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Li, Xun

Co-Author Distance
Author ID: li.xun Recent zbMATH articles by "Li, Xun"
Published as: Li, Xun
Documents Indexed: 138 Publications since 1995, including 2 Books and 20 Additional arXiv Preprints
Co-Authors: 164 Co-Authors with 136 Joint Publications
5,910 Co-Co-Authors
all top 5

Co-Authors

1 single-authored
12 Huang, Jianhui
10 Ni, Yuanhua
9 Xiong, Jie
7 Cui, Xiangyu
7 Zhang, Xin
6 Zhang, Jifeng
5 Liu, Guojing
5 Wang, Guangchen
5 Wu, Fan
5 Xu, Zuoquan
5 Yong, Jiongmin
5 Zhang, Liangquan
4 Guan, Chonghu
4 Lari-Lavassani, Ali
4 Li, Zhongfei
4 Yao, Haixiang
4 Yi, Fahuai
4 Zhang, Huanshui
3 Chiu, Chun-Hung
3 Gao, Jianjun
3 Guo, Ben-Yu
3 Hu, Ying
3 Li, Duan
3 Li, Hongdan
3 Li, Na
3 Sun, Jingrui
3 Wen, Jiaqiang
3 Wu, Zhenyu
3 Xu, Juanjuan
3 Yiu, Ka Fai Cedric
3 Zhang, Zhaorong
3 Zhou, Ling
3 Zhou, Xunyu
2 Chan, Raymond Hon-Fu
2 Chen, Ping
2 Choi, Tsan-Ming
2 Dmitrasinovic-Vidovic, Gordana
2 Elliott, Robert James
2 Ghosh, Joyee
2 Guo, Yves ZY.
2 Kong, Fanchao
2 Krstić, Miroslav
2 Lee, Spike T.
2 Luo, Sheng
2 Ma, Cheng
2 Ma, Hongxu
2 Meng, Qingxin
2 Shi, Jingtao
2 Shi, Yun
2 Siu, Tak Kuen
2 Villarini, Gabriele
2 Wang, Tianxiao
2 Ware, Antony F.
2 Wei, Qingmeng
2 Wu, Xianping
2 Xiong, Biao
2 Xue, Han
2 Zhang, Heng
2 Zhang, Liansheng
2 Zhang, Qinyi
2 Zhou, Wenxin
1 Ahmed, Osman S.
1 Ait Rami, Mustapha
1 Ang, Rongrong
1 Bai, Donghua
1 Bakr, Mohamed H.
1 Cao, Lang
1 Cedric, Yiu Ka Fai
1 Chao, Shilei
1 Chen, Jian
1 Chen, Xiaoshan
1 Ching, Wai-Ki
1 Deng, Shuoqing
1 Fang, Yue
1 Fu, Chenpeng
1 Fu, Minyue
1 Fung, Eric S.
1 Ge, Hao
1 Guan, Zhijin
1 Han, Deren
1 Hao, Gang
1 Hao, Zhifeng
1 He, Jingjing
1 Hou, Shuihung
1 Hu, Sanqing
1 Hui, Eddie C. M.
1 Jian, Xiongfei
1 Jin, Xing
1 Kang, Yong
1 Kang, Zhilin
1 Koene, Erik F. M.
1 Li, Jianyu
1 Li, Lihua
1 Li, Lucky Qiaofeng
1 Li, Pengfei
1 Li, Wenqiang
1 Li, Xingyi
1 Li, Yong
1 Lim, Andrew E. B.
1 Liping, Ma
...and 67 more Co-Authors
all top 5

Serials

10 Automatica
8 IEEE Transactions on Automatic Control
8 Systems & Control Letters
8 Journal of Industrial and Management Optimization
5 Journal of Natural Science of Heilongjiang University
4 SIAM Journal on Control and Optimization
4 European Journal of Operational Research
3 Applied Mathematics and Optimization
3 Journal of Sichuan University. Natural Science Edition
3 Operations Research Letters
3 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
2 International Journal of Control
2 Insurance Mathematics & Economics
2 Quantitative Finance
2 SIAM Journal on Financial Mathematics
2 Journal of Control Science and Engineering
2 Mathematical Control and Related Fields
1 The American Statistician
1 Computers & Mathematics with Applications
1 International Journal of Theoretical Physics
1 Journal of Computational Physics
1 Physica A
1 Journal of Differential Equations
1 Applied Mathematics and Mechanics. (English Edition)
1 Mathematics in Practice and Theory
1 Journal of East China Normal University. Natural Science Edition
1 Acta Automatica Sinica
1 Journal of Computational Mathematics
1 Proceedings of the CSEE
1 Computers & Operations Research
1 Annals of Operations Research
1 The Annals of Applied Probability
1 Journal of Global Optimization
1 Annals of Physics
1 Communications in Statistics. Theory and Methods
1 Computational and Applied Mathematics
1 Finance and Stochastics
1 Journal of Anhui Normal University. Natural Science
1 Mathematical Finance
1 Mathematical Methods of Operations Research
1 Journal of Inequalities and Applications
1 International Journal of Theoretical and Applied Finance
1 Journal of Applied Statistics
1 Journal of Mathematical Study
1 IEEE Transactions on Antennas and Propagation
1 Natural Science Journal of Harbin Normal University
1 Communications in Information and Systems
1 Control and Decision
1 Journal of Statistical Mechanics: Theory and Experiment
1 Pacific Journal of Optimization
1 Computational & Mathematical Methods in Medicine
1 Journal of Hangzhou Normal University. Natural Sciences Edition
1 Communications in Theoretical Physics
1 IET Control Theory & Applications
1 Journal of Probability and Statistics
1 Afrika Matematika
1 Annals of Finance
1 Journal of the Operations Research Society of China
1 International Journal of Systems Science. Principles and Applications of Systems and Integration
1 Probability, Uncertainty and Quantitative Risk
all top 5

