
Scholarly
Articles

Z. Xu, X. Zhou and S. Zhuang "Optimal insurance with rankdependent utility and increasing indemnities"(pdf).

Y. Hu, H. Jin and X. Zhou, "Timeinconsistent stochastic linearquadratic control: Characterization and uniqueness of equilibrium"(pdf).

X. He, R. Kouwenberg and X. Zhou, "Rankdependent utility and risk taking in complete markets"(pdf).

X. He, S. Hu, J. Obloj and X. Zhou, "Optimal exit time from casino gambling: Strategies of
precommitted and naive gamblers"(pdf).

X. He, S. Hu, J. Obloj and X. Zhou, "Pathdependent and randomized strategies in
Barberis' casino gambling model"(pdf), to appear in Operations Research.

J. Xia and X. Zhou, "ArrowDebreu equilibria for rankdependent
utilities"(pdf), Mathematical Finance, Vol. 26 (2016), pp. 558588.

X. He and X. Zhou, "Hope, fear and aspirations"(pdf), Mathematical Finance, Vol. 26 (2016), pp. 350.

X. He, H. Jin and X. Zhou, "Dynamic portfolio choice when risk is measured by
weighted VaR"(pdf), Mathematics of Operations Research, Vol. 40 (2015), pp. 773796.

H. Jin and X. Zhou, "Continuoustime portfolio selection under ambiguity"(pdf), Mathematical Control and Related Fields
(A Special Issue Dedicated to Xunijing Li on His 80th Birthday),
Vol. 5 (2015), pp. 475488.

H. Chang, J. Cvitanic and X. Zhou, "Optimal contracting with moral hazard
and behavioral preferences"(pdf), Journal of Mathematical Analysis and Applications, Vol. 428 (2015), pp. 959981.

C. Bernard, X. He, J.A. Yan and X. Zhou, "Optimal insurance design
under rank dependent utility"(pdf), Mathematical Finance, Vol. 25 (2015), pp. 154186.

X. He and X.
Zhou, "
Myopic loss aversion, reference point, and money
illusion"(pdf), Quantitative Finance, Vol. 14 (2014), pp. 15411554.

T. Bjork, A. Murgoci and X.
Zhou, "
Meanvariance portfolio optimization with state dependent risk aversion"(pdf), Mathematical Finance, Vol. 24 (2014), pp. 124.

H. Jin and X.
Zhou, "Greed, leverage, and potential losses: A prospect theory perspective
"(pdf), Mathematical Finance, Vol. 23 (2013), pp. 122142.

Z. Qian and X. Zhou, "Existence of solutions to a class of indefinite stochastic
Riccati equations"(pdf), SIAM Journal on Control and
Optimization, Vol. 51 (2013), pp. 221229.

Z. Xu and X.
Zhou, "Optimal stopping under
probability distortion"(pdf), Annals of Applied Probability, Vol. 23 (2013), pp. 251282.

T. MeyerBrandis, B. Oksendal and X.
Zhou, "A meanfield stochastic maximum principle via
Malliavin calculus"(pdf),
Stochastics
(A Special Issue for Mark Davis' Festschrift), Vol. 84 (2012), pp. 643666.

Y. Hu, H. Jin and X. Zhou, "Timeinconsistent stochastic linearquadratic control"(pdf), SIAM Journal on Control and
Optimization, Vol. 50 (2012), pp. 15481572.

X. He and X.
Zhou, "Portfolio choice under cumulative prospect theory: An analytical treatment"(pdf), Management Science,
Vol. 57 (2011), pp. 315331.

X. He and X.
Zhou, "Portfolio choice via quantiles"(pdf),
Mathematical Finance,
Vol. 21 (2011), pp. 203231.

H. Jin, S. Zhang and X.
Zhou, "Behavioral portfolio selection with loss control"(pdf), Acta Mathematica Sinica, Vol. 27 (2011), pp. 255274. (A Special
Issue Dedicated to LooKeng Hua on His 100th Birthday)

C. Chiu and X.
Zhou, "The premium of dynamic trading"(pdf), Quantitative Finance,
Vol. 11 (2011), pp. 115123.

X.
Zhou, "Mathematicalising behavioural finance"(pdf), Proceedings of the International Congress of Mathematicians,
Hyderabad, India, 2010.

