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Scholarly Articles

  1. Z. Xu, X. Zhou and S. Zhuang "Optimal insurance with rank-dependent utility and increasing indemnities"(pdf). 

  2. Y. Hu, H. Jin and X. Zhou, "Time-inconsistent stochastic linear--quadratic control: Characterization and uniqueness of equilibrium"(pdf). 

  3. X. He, R. Kouwenberg and X. Zhou, "Rank-dependent utility and risk taking in complete markets"(pdf). 

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

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

  6. J. Xia and X. Zhou, "Arrow-Debreu equilibria for rank-dependent utilities"(pdf), Mathematical Finance,   Vol. 26 (2016), pp. 558-588.

  7. X. He and X. Zhou, "Hope, fear and aspirations"(pdf), Mathematical Finance,   Vol. 26 (2016), pp. 3-50.

  8. 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. 773-796.

  9. H. Jin and X. Zhou, "Continuous-time 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. 475-488.

  10. 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. 959-981.

  11. C. Bernard, X. He, J.-A. Yan and X. Zhou, "Optimal insurance design under rank dependent utility"(pdf), Mathematical Finance,   Vol. 25 (2015), pp. 154-186.

  12. X. He and X. Zhou, " Myopic loss aversion, reference point, and money illusion"(pdf), Quantitative Finance,   Vol. 14 (2014), pp. 1541-1554.

  13. T. Bjork, A. Murgoci and X. Zhou, " Mean-variance portfolio optimization with state dependent risk aversion"(pdf), Mathematical Finance,   Vol. 24 (2014), pp. 1-24.

  14. H. Jin and X. Zhou, "Greed, leverage, and potential losses: A prospect theory perspective "(pdf), Mathematical Finance,   Vol. 23 (2013), pp. 122-142.

  15. 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. 221-229.

  16. Z. Xu and X. Zhou, "Optimal stopping under probability distortion"(pdf), Annals of Applied Probability,   Vol. 23 (2013), pp. 251-282.

  17. T. Meyer-Brandis, B. Oksendal and X. Zhou, "A mean-field stochastic maximum principle via Malliavin calculus"(pdf), Stochastics   (A Special Issue for Mark Davis' Festschrift),   Vol. 84 (2012), pp. 643-666.

  18. Y. Hu, H. Jin and X. Zhou, "Time-inconsistent stochastic linear-quadratic control"(pdf), SIAM Journal on Control and Optimization,   Vol. 50 (2012), pp. 1548-1572.

  19. X. He and X. Zhou, "Portfolio choice under cumulative prospect theory: An analytical treatment"(pdf), Management Science,   Vol. 57 (2011), pp. 315-331.

  20. X. He and X. Zhou, "Portfolio choice via quantiles"(pdf), Mathematical Finance,   Vol. 21 (2011), pp. 203-231.

  21. H. Jin, S. Zhang and X. Zhou, "Behavioral portfolio selection with loss control"(pdf), Acta Mathematica Sinica,   Vol. 27 (2011), pp. 255-274. (A Special Issue Dedicated to Loo-Keng Hua on His 100th Birthday)  

  22. C. Chiu and X. Zhou, "The premium of dynamic trading"(pdf), Quantitative Finance,   Vol. 11 (2011), pp. 115-123.

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

  24. 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. 317-334. (Essays in Honour of Eckhard Platen)  

  25. H. Jin and X. Zhou, "Erratum to ``Behavioral portfolio selection in continuous time"(pdf), Mathematical Finance,   Vol. 20 (2010), pp. 521-525.

  26. S. Ji and X. Zhou, "A generalized Neyman-Pearson lemma for g-probabilities"(pdf), Probability Theory and Related Fields,   Vol. 148 (2010), pp. 645-669.

  27. 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. 4177-4179.

  28. M. Dai, Z. Xu and X. Zhou, "Continuous-time Markowitz's model with transaction costs"(pdf), SIAM Journal on Financial Mathematics,   Vol. 1 (2010), pp. 96-125.

  29. H. Pham, V. Vath and X. Zhou, " Optimal switching over multiple regimes" (pdf), SIAM Journal on Control and Optimization,   Vol. 48 (2009), pp. 2217-2253.

  30. J.-A. Yan and X. Zhou, "Markowitz strategies revised"(pdf), Acta Mathematica Scientia,   Vol. 29 (2009), pp. 817-828. (A Special Issue Dedicated to Wenjun Wu on the Occasion of His 90th Birthday)

  31. Q. Zhang and X. Zhou, " Valuation of stock loans with regime switching"(pdf), SIAM Journal on Control and Optimization,  Vol. 48 (2009), pp. 1229-1250.