Fields

61 Systems theory; control (93-XX)
50 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
42 Calculus of variations and optimal control; optimization (49-XX)
22 Probability theory and stochastic processes (60-XX)
13 Operations research, mathematical programming (90-XX)
9 Numerical analysis (65-XX)
8 Linear and multilinear algebra; matrix theory (15-XX)
8 Partial differential equations (35-XX)
7 Statistics (62-XX)
5 Ordinary differential equations (34-XX)
5 Quantum theory (81-XX)
4 Computer science (68-XX)
2 Functional analysis (46-XX)
2 Operator theory (47-XX)
2 Fluid mechanics (76-XX)
1 Mathematical logic and foundations (03-XX)
1 Combinatorics (05-XX)
1 Difference and functional equations (39-XX)
1 Mechanics of particles and systems (70-XX)
1 Optics, electromagnetic theory (78-XX)
1 Statistical mechanics, structure of matter (82-XX)
1 Geophysics (86-XX)
1 Biology and other natural sciences (92-XX)

Publications by Year

all cited Publications top 5 cited Publications

Citations contained in zbMATH Open

81 Publications have been cited 1,250 times in 809 Documents Cited by ▼ Year ▼
Dynamic mean-variance portfolio selection with no-shorting constraints. Zbl 1027.91040
Li, Xun; Zhou, Xun Yu; Lim, Andrew E. B.
143
2002
Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems. Zbl 1347.49033
Sun, Jingrui; Li, Xun; Yong, Jiongmin
89
2016
Discrete time mean-field stochastic linear-quadratic optimal control problems. Zbl 1358.93189
Elliott, Robert; Li, Xun; Ni, Yuan-Hua
75
2013
A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon. Zbl 1326.49051
Huang, Jianhui; Li, Xun; Yong, Jiongmin
58
2015
Dynamic mean-variance portfolio selection with borrowing constraint. Zbl 1183.91192
Fu, Chenpeng; Lari-Lavassani, Ali; Li, Xun
58
2010
Optimal multi-period mean-variance policy under no-shorting constraint. Zbl 1304.91185
Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan
49
2014
Consensus seeking in multi-agent systems with multiplicative measurement noises. Zbl 1276.93006
Ni, Yuan-Hua; Li, Xun
43
2013
Indefinite stochastic linear quadratic control with Markovian jumps in infinite time horizon. Zbl 1031.93155
Li, Xun; Zhou, Xun Yu; Ait Rami, Mustapha
42
2003
Near-optimal control problems for linear forward-backward stochastic systems. Zbl 1205.93165
Huang, Jianhui; Li, Xun; Wang, Guangchen
34
2010
Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case. Zbl 1330.93244
Ni, Yuan-Hua; Elliott, Robert; Li, Xun
33
2015
Forward-backward linear quadratic stochastic optimal control problem with delay. Zbl 1250.93125
Huang, Jianhui; Li, Xun; Shi, Jingtao
32
2012
Linear quadratic optimal control problems for mean-field backward stochastic differential equations. Zbl 1428.49037
Li, Xun; Sun, Jingrui; Xiong, Jie
32
2019
Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability. Zbl 1433.49050
Li, Xun; Sun, Jingrui; Yong, Jiongmin
30
2016
A Legendre spectral method for solving the nonlinear Klein-Gordon equation. Zbl 0856.65117
Guo, Ben-Yu; Li, Xun; Vázquez, Luis
30
1996
Indefinite mean-field stochastic linear-quadratic optimal control. Zbl 1360.93782
Ni, Yuan-Hua; Zhang, Ji-Feng; Li, Xun
30
2015
Unified framework of mean-field formulations for optimal multi-period mean-variance portfolio selection. Zbl 1360.91133
Cui, Xiangyu; Li, Xun; Li, Duan
29
2014
A Legendre pseudospectral method for solving nonlinear Klein-Gordon equation. Zbl 0876.65073
Li, Xun; Guo, B. Y.
25
1997
Continuous-time mean-variance efficiency: the 80% rule. Zbl 1132.91472
Li, Xun; Zhou, Xun Yu
25
2006
Indefinite mean-field stochastic linear-quadratic optimal control: from finite horizon to infinite horizon. Zbl 1359.93540
Ni, Yuan-Hua; Li, Xun; Zhang, Ji-Feng
23
2016
Indefinite stochastic LQ controls with Markovian jumps in a finite time horizon. Zbl 1119.93418
Li, Xun; Zhou, Yu
22
2002
Linear quadratic mean field game with control input constraint. Zbl 1432.49048
Hu, Ying; Huang, Jianhui; Li, Xun
22
2018
Supply chain coordination with risk sensitive retailer under target sales rebate. Zbl 1237.90039
Chiu, Chun-Hung; Choi, Tsan-Ming; Li, Xun
21
2011
Mean-variance policy for discrete-time cone-constrained markets: time consistency in efficiency and the minimum-variance signed supermartingale measure. Zbl 1541.91222
Cui, Xiangyu; Li, Duan; Li, Xun
21
2017
Maximum principles for a class of partial information risk-sensitive optimal controls. Zbl 1368.93139
Huang, Jianhui; Li, Xun; Wang, Guangchen
17
2010
Mean-field stochastic linear-quadratic optimal control with Markov jump parameters. Zbl 1336.93172
Ni, Yuan-Hua; Li, Xun; Zhang, Ji-Feng
15
2016
Indefinite mean-field type linear-quadratic stochastic optimal control problems. Zbl 1451.93418
Li, Na; Li, Xun; Yu, Zhiyong
14
2020
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity. Zbl 1407.91225
Kang, Zhilin; Li, Xun; Li, Zhongfei; Zhu, Shushang