M. Dai, H. Jin, Y. Zhong and X.
Zhou, "Buy low and sell high"(pdf), Comtemporary Quantitative Finance, Edited by Carl Chiarella and Alexander Novikov,
Springer 2010, pp. 317334. (Essays in Honour of Eckhard Platen)

H. Jin and X.
Zhou, "Erratum to ``Behavioral portfolio selection in continuous
time"(pdf), Mathematical Finance,
Vol. 20 (2010), pp. 521525.

S. Ji and X.
Zhou, "A generalized NeymanPearson lemma for gprobabilities"(pdf),
Probability Theory and Related Fields,
Vol. 148 (2010), pp. 645669.

F. Gozzi, A. Swiech and X. Zhou, "Erratum to ``A corrected proof of the stochastic verification
theorem within the framework of viscosity
solutions"(pdf),
SIAM Journal on Control and
Optimization,
Vol. 48 (2010), pp. 41774179.

M. Dai, Z. Xu and X.
Zhou, "Continuoustime Markowitz's model with
transaction costs"(pdf),
SIAM Journal on Financial Mathematics,
Vol. 1 (2010), pp. 96125.

H. Pham, V. Vath and X.
Zhou, "
Optimal switching over multiple regimes" (pdf),
SIAM Journal on Control and
Optimization,
Vol. 48 (2009), pp. 22172253.

J.A. Yan and X.
Zhou, "Markowitz strategies revised"(pdf),
Acta Mathematica Scientia,
Vol. 29 (2009), pp. 817828. (A Special
Issue Dedicated to Wenjun Wu on the Occasion of His 90th
Birthday)

Q. Zhang and X.
Zhou, "
Valuation of stock loans with regime switching"(pdf),
SIAM Journal on Control and
Optimization,
Vol. 48 (2009), pp. 12291250.

A. Shiryaev, Z. Xu and X.
Zhou, "
Thou shalt buy and hold" (pdf),
Quantitative Finance, Vol. 8 (2008), pp. 765776.

A. Shiryaev, Z. Xu and X.
Zhou, "
Response to comment on 'Thou shalt buy and hold'" (pdf),
Quantitative Finance, Vol. 8 (2008), pp. 761762.

H. Morimoto and X. Zhou, "
Optimal consumption in a growth model with the CobbDouglas production function" (pdf),
SIAM Journal on Control and
Optimization,
Vol. 47 (2008), pp. 29913006.

H. Jin and X. Zhou, "
Behavioral portfolio selection in continuous
time" (pdf),
Mathematical
Finance, Vol. 18
(2008), pp. 385426.

H. Jin, Z. Xu and X. Zhou,
"
A
convex stochastic optimization problem arising from portfolio
selection" (pdf),
Mathematical Finance, Vol. 18
(2008), pp. 171184.

S. Ji and X. Zhou, "The
NeymanPearson lemma under gprobabilities'' (pdf),
C. R. Acad. Sci. Paris, Ser. I, Vol. 346 (2008), pp.
209212.

J. Xiong and X. Zhou,
"
Meanvariance portfolio selection under partial
information"(pdf),
SIAM Journal on Control and
Optimization, Vol. 46 (2007), pp.
156175.

J. Xia and X. Zhou,
"
Stock loans" (pdf),
Mathematical Finance, Vol.
17 (2007), pp. 307317.

X. Li and X. Zhou,
"
Continuoustime meanvariance efficiency: The 80%
rule"(pdf),
Annals of Applied Probability,
Vol. 16 (2006), pp. 17511763.

S. Ji and X. Zhou,
"
A maximum principle for stochastic optimal control
with terminal state constraints, and its applications"
(pdf),
Communications in Information and
Systems, Vol.6 (2006), pp. 321337. (A Special
Issue Dedicated to Tyrone Duncan on the Occasion of His 65th
Birthday)

D. Yao, S. Zhang and X. Zhou,
"
Tracking a financial benchmark using a few
assets"(pdf),
Operations Research, Vol. 54
(2006), pp. 232246.