  32. A. Shiryaev, Z. Xu and X. Zhou, " Thou shalt buy and hold" (pdf), Quantitative Finance,  Vol. 8 (2008), pp. 765-776.

  33. A. Shiryaev, Z. Xu and X. Zhou, " Response to comment on 'Thou shalt buy and hold'" (pdf), Quantitative Finance,  Vol. 8 (2008), pp. 761-762.

  34. H. Morimoto and X. Zhou, " Optimal consumption in a growth model with the Cobb-Douglas production function" (pdf), SIAM Journal on Control and Optimization,   Vol. 47 (2008), pp. 2991-3006.

  35. H. Jin and X. Zhou, " Behavioral portfolio selection in continuous time" (pdf), Mathematical Finance,  Vol. 18 (2008), pp. 385-426.

  36. H. Jin, Z. Xu and X. Zhou, " A convex stochastic optimization problem arising from portfolio selection" (pdf), Mathematical Finance,  Vol. 18 (2008), pp. 171-184.

  37. S. Ji and X. Zhou, "The Neyman-Pearson lemma under g-probabilities'' (pdf)C. R. Acad. Sci. Paris, Ser. I,   Vol. 346 (2008), pp. 209-212.

  38. J. Xiong and X. Zhou, " Mean-variance portfolio selection under partial information"(pdf)SIAM Journal on Control and Optimization, Vol. 46 (2007), pp. 156-175.

  39. J. Xia and X. Zhou, " Stock loans" (pdf),  Mathematical Finance, Vol. 17 (2007), pp. 307-317.  

  40. X. Li and X. Zhou, " Continuous-time mean--variance efficiency: The 80% rule"(pdf), Annals of Applied Probability, Vol. 16 (2006), pp. 1751-1763. 

  41. 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. 321-337. (A Special Issue Dedicated to Tyrone Duncan on the Occasion of His 65th Birthday

  42. D. Yao, S. Zhang and X. Zhou, " Tracking a financial benchmark using a few assets"(pdf), Operations Research, Vol. 54 (2006), pp. 232-246. 

  43. H. Jin, H. Markowitz and X. Zhou, " A note on semivariance"(pdf), Mathematical Finance, Vol. 16 (2006), pp.53-62. 

  44. Y. Hu and X. Zhou, " Constrained stochastic LQ control with random coefficients, and application to mean--variance portfolio selection"(pdf), SIAM Journal on Control and Optimization, Vol. 44 (2005), pp. 444-466.   

  45. 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. 2245-2277.   

  46. A.E.B. Lim and X. Zhou, " A new risk-sensitive maximum principle"(pdf), IEEE Transactions on Automatic Control, Vol. AC-50 (2005), pp. 958-966. 

  47. H. Jin, J.-A. Yan and X. Zhou, " Continuous-time mean--risk portfolio selection"(pdf), Annales de l'Institut Henri Poincare (B) Probabilites et statistiques, Vol. 41 (2005), pp. 559-580.  (A Special Issue in Memory of Paul-Andre Meyer

  48. T. Bielecki, H. Jin, S. Pliska and X. Zhou, " Continuous-time mean--variance portfolio selection with bankruptcy prohibition"(pdf), Mathematical Finance, Vol. 15 (2005), pp. 213-244. 

  49. 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.2009-2019. 

  50. Y. Liu, G. Yin and X. Zhou, " Near-optimal controls of random-switching LQ problems with indefinite control weight costs"(pdf), Automatica, Vol. 41 (2005), pp. 1063-1070.   

  51. 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. 1120-1150.   

  52. 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. 1810-1837.   

  53. D. Yao, S. Zhang and X. Zhou, " Stochastic LQ control via primal--dual semidefinite programming"(pdf), SIAM Review, Vol. 46 (2004), pp. 87-111. (Invited SIGEST paper)   

  54. X. Guo, J. Liu and X. Zhou, " A constrained nonlinear regular-singular stochastic control problem, with applications"(pdf), Stochastic Processes and Their Applications, Vol. 109 (2004), pp. 167-187. 

  55. G. Yin and X. Zhou, " Markowitz's mean-variance portfolio selection with regime switching:From discrete-time models to their continuous-time limits"(pdf), IEEE Transactions on Automatic Control, Vol. 49 (2004), pp. 349-360.   

  56. 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. 65-72. 

  57. X. Zhou and G. Yin, " Markowitz's mean-variance portfolio selection with regime switching: A Continuous-Time Model"(pdf), SIAM Journal on Control and Optimization, Vol. 42 (2003), pp. 1466-1482.  