12
2019
Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system. Zbl 1476.93164
Wen, Jiaqiang; Li, Xun; Xiong, Jie
12
2021
Near-optimal control for stochastic recursive problems. Zbl 1210.93083
Hui, Eddie; Huang, Jianhui; Li, Xun; Wang, Guangchen
12
2011
Anticipated backward stochastic differential equations with quadratic growth. Zbl 1467.60041
Hu, Ying; Li, Xun; Wen, Jiaqiang
10
2021
A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time. Zbl 1408.91205
Yi, Lan; Wu, Xianping; Li, Xun; Cui, Xiangyu
10
2014
Multi-period defined contribution pension funds investment management with regime-switching and mortality risk. Zbl 1371.91171
Yao, Haixiang; Chen, Ping; Li, Xun
10
2016
A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction. Zbl 1317.91068
Jin, Xing; Li, Xun; Tan, Hwee Huat; Wu, Zhenyu
9
2013
Mixed equilibrium solution of time-inconsistent stochastic linear-quadratic problem. Zbl 1407.93433
Ni, Yuan-Hua; Li, Xun; Zhang, Ji-Feng; Krstic, Miroslav
9
2019
A stochastic maximum principle for partially observed stochastic control systems with delay. Zbl 1454.93297
Zhang, Shuaiqi; Li, Xun; Xiong, Jie
8
2020
A stochastic control problem and related free boundaries in finance. Zbl 1373.35343
Guan, Chonghu; Li, Xun; Xu, Zuo Quan; Yi, Fahuai
8
2017
Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system. Zbl 1473.49040
Zhang, Xin; Li, Xun; Xiong, Jie
8
2021
Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems. Zbl 1378.93146
Huang, Jianhui; Li, Xun; Wang, Tianxiao
8
2017
Innovative menu of contracts for coordinating a supply chain with multiple mean-variance retailers. Zbl 1346.90089
Chiu, Chun-Hung; Choi, Tsan-Ming; Hao, Gang; Li, Xun
8
2015
Mean-field linear-quadratic-Gaussian (LQG) games for stochastic integral systems. Zbl 1359.91008
Huang, Jianhui; Li, Xun; Wang, Tianxiao
7
2016
Continuous-time Markowitz’s model with constraints on wealth and portfolio. Zbl 1408.91200
Li, Xun; Xu, Zuo Quan
7
2016
On continuous-time constrained stochastic linear-quadratic control. Zbl 1441.93351
Wu, Weiping; Gao, Jianjun; Lu, Jun-Guo; Li, Xun
6
2020
Optimal consumption with reference to past spending maximum. Zbl 1484.91449
Deng, Shuoqing; Li, Xun; Pham, Huyên; Yu, Xiang
6
2022
Necessary condition for near optimal control of linear forward-backward stochastic differential equations. Zbl 1337.93102
Zhang, Liangquan; Huang, Jianhui; Li, Xun
5
2015
New exact penalty function for solving constrained finite min-max problems. Zbl 1233.90258
Ma, Cheng; Li, Xun; Cedric Yiu, Ka-Fai; Zhang, Lian-sheng
5
2012
A high-order Markov-switching model for risk measurement. Zbl 1189.91084
Siu, T. K.; Ching, W. K.; Fung, E.; Ng, M.; Li, X.
5
2009
Optimal investment with stopping in finite horizon. Zbl 1516.35553
Jian, Xiongfei; Li, Xun; Yi, Fahuai
5
2014
Bounding option pricing of multi-assets: a semidefinite programming approach. Zbl 1105.90056
Han, Deren; Li, Xun; Sun, Defeng; Sun, Jie
4
2005
Mean field game for linear-quadratic stochastic recursive systems. Zbl 1428.91004
Zhang, Liangquan; Li, Xun
4
2019
Optimal control for discrete-time NCSs with input delay and Markovian packet losses: hold-input case. Zbl 1478.93735
Li, Hongdan; Li, Xun; Zhang, Huanshui
4
2021
Dynamic asset-liability management in a Markov market with stochastic cash flows. Zbl 1400.91570
Yao, Haixiang; Li, Xun; Hao, Zhifeng; Li, Yong
4
2016
Real options approach for fashionable and perishable products using stock loan with regime switching. Zbl 1415.91307
Chiu, Chun-Hung; Hou, Shui-Hung; Li, Xun; Liu, Wei
4
2017
Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk. Zbl 1499.91124
Yao, Haixiang; Chen, Ping; Zhang, Miao; Li, Xun
4
2022
A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets. Zbl 1233.91283
Li, Xun; Wu, Zhenyu
3
2006
A mixed linear quadratic optimal control problem with a controlled time horizon. Zbl 1297.49058
Huang, Jianhui; Li, Xun; Yong, Jiongmin
3
2014
Improve microwave quantum illumination via optical parametric amplifier. Zbl 1372.81187
Xiong, Biao; Li, Xun; Wang, Xiao-Yu; Zhou, Ling
3
2017
Stochastic linear quadratic optimal control problem: a reinforcement learning method. Zbl 1537.93790
Li, Xun; Li, Na; Peng, Jing; Xu, Zuo Quan
3
2022
Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system. Zbl 1513.49078
Si, Kehan; Xu, Zhenda; Cedric, Yiu Ka Fai; Li, Xun
3
2022
Equilibrium solutions of multiperiod mean-variance portfolio selection. Zbl 1533.91433
Ni, Yuan-Hua; Li, Xun; Zhang, Ji-Feng; Krstic, Miroslav
3
2020
Survey on multi-period mean-variance portfolio selection model. Zbl 1524.91100
Cui, Xiang-Yu; Gao, Jian-Jun; Li, Xun; Shi, Yun
3
2022
On an exact penalty function method for semi-infinite programming problems. Zbl 1292.90299
Ma, Cheng; Li, Xun; Yiu, Ka-Fai Cedric; Yang, Yongjian; Zhang, Liansheng
2
2012
