
Tahir Choulli, Michael Taksar, Xun Yu Zhou
2003 — conf
A maximum principle for risk-sensitive control.
CDC
Andrew E. B. Lim, Xun Yu Zhou
2003 — conf
Continuous-time mean-variance portfolio choice with no-bankruptcy constraint.
CDC
Tomasz R. Bielecki, Stanley R. Pliska, Hanqing Jin, Xun Yu Zhou
2003 J jnl
Indefinite Stochastic Linear Quadratic Control with Markovian Jumps in Infinite Time Horizon.
J. Glob. Optim.
Xun Li, Xun Yu Zhou, Mustapha Ait Rami
2003 J jnl
Indefinite Stochastic Riccati Equations.
SIAM J. Control. Optim.
Ying Hu, Xun Yu Zhou
2003 J jnl
Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model.
SIAM J. Control. Optim.
Xun Yu Zhou, Gang George Yin
2003 J jnl
Multiple-objective risk-sensitive control and its small noise limit.
Autom.
Andrew E. B. Lim, Xun Yu Zhou, John B. Moore
2002 J jnl
Characterizing all optimal controls for an indefinite stochastic linear quadratic control problem.
IEEE Trans. Autom. Control.
Hanzhong Wu, Xun Yu Zhou
2002 — conf
Continuous-time mean-variance portfolio selection with regime switching.
CDC
Xun Yu Zhou, George Yin
2002 J jnl
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints.
SIAM J. Control. Optim.
Xun Li, Xun Yu Zhou, Andrew E. B. Lim
2002 J jnl
Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation.
SIAM J. Control. Optim.
Mustapha Ait Rami, John B. Moore, Xun Yu Zhou
2002 J jnl
Indefinite stochastic LQ controls with Markovian jumps in a finite time horizon.
Commun. Inf. Syst.
Xun Li, Xun Yu Zhou
2002 J jnl
Mean-Variance Portfolio Selection with Random Parameters in a Complete Market.
Math. Oper. Res.
Andrew E. B. Lim, Xun Yu Zhou
2001 J jnl
A primal-dual semi-definite programming approach to linear quadratic control.
IEEE Trans. Autom. Control.
David D. Yao, Shuzhong Zhang, Xun Yu Zhou
2001 — conf
An optimization model for a company with constraints on risk control.
CDC
Tahir Choulli, Michael Taksar, Xun Yu Zhou
2001 — conf
Discrete-time indefinite LQ control with state and control dependent noises.
CDC
Mustapha Ait Rami, X. Chen, Xun Yu Zhou
2001 — conf
Frequency domain approach for stochastic systems.
CDC
Hanzhong Wu, Xun Yu Zhou
2001 — conf
Indefinite stochastic LQ control with jumps.
CDC
Xun Li, Xun Yu Zhou, Mustapha Ait Rami
2001 — conf
Indefinite stochastic linear quadratic control and generalized differential Riccati equation.
CDC
Mustapha Ait Rami, John B. Moore, Xun Yu Zhou
2001 J jnl
Linear-Quadratic Control of Backward Stochastic Differential Equations.
SIAM J. Control. Optim.
Andrew E. B. Lim, Xun Yu Zhou
2001 — conf
Mean-variance portfolio selection via LQ optimal control.
CDC
Andrew E. B. Lim, Xun Yu Zhou
2001 — conf
Optimal risk control and dividend distribution for a financial corporation with policy constraints.
CDC
Tahir Choulli, Michael Taksar, Xun Yu Zhou
2001 J jnl
Risk-sensitive control with HARA utility.
IEEE Trans. Autom. Control.
Andrew E. B. Lim, Xun Yu Zhou
2001 J jnl
Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls.
IEEE Trans. Autom. Control.
Mustapha Ait Rami, Xi Chen, John B. Moore, Xun Yu Zhou
2001 J jnl
Stochastic Frequency Characteristics.
SIAM J. Control. Optim.
Hanzhong Wu, Xun Yu Zhou
2001 J jnl
Stochastic Linear-Quadratic Control via Semidefinite Programming.
SIAM J. Control. Optim.
David D. Yao, Shuzhong Zhang, Xun Yu Zhou
2000 J jnl
Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls.
IEEE Trans. Autom. Control.
Mustapha Ait Rami, Xun Yu Zhou
2000 — conf
Optimal control of backward stochastic differential equations: The linear-quadratic case.
CDC
Andrew E. B. Lim, Xun Yu Zhou
2000 — conf
Optimal control with HARA utility functions.
CDC
Andrew E. B. Lim, Xun Yu Zhou
2000 J jnl
Optimal feedback controls in deterministic two-machine flowshops with finite buffers.
IEEE Trans. Autom. Control.
Ngo-Tai Fong, Xun Yu Zhou
2000 J jnl
Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach.
SIAM J. Control. Optim.
Michael Kohlmann, Xun Yu Zhou
2000 J jnl
Stability of real-time lot-scheduling and machine replacement policies with quality levels.
IEEE Trans. Autom. Control.
Suresh P. Sethi, Gerhard Sorger, Xun Yu Zhou
2000 J jnl
Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II.
SIAM J. Control. Optim.
Shuping Chen, Xun Yu Zhou
1999 J jnl
Approximating an Optimal Production Policy in a Continuous Flow Line: Recurrence and Asymptotic Properties.
Oper. Res.
Houmin Yan, Xun Yu Zhou, Gang George Yin
1999 — ed.
Control of Distributed Parameter and Stochastic Systems, Proceedings of the IFIP WG7.2 International Conference, June 19-22, 1998, Hangzhou, China
Control of Distributed Parameter and Stochastic Systems
Shuping Chen, Xunjing Li, Jiongmin Yong, Xun Yu Zhou
1999 J jnl
Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights.
IEEE Trans. Autom. Control.
Andrew E. B. Lim, Xun Yu Zhou
1998 — conf
Explicit Efficient Frontier of a Continuous-Time Mean Variance Portfolio Selection Problem.
Control of Distributed Parameter and Stochastic Systems
Xun Yu Zhou, Duan Li
1998 — conf
On LQG Control of Linear Stochastic Systems with Control Dependent Noise.
Control of Distributed Parameter and Stochastic Systems
John B. Moore, Xun Yu Zhou, Andrew E. B. Lim
1997 J jnl
Circulant Preconditioners for Markov-Modulated Poisson Processes and Their Applications to Manufacturing Systems.
SIAM J. Matrix Anal. Appl.
Wai-Ki Ching, Raymond H. Chan, Xun Yu Zhou
1997 J jnl
Computational Evaluation of Hierarchical Production Control Policies for Stochastic Manufacturing Systems.
Oper. Res.
Chand Samaratunga, Suresh P. Sethi, Xun Yu Zhou
1997 J jnl
Hierarchical production controls in a stochastic two-machine flowshop with a finite internal buffer.
IEEE Trans. Robotics Autom.
Suresh P. Sethi, Qing Zhang, Xun Yu Zhou
1996 J jnl
Deterministic Near-Optimal Controls. Part II: Dynamic Programming and Viscosity Solution Approach.
Math. Oper. Res.
Xun Yu Zhou
1996 J jnl
Optimal feedback controls in deterministic dynamic two-machine flowshops.
Oper. Res. Lett.
Suresh P. Sethi, Xun Yu Zhou
1996 J jnl
Sufficient conditions of optimality for stochastic systems with controllable diffusions.
IEEE Trans. Autom. Control.
Xun Yu Zhou
1994 J jnl
Stochastic dynamic job shops and hierarchical production planning.
IEEE Trans. Autom. Control.
Suresh P. Sethi, Xun Yu Zhou