H. Jin, H. Markowitz and X. Zhou,
"
A note on semivariance"(pdf),
Mathematical Finance, Vol. 16
(2006), pp.5362.

Y. Hu and X. Zhou,
"
Constrained stochastic LQ control with random
coefficients, and application to meanvariance portfolio
selection"(pdf),
SIAM Journal on Control and
Optimization, Vol. 44 (2005), pp. 444466.

Y. Hu and X. Zhou,
"
Stochastic control for linear systems driven by
fractional noises"(pdf),
SIAM Journal on Control and
Optimization, Vol. 43 (2005), pp. 22452277.

A.E.B. Lim and X. Zhou,
"
A new risksensitive maximum
principle"(pdf),
IEEE Transactions on Automatic
Control, Vol. AC50 (2005), pp. 958966.

H. Jin, J.A. Yan and X. Zhou,
"
Continuoustime meanrisk portfolio
selection"(pdf),
Annales de l'Institut Henri Poincare (B)
Probabilites et statistiques, Vol. 41 (2005), pp.
559580. (A Special
Issue in Memory of PaulAndre Meyer)

T. Bielecki, H. Jin, S. Pliska and
X. Zhou, "
Continuoustime meanvariance portfolio selection
with bankruptcy prohibition"(pdf),
Mathematical Finance, Vol. 15
(2005), pp. 213244.

F. Gozzi, A. Swiech and X. Zhou,
"
A corrected proof of the stochastic verification
theorem within the framework of viscosity
solutions"(pdf),
SIAM Journal on Control and
Optimization, Vol. 43 (2005), pp.20092019.

Y. Liu, G. Yin and X. Zhou,
"
Nearoptimal controls of randomswitching LQ
problems with indefinite control weight
costs"(pdf),
Automatica, Vol. 41 (2005), pp.
10631070.

X. Chen and X. Zhou,
"
Stochastic LQ control with conic control constraints
on an infinite time horizon"(pdf),
SIAM Journal on Control and
Optimization, Vol. 43 (2004), pp. 11201150.

T. Choulli, M. Taksar and X.
Zhou, " Interplay between dividend rate and business
constraints for a financial corporation"(pdf),
Annals of Applied Probability,
Vol. 14 (2004), pp. 18101837.

D. Yao, S. Zhang and X. Zhou,
"
Stochastic LQ control via primaldual semidefinite
programming"(pdf),
SIAM Review, Vol. 46 (2004), pp.
87111. (Invited SIGEST paper)

X. Guo, J. Liu and X. Zhou,
"
A constrained nonlinear regularsingular stochastic
control problem, with applications"(pdf),
Stochastic Processes and Their
Applications, Vol. 109 (2004), pp.
167187.

G. Yin and X. Zhou,
"
Markowitz's meanvariance portfolio selection with
regime switching:From discretetime models to their
continuoustime limits"(pdf),
IEEE Transactions on Automatic
Control, Vol. 49 (2004), pp. 349360.

X. Cai, K.L. Teo, X.Q. Yang and X.
Zhou, "
Minimax portfolio optimization: Empirical numerical
study"(pdf),
Journal of the Operational Research
Society, Vol. 55 (2004), pp. 6572.

X. Zhou and G. Yin,
"
Markowitz's meanvariance portfolio selection with
regime switching: A ContinuousTime Model"(pdf),
SIAM Journal on Control and
Optimization, Vol. 42 (2003), pp.
14661482.

X. Li, X. Zhou and M. Ait Rami,
"
Indefinite stochastic linear quadratic control with
Markovian jumps in infinte time horizon"(pdf),
Journal of Global Optimization,
Vol. 27 (2003), pp. 149175.

Y. Hu and X. Zhou, "
Indefinite stochastic Riccati
equations"(pdf),
SIAM Journal on Control and
Optimization, Vol. 42 (2003), pp. 123137.