Optimal control and stabilization for linear continuous-time mean-field systems with delay. Zbl 07903449
Ma, Xiao; Qi, Qingyuan; Li, Xun; Zhang, Huanshui
2
2022
Better than pre-committed optimal mean-variance policy in a jump diffusion market. Zbl 1411.91529
Shi, Yun; Li, Xun; Cui, Xiangyu
2
2017
Mean-field linear-quadratic stochastic differential games in an infinite horizon. Zbl 1471.91023
Li, Xun; Shi, Jingtao; Yong, Jiongmin
2
2021
Stochastic linear-quadratic optimal control problems with random coefficients and Markovian regime switching system. Zbl 1512.49033
Wen, Jiaqiang; Li, Xun; Xiong, Jie; Zhang, Xin
2
2023
An optimization model of multi-intersection signal control for trunk road under collaborative information. Zbl 1404.90051
Li, Xun; Zhao, Zhengfan; Liu, Li; Liu, Yao; Li, Pengfei
2
2017
Remote weak-signal measurement via bound states in optomechanical systems. Zbl 1521.81026
Li, Xun; Xiong, Biao; Chao, Shilei; Zhao, Chengsong; Tan, Hua-Tang; Zhou, Ling
2
2021
Continuous time portfolio selection under conditional capital at risk. Zbl 1200.91279
Dmitrasinovic-Vidovic, Gordana; Lari-Lavassani, Ali; Li, Xun; Ware, Antony
1
2010
Optimal stopping investment with non-smooth utility over an infinite time horizon. Zbl 1415.91131
Chen, Xiaoshan; Li, Xun; Yi, Fahuai
1
2019
An optimal investment problem with nonsmooth and nonconcave utility over a finite time horizon. Zbl 1443.91259
Guan, Chonghu; Li, Xun; Zhou, Wenxin
1
2020
A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application. Zbl 1461.93546
Li, Xun; Tai, Allen H.; Tian, Fei
1
2021
On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices. Zbl 1139.91336
Li, Xun; Wu, Zhenyu
1
2008
Spectral methods for solving nonlinear Klein-Gordon equation. Zbl 0918.35125
Guo, Benyu; Li, Xun
1
1996
Expression in rough set theory for logic functions and a method of minimization. Zbl 1115.68526
Zhang, Yiqing; Guan, Zhijin; Li, Xun
1
2006
Optimal consumption and life insurance under shortfall aversion and a drawdown constraint. Zbl 1507.91188
Li, Xun; Yu, Xiang; Zhang, Qinyi
1
2023
Financial mathematics, derivatives and structured products. Zbl 1532.91003
Chan, Raymond H.; Guo, Yves ZY.; Lee, Spike T.; Li, Xun
1
2019
A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints. Zbl 1412.90099
Wu, Xianping; Li, Xun; Li, Zhongfei
1
2018
Diffusion processes of fragmentary information on scale-free networks. Zbl 1400.91477
Li, Xun; Cao, Lang
1
2016
Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset. Zbl 1361.90047
Yao, Haixiang; Li, Zhongfei; Li, Xun; Zeng, Yan
1
2017
The correlated two-photon transport in a one-dimensional waveguide coupling to a hybrid atom-optomechanical system. Zbl 1358.81182
Liu, Jingyi; Zhang, Wenzhao; Li, Xun; Yan, Weibin; Zhou, Ling
1
2016
Bayesian negative binomial regression model with unobserved covariates for predicting the frequency of north atlantic tropical storms. Zbl 07720120
Li, Xun; Ghosh, Joyee; Villarini, Gabriele
1
2023
Stochastic linear-quadratic optimal control problems with random coefficients and Markovian regime switching system. Zbl 1512.49033
Wen, Jiaqiang; Li, Xun; Xiong, Jie; Zhang, Xin
2
2023
Optimal consumption and life insurance under shortfall aversion and a drawdown constraint. Zbl 1507.91188
Li, Xun; Yu, Xiang; Zhang, Qinyi
1
2023
Bayesian negative binomial regression model with unobserved covariates for predicting the frequency of north atlantic tropical storms. Zbl 07720120
Li, Xun; Ghosh, Joyee; Villarini, Gabriele
1
2023
Optimal consumption with reference to past spending maximum. Zbl 1484.91449
Deng, Shuoqing; Li, Xun; Pham, Huyên; Yu, Xiang
6
2022
Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk. Zbl 1499.91124
Yao, Haixiang; Chen, Ping; Zhang, Miao; Li, Xun
4
2022
Stochastic linear quadratic optimal control problem: a reinforcement learning method. Zbl 1537.93790
Li, Xun; Li, Na; Peng, Jing; Xu, Zuo Quan
3
2022
Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system. Zbl 1513.49078
Si, Kehan; Xu, Zhenda; Cedric, Yiu Ka Fai; Li, Xun
3
2022
Survey on multi-period mean-variance portfolio selection model. Zbl 1524.91100
Cui, Xiang-Yu; Gao, Jian-Jun; Li, Xun; Shi, Yun
3
2022
Optimal control and stabilization for linear continuous-time mean-field systems with delay. Zbl 07903449
Ma, Xiao; Qi, Qingyuan; Li, Xun; Zhang, Huanshui
2
2022
Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system. Zbl 1476.93164
Wen, Jiaqiang; Li, Xun; Xiong, Jie
12
2021
Anticipated backward stochastic differential equations with quadratic growth. Zbl 1467.60041
Hu, Ying; Li, Xun; Wen, Jiaqiang
10
2021
Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system. Zbl 1473.49040
Zhang, Xin; Li, Xun; Xiong, Jie
8
2021
Optimal control for discrete-time NCSs with input delay and Markovian packet losses: hold-input case. Zbl 1478.93735
Li, Hongdan; Li, Xun; Zhang, Huanshui
4
2021