  58. 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. 149-175. 

  59. Y. Hu and X. Zhou, " Indefinite stochastic Riccati equations"(pdf), SIAM Journal on Control and Optimization, Vol. 42 (2003), pp. 123-137.  

  60. 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. 1946-1979. 

  61. A.E.B. Lim, X. Zhou, and J.B. Moore, " Multiple-objective risk-sensitive control"(pdf), Automatica, Vol. 39 (2003), pp. 533-541.  

  62. M. Ait Rami, X. Chen and X. Zhou, " Discrete-time indefinite LQ control with state and control dependent noises"(pdf), Journal of Global Optimization, Vol. 23 (2002), pp. 245-265.  

  63. H. Wu and X. Zhou, " Characterizing all optimal controls for an indefinite stochastic linear quadratic control problem"(pdf), IEEE Transactions on Automatic Control, AC-47 (2002), pp. 1119-1122. 

  64. A.E.B. Lim and X. Zhou, "Mean--variance portfolio selection with random parameters"(pdf), Mathematics of Operations Research, Vol. 27 (2002), pp. 101-120.  

  65. 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. 1296-1311. 

  66. X. Li, X. Zhou and A.E.B. Lim, " Dynamic mean--variance portfolio selection with no-shorting constraints", SIAM Journal on Control and Optimization, Vol. 40 (2001), pp. 1540-1555. 

  67. D. Yao, S. Zhang and X. Zhou, " A primal--dual semidefinite programming approach to LQ control problems", IEEE Transactions on Automatic Control, Vol. AC-46 (2001), pp. 1442-1447.  

  68. D. Yao, S. Zhang and X. Zhou, " Stochastic LQ control via semidefinite programming", SIAM Journal on Control and Optimization, Vol. 40 (2001), pp. 801-823. (2003 SIAM Outstanding Paper Award Winner

  69. H. Wu and X. Zhou, " Stochastic frequency characteristics", SIAM Journal on Control and Optimization, Vol. 40 (2001), pp. 557-576.

  70. A.E.B. Lim and X. Zhou, " Linear--quadratic control of backward stochastic differential equations", SIAM Journal on Control and Optimization, Vol. 40 (2001), pp. 450-474. 

  71. A.E.B. Lim and X. Zhou, " Risk-sensitive control with HARA utility", IEEE Transactions on Automatic Control, Vol. AC-46 (2001), pp. 563-578. 

  72. 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. AC-46 (2001), pp. 428-440. 

  73. T. Choulli, M. Taksar and X. Zhou, " Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction", Quantitative Finance, Vol. 1 (2001), pp. 573-596.   

  74. N. Dokuchaev and X. Zhou, " Optimal investment strategies with bounded risks, general utilities, and goal achieving", Journal of Mathematical Economics, Vol. 35 (2001), pp. 289-309.  

  75. 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. 1065-1081. 

  76. S. Sethi, G. Sorger and X. Zhou, " Stability of real-time lot-scheduling policies with quality levels", IEEE Transactions on Automatic Control, Vol. AC-45 (2000), pp. 2193-2196. 

  77. N.T. Fong and X. Zhou, " Optimal feedback controls in deterministic two-machine flowshops with finite buffers", IEEE Transactions on Automatic Control, Vol. AC-45 (2000), pp. 1198-1202.  

  78. M. Ait Rami, X. Zhou, and J.B. Moore, " Well-posedness and attainability of indefinite stochastic linear quadratic control in infinite time horizon", Systems and Control Letters, Vol. 41 (2000), pp.123-133. 

  79. M. Ait Rami and X. Zhou, " Linear matrix inequalities, Riccati equations, and indefinite stochastic linear  quadratic controls", IEEE Transactions on Automatic Control, Vol. AC-45 (2000), pp. 1131-1143. 

  80. 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. 957-972. 

  81. M. Kohlmann and X. Zhou, " Relationship between backward stochastic differential equations and stochastic controls: A linear-quadratic approach", SIAM Journal on Control and Optimization, Vol. 38 (2000), pp. 1392-1407. 

  82. X. Zhou and D. Li, " Continuous-time mean-variance portfolio selection: A stochastic LQ framework", Applied Mathematics and Optimization, Vol. 42 (2000), pp. 19-33. 

  83. N. Dokuchaev and X. Zhou, " Stochastic controls with terminal contingent conditions"(pdf), Journal of Mathematical Analysis and Applications, Vol. 238 (1999), pp. 143-165. 

  84. 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.535-549.  

  85. 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. AC-44 (1999), pp. 1359-1369.  