T. Choulli, M. Taksar and X. Zhou,
"
A diffusion model for optimal dividend distribution
for a company with constraints on risk
control"(pdf),
SIAM Journal on Control and
Optimization, Vol. 41 (2003), pp.
19461979.

A.E.B. Lim, X. Zhou, and J.B.
Moore, "
Multipleobjective risksensitive
control"(pdf),
Automatica, Vol. 39 (2003), pp.
533541.

M. Ait Rami, X. Chen and X. Zhou,
"
Discretetime indefinite LQ control with state and
control dependent noises"(pdf),
Journal of Global Optimization, Vol. 23
(2002), pp. 245265.

H. Wu and X. Zhou,
"
Characterizing all optimal controls for an
indefinite stochastic linear quadratic control
problem"(pdf),
IEEE Transactions on Automatic Control,
AC47 (2002), pp. 11191122.

A.E.B. Lim and X. Zhou,
"Meanvariance portfolio selection with random
parameters"(pdf),
Mathematics of Operations
Research, Vol. 27 (2002), pp. 101120.

M. Ait Rami, J.B. Moore and X.
Zhou, "
Indefinite stochastic linear quadratic control and
generalized differential Riccati equation"(pdf),
SIAM Journal on Control and
Optimization, Vol. 40 (2001), pp.
12961311.

X. Li, X. Zhou and A.E.B. Lim,
"
Dynamic meanvariance portfolio selection with
noshorting constraints",
SIAM Journal on Control and Optimization,
Vol. 40 (2001), pp. 15401555.

D. Yao, S. Zhang and X. Zhou,
"
A primaldual semidefinite programming approach to
LQ control problems",
IEEE Transactions on Automatic Control,
Vol. AC46 (2001), pp. 14421447.

D. Yao, S. Zhang and X. Zhou,
"
Stochastic LQ control via semidefinite
programming", SIAM Journal
on Control and Optimization, Vol. 40 (2001), pp. 801823.
(2003 SIAM Outstanding Paper Award Winner)

H. Wu and X. Zhou,
"
Stochastic frequency
characteristics", SIAM
Journal on Control and Optimization, Vol. 40 (2001),
pp. 557576.

A.E.B. Lim and X. Zhou,
"
Linearquadratic control of backward stochastic
differential equations",
SIAM Journal on Control and Optimization,
Vol. 40 (2001), pp. 450474.

A.E.B. Lim and X. Zhou,
"
Risksensitive control with HARA
utility", IEEE
Transactions on Automatic Control, Vol. AC46 (2001),
pp. 563578.

M. Ait Rami, X. Chen, J.B. Moore,
and X. Zhou, "
Solvability and asymptotic behavior of generalized
Riccati equations arising in indefinite stochastic LQ
controls", IEEE
Transactions on Automatic Control, Vol. AC46 (2001),
pp. 428440.

T. Choulli, M. Taksar and X. Zhou,
" Excessofloss reinsurance for a company
with debt liability and constraints on risk reduction",
Quantitative Finance, Vol. 1
(2001), pp. 573596.

N. Dokuchaev and X. Zhou,
"
Optimal investment strategies with bounded risks,
general utilities, and goal achieving",
Journal of Mathematical Economics, Vol.
35 (2001), pp. 289309.

S. Chen and X. Zhou,
"
Stochastic linear quadratic regulators with
indefinite control weight costs. II",
SIAM Journal on Control and Optimization,
Vol. 39 (2000), pp. 10651081.

S. Sethi, G. Sorger and X. Zhou,
"
Stability of realtime lotscheduling policies with
quality levels", IEEE
Transactions on Automatic Control, Vol. AC45 (2000),
pp. 21932196.

N.T. Fong and X. Zhou,
"
Optimal feedback controls in deterministic
twomachine flowshops with finite buffers",
IEEE Transactions on Automatic
Control, Vol. AC45 (2000), pp. 11981202.

M. Ait Rami, X. Zhou, and J.B.
Moore, "
Wellposedness and attainability of indefinite
stochastic linear quadratic control in infinite time
horizon", Systems and
Control Letters, Vol. 41 (2000), pp.123133.