Mean-field linear-quadratic stochastic differential games in an infinite horizon. Zbl 1471.91023
Li, Xun; Shi, Jingtao; Yong, Jiongmin
2
2021
Remote weak-signal measurement via bound states in optomechanical systems. Zbl 1521.81026
Li, Xun; Xiong, Biao; Chao, Shilei; Zhao, Chengsong; Tan, Hua-Tang; Zhou, Ling
2
2021
A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application. Zbl 1461.93546
Li, Xun; Tai, Allen H.; Tian, Fei
1
2021
Indefinite mean-field type linear-quadratic stochastic optimal control problems. Zbl 1451.93418
Li, Na; Li, Xun; Yu, Zhiyong
14
2020
A stochastic maximum principle for partially observed stochastic control systems with delay. Zbl 1454.93297
Zhang, Shuaiqi; Li, Xun; Xiong, Jie
8
2020
On continuous-time constrained stochastic linear-quadratic control. Zbl 1441.93351
Wu, Weiping; Gao, Jianjun; Lu, Jun-Guo; Li, Xun
6
2020
Equilibrium solutions of multiperiod mean-variance portfolio selection. Zbl 1533.91433
Ni, Yuan-Hua; Li, Xun; Zhang, Ji-Feng; Krstic, Miroslav
3
2020
An optimal investment problem with nonsmooth and nonconcave utility over a finite time horizon. Zbl 1443.91259
Guan, Chonghu; Li, Xun; Zhou, Wenxin
1
2020
Linear quadratic optimal control problems for mean-field backward stochastic differential equations. Zbl 1428.49037
Li, Xun; Sun, Jingrui; Xiong, Jie
32
2019
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity. Zbl 1407.91225
Kang, Zhilin; Li, Xun; Li, Zhongfei; Zhu, Shushang
12
2019
Mixed equilibrium solution of time-inconsistent stochastic linear-quadratic problem. Zbl 1407.93433
Ni, Yuan-Hua; Li, Xun; Zhang, Ji-Feng; Krstic, Miroslav
9
2019
Mean field game for linear-quadratic stochastic recursive systems. Zbl 1428.91004
Zhang, Liangquan; Li, Xun
4
2019
Optimal stopping investment with non-smooth utility over an infinite time horizon. Zbl 1415.91131
Chen, Xiaoshan; Li, Xun; Yi, Fahuai
1
2019
Financial mathematics, derivatives and structured products. Zbl 1532.91003
Chan, Raymond H.; Guo, Yves ZY.; Lee, Spike T.; Li, Xun
1
2019
Linear quadratic mean field game with control input constraint. Zbl 1432.49048
Hu, Ying; Huang, Jianhui; Li, Xun
22
2018
A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints. Zbl 1412.90099
Wu, Xianping; Li, Xun; Li, Zhongfei
1
2018
Mean-variance policy for discrete-time cone-constrained markets: time consistency in efficiency and the minimum-variance signed supermartingale measure. Zbl 1541.91222
Cui, Xiangyu; Li, Duan; Li, Xun
21
2017
A stochastic control problem and related free boundaries in finance. Zbl 1373.35343
Guan, Chonghu; Li, Xun; Xu, Zuo Quan; Yi, Fahuai
8
2017
Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems. Zbl 1378.93146
Huang, Jianhui; Li, Xun; Wang, Tianxiao
8
2017
Real options approach for fashionable and perishable products using stock loan with regime switching. Zbl 1415.91307
Chiu, Chun-Hung; Hou, Shui-Hung; Li, Xun; Liu, Wei
4
2017
Improve microwave quantum illumination via optical parametric amplifier. Zbl 1372.81187
Xiong, Biao; Li, Xun; Wang, Xiao-Yu; Zhou, Ling
3
2017
Better than pre-committed optimal mean-variance policy in a jump diffusion market. Zbl 1411.91529
Shi, Yun; Li, Xun; Cui, Xiangyu
2
2017
An optimization model of multi-intersection signal control for trunk road under collaborative information. Zbl 1404.90051
Li, Xun; Zhao, Zhengfan; Liu, Li; Liu, Yao; Li, Pengfei
2
2017
Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset. Zbl 1361.90047
Yao, Haixiang; Li, Zhongfei; Li, Xun; Zeng, Yan
1
2017
Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems. Zbl 1347.49033
Sun, Jingrui; Li, Xun; Yong, Jiongmin
89
2016
Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability. Zbl 1433.49050
Li, Xun; Sun, Jingrui; Yong, Jiongmin
30
2016
Indefinite mean-field stochastic linear-quadratic optimal control: from finite horizon to infinite horizon. Zbl 1359.93540
Ni, Yuan-Hua; Li, Xun; Zhang, Ji-Feng
23
2016
Mean-field stochastic linear-quadratic optimal control with Markov jump parameters. Zbl 1336.93172
Ni, Yuan-Hua; Li, Xun; Zhang, Ji-Feng
15
2016
Multi-period defined contribution pension funds investment management with regime-switching and mortality risk. Zbl 1371.91171
Yao, Haixiang; Chen, Ping; Li, Xun
10
2016
Mean-field linear-quadratic-Gaussian (LQG) games for stochastic integral systems. Zbl 1359.91008
Huang, Jianhui; Li, Xun; Wang, Tianxiao
7
2016
Continuous-time Markowitz’s model with constraints on wealth and portfolio. Zbl 1408.91200
Li, Xun; Xu, Zuo Quan
7
2016
Dynamic asset-liability management in a Markov market with stochastic cash flows. Zbl 1400.91570
Yao, Haixiang; Li, Xun; Hao, Zhifeng; Li, Yong
4
2016
Diffusion processes of fragmentary information on scale-free networks. Zbl 1400.91477
Li, Xun; Cao, Lang
1
2016
The correlated two-photon transport in a one-dimensional waveguide coupling to a hybrid atom-optomechanical system. Zbl 1358.81182