  86. 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. 199-206. 

  87. G.A. Fleischer, A.K. Mason and X. Zhou, " The mid-period and other approximations in the presence of uniform intraperiod cash flows: A critical evaluation", The Engineering Economist, Vol. 43 (1998), pp.369-377. 

  88. X. Chen and X. Zhou, " Deterministic near-optimal controls with state constraints", Dynamics of Continuous, Discrete and Impulsive Systems, Vol. 4 (1998), pp. 513-526.

  89. 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.105-122. 

  90. 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. 1685-1702. 

  91. X. Zhou, " Stochastic near-optimal controls: Necessary and sufficient conditions for near-optimality ", SIAM Journal on Control and Optimization ,Vol. 36 (1998), pp. 929-947. 

  92. X. Zhou, " Characterization of optimal controls for diffusion processes ", Systems and Control Letters, Vol. 31 (1997), pp. 3-9. 

  93. C. Samaratunga, S. Sethi and X. Zhou, " Computational evaluation of hierarchical production control policies for stochastic manufacturing systems", Operations Research, Vol. 45 (1997), pp. 258-274.  

  94. W.K. Ching, R. Chan and X. Zhou, " Circulant preconditioners for Markov-modulated Poisson processes and their applications to manufacturing systems ", SIAM Journal of Matrix Analysis and Applications, Vol. 18 (1997), pp. 464-481. 

  95. 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. 243-253.  

  96. S. Sethi, Q. Zhang and X. Zhou," Hierarchical production planning in a stochastic two-machine flowshop with a finite internal buffer ", IEEE Transactions on Robotics and Automation, Vol. 13 (1997), pp.1-13. 

  97. S. Sethi and X. Zhou, " Optimal feedback controls in deterministic dynamic two-machine flowshops", Operations Research Letters, Vol. 19 (1996), pp. 225-235. 

  98. X. Zhou, " Sufficient conditions of optimality for stochastic systems with controllable diffusions", IEEE Transactions on Automatic Control, Vol. 41 (1996), pp. 1176-1179. 

  99. N.T. Fong and X. Zhou, " Hierarchical production policies in stochastic two-machine flowshops with finite buffers", Journal of Optimization Theory and Applications, Vol. 89 (1996), pp. 681-712.    

  100. X. Zhou, " Deterministic near-optimal controls Part II: Dynamic programming and viscosity solution approach "(pdf), Mathematics of Operations Research, Vol. 21 (1996), pp. 655-674.

  101. X. Zhou, " Deterministic near-optimal controls Part I: Necessary and sufficient conditions for near-optimality ", Journal of Optimization Theory and Applications, Vol. 85 (1995), pp. 473-488.  

  102. S. Sethi and X. Zhou, " Dynamic stochastic job shops and hierarchical production planning", IEEE Transactions on Automatic Control, Vol. AC-39 (1994), pp. 2061-2076. 

  103. 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. 299-318. 

  104. 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.67-92. 

  105. S. Sethi, H. Yan, Q. Zhang and X. Zhou, " Feedback production planning in a stochastic two-machine flowshop: asymptotic analysis and computational results", International Journal of Production Economics, Vol. 30-31 (1993), pp. 79-93. 

  106. 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. 1462-1478.

  107. 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. 89-106. 

  108. X. Zhou, " Verification theorems within the framework of viscosity solutions"(pdf), Journal of Mathematical Analysis and Applications, Vol. 177 (1993), pp. 208-225. 

  109. 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. 89-118. 

  110. 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. 247-26. 

  111. X. Zhou, " A duality analysis on stochastic partial differential equations"(pdf), Journal of Functional Analysis, Vol. 103 (1992), pp. 275-293. 

  112. X. Zhou, " A unified treatment of maximum principle and dynamic programming in optimal stochastic controls", Stochastics and Stochastics Reports,Vol. 36 (1991), pp. 137-16. 

  113. X. Zhou, " Maximum principle of stochastic controlled systems of functional type", Acta Mathematica Sinica, Vol. 7 (1991), pp. 193-204. 

  114. X. Zhou, " Remarks on optimal controls of stochastic partial differential equations", Systems and Control Letters, Vol. 16 (1991), pp. 465-472.

  115. X. Zhou, " Maximum principle, dynamic programming, and their connection in deterministic controls"(pdf), Journal of Optimization Theory and Application , Vol. 65 (1990), pp. 363-373.   

  116. X. Zhou, " The connection between the maximum principle and dynamic programming in stochastic controls", Stochastics and Stochastics Reports , Vol. 31 (1990), pp. 1-13. 

  117. 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. 309-317.   


     

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