M. Ait Rami and X. Zhou,
"
Linear matrix inequalities, Riccati equations, and
indefinite stochastic linear quadratic
controls", IEEE
Transactions on Automatic Control, Vol. AC45 (2000),
pp. 11311143.

X. Cai, K.L. Teo, X.Q. Yang and X.
Zhou, "
An optimal strategy for risk averse investors in
portfolio optimization",
Management Science, Vol. 46 (2000), pp.
957972.

M. Kohlmann and X. Zhou,
"
Relationship between backward stochastic
differential equations and stochastic controls: A linearquadratic
approach", SIAM Journal
on Control and Optimization, Vol. 38 (2000), pp.
13921407.

X. Zhou and D. Li,
"
Continuoustime meanvariance portfolio selection: A
stochastic LQ framework",
Applied Mathematics and Optimization,
Vol. 42 (2000), pp. 1933.

N. Dokuchaev and X. Zhou, "
Stochastic controls with terminal contingent
conditions"(pdf), Journal
of Mathematical Analysis and Applications, Vol. 238
(1999), pp. 143165.

H. Yan, X. Zhou and G. Yin,
"
Approximating an optimal production policy in a
continuous flow line: Recurrence and asymptotic
properties", Operations
Research , Vol. 47 (1999),
pp.535549.

A.E.B. Lim and X. Zhou,
"
Stochastic optimal LQR control with integral
quadratic constraints and indefinite control
weights", IEEE
Transactions on Automatic Control, Vol. AC44 (1999),
pp. 13591369.

J.B. Moore, X. Zhou and A.E.B. Lim,
"
Discrete time LQG controls with control dependent
noise", Systems and
Control Letters, Vol. 36 (1999), pp. 199206.

G.A. Fleischer, A.K. Mason and X.
Zhou, " The midperiod and other
approximations in the presence of uniform intraperiod cash flows:
A critical evaluation", The
Engineering Economist, Vol. 43 (1998),
pp.369377.

X. Chen and X. Zhou,
" Deterministic nearoptimal controls with state
constraints", Dynamics of
Continuous, Discrete and Impulsive Systems, Vol. 4
(1998), pp. 513526.

M. Taksar and X. Zhou,
"
Optimal risk and dividend control for a company with
a debt liability",
Insurance: Mathematics and Economics,Vol.
22 (1998), pp.105122.

S. Chen, X. Li and X. Zhou,
"
Stochastic linear quadratic regulators with
indefinite control weight costs",
SIAM Journal on Control and
Optimization,Vol. 36 (1998), pp.
16851702.

X. Zhou, "
Stochastic nearoptimal controls: Necessary and
sufficient conditions for nearoptimality ",
SIAM Journal on Control and
Optimization ,Vol. 36 (1998), pp. 929947.

X. Zhou, "
Characterization of optimal controls for diffusion
processes ", Systems and
Control Letters, Vol. 31 (1997), pp.
39.

C. Samaratunga, S. Sethi and X.
Zhou, "
Computational evaluation of hierarchical production
control policies for stochastic manufacturing
systems", Operations
Research, Vol. 45 (1997), pp. 258274.

W.K. Ching, R. Chan and X. Zhou,
"
Circulant preconditioners for Markovmodulated
Poisson processes and their applications to manufacturing
systems ", SIAM Journal
of Matrix Analysis and Applications, Vol. 18 (1997),
pp. 464481.

X. Zhou, J. Yong and X. Li,
"
Stochastic verification theorems within the
framework of viscosity solutions ",
SIAM Journal on Control and Optimization,
Vol. 35 (1997), pp. 243253.

S. Sethi, Q. Zhang and X.
Zhou,"
Hierarchical production planning in a stochastic
twomachine flowshop with a finite internal buffer
", IEEE Transactions on Robotics and
Automation, Vol. 13 (1997), pp.113.

S. Sethi and X. Zhou,
"
Optimal feedback controls in deterministic dynamic
twomachine flowshops",
Operations Research Letters, Vol. 19
(1996), pp. 225235.