Liu, Jingyi; Zhang, Wenzhao; Li, Xun; Yan, Weibin; Zhou, Ling
1
2016
A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon. Zbl 1326.49051
Huang, Jianhui; Li, Xun; Yong, Jiongmin
58
2015
Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case. Zbl 1330.93244
Ni, Yuan-Hua; Elliott, Robert; Li, Xun
33
2015
Indefinite mean-field stochastic linear-quadratic optimal control. Zbl 1360.93782
Ni, Yuan-Hua; Zhang, Ji-Feng; Li, Xun
30
2015
Innovative menu of contracts for coordinating a supply chain with multiple mean-variance retailers. Zbl 1346.90089
Chiu, Chun-Hung; Choi, Tsan-Ming; Hao, Gang; Li, Xun
8
2015
Necessary condition for near optimal control of linear forward-backward stochastic differential equations. Zbl 1337.93102
Zhang, Liangquan; Huang, Jianhui; Li, Xun
5
2015
Optimal multi-period mean-variance policy under no-shorting constraint. Zbl 1304.91185
Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan
49
2014
Unified framework of mean-field formulations for optimal multi-period mean-variance portfolio selection. Zbl 1360.91133
Cui, Xiangyu; Li, Xun; Li, Duan
29
2014
A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time. Zbl 1408.91205
Yi, Lan; Wu, Xianping; Li, Xun; Cui, Xiangyu
10
2014
Optimal investment with stopping in finite horizon. Zbl 1516.35553
Jian, Xiongfei; Li, Xun; Yi, Fahuai
5
2014
A mixed linear quadratic optimal control problem with a controlled time horizon. Zbl 1297.49058
Huang, Jianhui; Li, Xun; Yong, Jiongmin
3
2014
Discrete time mean-field stochastic linear-quadratic optimal control problems. Zbl 1358.93189
Elliott, Robert; Li, Xun; Ni, Yuan-Hua
75
2013
Consensus seeking in multi-agent systems with multiplicative measurement noises. Zbl 1276.93006
Ni, Yuan-Hua; Li, Xun
43
2013
A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction. Zbl 1317.91068
Jin, Xing; Li, Xun; Tan, Hwee Huat; Wu, Zhenyu
9
2013
Forward-backward linear quadratic stochastic optimal control problem with delay. Zbl 1250.93125
Huang, Jianhui; Li, Xun; Shi, Jingtao
32
2012
New exact penalty function for solving constrained finite min-max problems. Zbl 1233.90258
Ma, Cheng; Li, Xun; Cedric Yiu, Ka-Fai; Zhang, Lian-sheng
5
2012
On an exact penalty function method for semi-infinite programming problems. Zbl 1292.90299
Ma, Cheng; Li, Xun; Yiu, Ka-Fai Cedric; Yang, Yongjian; Zhang, Liansheng
2
2012
Supply chain coordination with risk sensitive retailer under target sales rebate. Zbl 1237.90039
Chiu, Chun-Hung; Choi, Tsan-Ming; Li, Xun
21
2011
Near-optimal control for stochastic recursive problems. Zbl 1210.93083
Hui, Eddie; Huang, Jianhui; Li, Xun; Wang, Guangchen
12
2011
Dynamic mean-variance portfolio selection with borrowing constraint. Zbl 1183.91192
Fu, Chenpeng; Lari-Lavassani, Ali; Li, Xun
58
2010
Near-optimal control problems for linear forward-backward stochastic systems. Zbl 1205.93165
Huang, Jianhui; Li, Xun; Wang, Guangchen
34
2010
Maximum principles for a class of partial information risk-sensitive optimal controls. Zbl 1368.93139
Huang, Jianhui; Li, Xun; Wang, Guangchen
17
2010
Continuous time portfolio selection under conditional capital at risk. Zbl 1200.91279
Dmitrasinovic-Vidovic, Gordana; Lari-Lavassani, Ali; Li, Xun; Ware, Antony
1
2010
A high-order Markov-switching model for risk measurement. Zbl 1189.91084
Siu, T. K.; Ching, W. K.; Fung, E.; Ng, M.; Li, X.
5
2009
On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices. Zbl 1139.91336
Li, Xun; Wu, Zhenyu
1
2008
Continuous-time mean-variance efficiency: the 80% rule. Zbl 1132.91472
Li, Xun; Zhou, Xun Yu
25
2006
A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets. Zbl 1233.91283
Li, Xun; Wu, Zhenyu
3
2006
Expression in rough set theory for logic functions and a method of minimization. Zbl 1115.68526
Zhang, Yiqing; Guan, Zhijin; Li, Xun
1
2006
Bounding option pricing of multi-assets: a semidefinite programming approach. Zbl 1105.90056
Han, Deren; Li, Xun; Sun, Defeng; Sun, Jie
4
2005
Indefinite stochastic linear quadratic control with Markovian jumps in infinite time horizon. Zbl 1031.93155
Li, Xun; Zhou, Xun Yu; Ait Rami, Mustapha
42
2003
Dynamic mean-variance portfolio selection with no-shorting constraints. Zbl 1027.91040
Li, Xun; Zhou, Xun Yu; Lim, Andrew E. B.
143
2002
Indefinite stochastic LQ controls with Markovian jumps in a finite time horizon. Zbl 1119.93418
Li, Xun; Zhou, Yu
22
2002
A Legendre pseudospectral method for solving nonlinear Klein-Gordon equation. Zbl 0876.65073
Li, Xun; Guo, B. Y.
25
1997
A Legendre spectral method for solving the nonlinear Klein-Gordon equation. Zbl 0856.65117
Guo, Ben-Yu; Li, Xun; Vázquez, Luis
30
1996
Spectral methods for solving nonlinear Klein-Gordon equation. Zbl 0918.35125
Guo, Benyu; Li, Xun
1
1996
all cited Publications top 5 cited Publications
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Cited by 1,124 Authors

