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- Mustapha Ait Rami, Xun Yu Zhou
- IEEE Trans. Automat. Contr.
- 2000

This paper is concerned with an optimal stochastic linear-quadratic (LQ) control problem in infinite time horizon, where the diffusion term in dynamics depends on both the state and the controlâ€¦ (More)

- Shuping Chen, Xun Yu Zhou
- SIAM J. Control and Optimization
- 2000

This paper considers optimal (minimizing) control of stochastic linear quadratic regulators (LQRs). The assumption that the control weight costs must be positive definite, inherited from theâ€¦ (More)

A continuous-time mean-variance portfolio selection problem is studied where all the market coefficients are random and the wealth process under any admissible trading strategy is not allowed to beâ€¦ (More)

- Ying Hu, Hanqing Jin, Xun Yu Zhou
- SIAM J. Control and Optimization
- 2012

Abstract. In this paper, we formulate a general time-inconsistent stochastic linearâ€“quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expectedâ€¦ (More)

The objective of this paper is to study the meanâ€“variance portfolio optimization in continuous time. Since this problem is time inconsistent we attack it by placing the problem within a gameâ€¦ (More)

- Xun Yu Zhou, Gang George Yin
- SIAM J. Control and Optimization
- 2003

A continuous-time version of the Markowitz mean-variance portfolio selection model is proposed and analyzed for a market consisting of one bank account and multiple stocks. The market parameters,â€¦ (More)

- Xun Li, Xun Yu Zhou, Andrew E. B. Lim
- SIAM J. Control and Optimization
- 2002

This paper is concerned with mean-variance portfolio selection problems in continuoustime under the constraint that short-selling of stocks is prohibited. The problem is formulated as a stochasticâ€¦ (More)

- Mustapha Ait Rami, John B. Moore, Xun Yu Zhou
- SIAM J. Control and Optimization
- 2002

We consider a stochastic linearâ€“quadratic (LQ) problem with possible indefinite cost weighting matrices for the state and the control. An outstanding open problem is to identify an appropriateâ€¦ (More)

- Michael Kohlmann, Xun Yu Zhou
- SIAM J. Control and Optimization
- 2000

- Andrew E. B. Lim, Xun Yu Zhou
- SIAM J. Control and Optimization
- 2001

This paper is concerned with optimal control of linear backward stochastic differential equations (BSDEs) with a quadratic cost criteria, or backward linear-quadratic (BLQ) control. The solution ofâ€¦ (More)