X. Zhou, "
Sufficient conditions of optimality for stochastic
systems with controllable diffusions", IEEE Transactions
on Automatic Control, Vol. 41 (1996), pp.
11761179.

N.T. Fong and X. Zhou,
" Hierarchical production policies in stochastic
twomachine flowshops with finite buffers",
Journal of Optimization Theory and
Applications, Vol. 89 (1996), pp. 681712.

X. Zhou, "
Deterministic nearoptimal controls Part II: Dynamic programming
and viscosity solution approach "(pdf),
Mathematics of Operations
Research, Vol. 21 (1996), pp. 655674.

X. Zhou, "
Deterministic nearoptimal controls Part I: Necessary and
sufficient conditions for nearoptimality ",
Journal of Optimization Theory and
Applications, Vol. 85 (1995), pp. 473488.

S. Sethi and X. Zhou,
"
Dynamic stochastic job shops and hierarchical
production planning",
IEEE Transactions on Automatic Control,
Vol. AC39 (1994), pp. 20612076.

S. Sethi, Q. Zhang and X. Zhou,
" Hierarchical controls in stochastic
manufacturing systems with convex costs", Journal of Optimization Theory and
Applications, Vol. 80 (1994), pp.
299318.

X. Zhou and S. Sethi,
" A sufficient condition for near optimal stochastic
controls and its applications to manufacturing systems",
Applied Mathematics and
Optimization, Vol. 29 (1994), pp.6792.

S. Sethi, H. Yan, Q. Zhang and X.
Zhou, " Feedback production planning in a
stochastic twomachine flowshop: asymptotic analysis and
computational results",
International Journal of Production
Economics, Vol. 3031 (1993), pp.
7993.

X. Zhou, " On
the necessary conditions of optimal controls for stochastic
partial differential equations"(pdf),
SIAM Journal on Control and
Optimization, Vol. 31 (1993), pp. 14621478.

X. Zhou, " A
class of semilinear stochastic partial differential equations and
its controls: existence results"(pdf),
Stochastic Processes and Their
Applications, Vol. 44 (1993), pp. 89106.

X. Zhou, "
Verification theorems within the framework of viscosity
solutions"(pdf),
Journal of Mathematical Analysis and
Applications, Vol. 177 (1993), pp. 208225.

S. Sethi, Q. Zhang and X. Zhou,
" Hierarchical controls in stochastic
manufacturing systems with machines in tandem",
Stochastics and Stochastics Reports, Vol.
41 (1992), pp. 89118.

X. Zhou, " On
the existence of optimal relaxed controls of stochastic partial
differential equations"(pdf),
SIAM Journal on Control and
Optimization, Vol. 30 (1992), pp.
24726.

X. Zhou, " A
duality analysis on stochastic partial differential
equations"(pdf),
Journal of Functional Analysis,
Vol. 103 (1992), pp. 275293.

X. Zhou, " A
unified treatment of maximum principle and dynamic programming in
optimal stochastic controls",
Stochastics and Stochastics Reports,Vol.
36 (1991), pp. 13716.

X. Zhou, "
Maximum principle of stochastic controlled systems of functional
type", Acta Mathematica
Sinica, Vol. 7 (1991), pp. 193204.

X. Zhou, "
Remarks on optimal controls of stochastic partial differential
equations", Systems and Control
Letters, Vol. 16 (1991), pp. 465472.

X. Zhou, "
Maximum principle, dynamic programming, and their connection in
deterministic controls"(pdf),
Journal of Optimization Theory and
Application , Vol. 65 (1990), pp. 363373.

X. Zhou, " The
connection between the maximum principle and dynamic programming
in stochastic controls", Stochastics
and Stochastics Reports , Vol. 31 (1990), pp.
113.

X. Zhou and J. Xu,
" On the existence of the weak solutions of
stochastic differential equations of functional type"(pdf),
Chinese Annals of Mathematics ,
Vol. 10, Ser. A (1989), pp. 309317.
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