50 Li, Xun
25 Wu, Zhen
22 Zhang, Weihai
21 Yong, Jiongmin
19 Sun, Jingrui
19 Zhang, Huanshui
17 Xiong, Jie
16 Huang, Jianhui
16 Li, Zhongfei
14 Cui, Xiangyu
14 Yao, Haixiang
13 Wang, Tianxiao
12 Shi, Jingtao
11 Li, Duan
11 Ni, Yuanhua
11 Xu, Juanjuan
11 Xu, Zuoquan
11 Yu, Zhiyong
11 Zhang, Qimin
10 Lin, Yaning
10 Wang, Guangchen
10 Wen, Jiaqiang
10 Zhang, Jifeng
9 Chen, Ping
9 Forsyth, Peter A.
9 Meng, Qingxin
9 Wang, Bingchang
8 Liang, Zhibin
8 Ma, Limin
8 Wang, Hanxiao
8 Wong, Hoi Ying
7 Bi, Junna
7 Choi, Tsan-Ming
7 Costa, Oswaldo Luiz V.
7 Feng, Xinwei
7 Hu, Ying
7 Ma, Heping
7 Yan, Wei
7 Zeng, Yan
7 Zhang, Tianliang
6 Djaidja, Sabir
6 Gao, Jianjun
6 Ji, Shaolin
6 Moon, Jun-Hee
6 Shi, Yun
6 Wang, Shouyang
6 Wei, Jiaqin
6 Wu, Qinghe
6 Yuan, Yu
6 Zhang, Liangquan
5 Chen, Yuefen
5 Chiu, Chun-Hung
5 Dehghan Takht Fooladi, Mehdi
5 Du, Kai
5 Du, Yingxue
5 Gashi, Bujar
5 Guo, Junyi
5 Han, Xia
5 Huang, Minyi
5 Jin, Zhuo
5 Li, Min
5 Li, Xingyi
5 Li, Yan
5 Nie, Tianyang
5 Pun, Chi Seng
5 Qi, Qingyuan
5 Saldi, Naci
5 Shen, Yang
5 Shi, Xiaomin
5 Song, Teng
5 Tang, Maoning
5 Wu, Xinyuan
5 Yiu, Ka Fai Cedric
5 Zhao, Weidong
5 Zhou, Xunyu
5 Zhu, Yuanguo
5 Zong, Xiaofeng
4 Bensoussan, Alain
4 Bian, Lihua
4 Chen, Zhiping
4 Guan, Chonghu
4 Hafayed, Mokhtar
4 Li, Na
4 Liang, Xiao
4 Liu, Bin
4 Liu, Changying
4 Liu, Xikui
4 Mu, Xiaojie
4 Shi, Yufeng
4 Strub, Moris S.
4 Sun, Yabing
4 Tembine, Hamidou
4 Wang, Hongxia
4 Wang, Wencan
4 Wei, Qingmeng
4 Zhang, Chengke
4 Zhang, Feng
4 Zhang, Shuaiqi
4 Zhang, Xin
3 Abbas, Syed
...and 1,024 more Authors
all top 5

Cited in 150 Serials

52 European Journal of Operational Research
47 Automatica
40 SIAM Journal on Control and Optimization
37 Journal of Industrial and Management Optimization
30 Systems & Control Letters
28 Applied Mathematics and Optimization
25 International Journal of Control
24 Asian Journal of Control
22 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
20 International Journal of Systems Science. Principles and Applications of Systems and Integration
19 Journal of Systems Science and Complexity
18 Journal of the Franklin Institute
18 International Journal of Robust and Nonlinear Control
17 Mathematical Control and Related Fields
15 Applied Mathematics and Computation
15 Optimal Control Applications & Methods
14 Insurance Mathematics & Economics
14 Mathematical Problems in Engineering
12 Annals of Operations Research
12 Quantitative Finance
11 Journal of Mathematical Analysis and Applications
11 Journal of Optimization Theory and Applications
11 SIAM Journal on Financial Mathematics
10 Mathematical Methods in the Applied Sciences
9 Advances in Difference Equations
8 Journal of Computational and Applied Mathematics
8 Operations Research Letters
8 Journal of Economic Dynamics & Control
8 International Journal of Theoretical and Applied Finance
8 IET Control Theory & Applications
7 Dynamic Games and Applications
7 Journal of the Operations Research Society of China
6 Mathematical Methods of Operations Research
5 Applied Numerical Mathematics
5 Optimization
5 Applied Mathematical Modelling
5 Communications in Statistics. Theory and Methods
5 International Transactions in Operational Research
5 European Journal of Control
5 Probability, Uncertainty and Quantitative Risk
4 Journal of Computational Physics
4 Journal of Differential Equations
4 Mathematics of Operations Research
4 Statistics & Probability Letters
4 The Annals of Applied Probability
4 Mathematical Finance
4 Scandinavian Actuarial Journal
3 Computers & Mathematics with Applications
3 Computer Physics Communications
3 Physica A
3 Stochastic Analysis and Applications
3 Numerical Methods for Partial Differential Equations
3 Journal of Global Optimization
3 Numerical Algorithms
3 Stochastic Processes and their Applications
3 Computational and Applied Mathematics
3 Abstract and Applied Analysis
3 Soft Computing
3 Journal of Inequalities and Applications
3 Nonlinear Analysis. Hybrid Systems
2 Chaos, Solitons and Fractals
2 Information Sciences
2 Mathematics and Computers in Simulation
2 Chinese Annals of Mathematics. Series B
2 International Journal of Computer Mathematics
2 Journal de Mathématiques Pures et Appliquées. Neuvième Série
2 Complexity
2 Finance and Stochastics
2 Discrete Dynamics in Nature and Society
2 Optimization and Engineering
2 RAIRO. Operations Research
2 Discrete and Continuous Dynamical Systems. Series B
2 Decisions in Economics and Finance
2 Journal of Applied Mathematics
2 Mathematical Biosciences and Engineering
2 Mathematics and Financial Economics
2 Optimization Letters
2 Discrete and Continuous Dynamical Systems. Series S
2 Communications in Theoretical Physics
2 Science China. Mathematics
2 Afrika Matematika
2 Numerical Algebra, Control and Optimization
2 Annalen der Physik
1 Advances in Applied Probability
1 The American Statistician
1 International Journal of Systems Science
1 International Journal of Theoretical Physics
1 Physics Letters. A
1 Physics Reports
1 Mathematics of Computation
1 Journal of Applied Probability
1 Journal of Economic Theory
1 Journal of Mathematical Economics
1 Memoirs of the American Mathematical Society
1 Naval Research Logistics
1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
1 Numerische Mathematik
1 Operations Research
1 Studies in Applied Mathematics
1 Journal of Computational Mathematics
...and 50 more Serials
all top 5

Cited in 25 Fields

452 Systems theory; control (93-XX)
413 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
261 Calculus of variations and optimal control; optimization (49-XX)
250 Probability theory and stochastic processes (60-XX)
117 Operations research, mathematical programming (90-XX)
63 Numerical analysis (65-XX)
53 Partial differential equations (35-XX)
31 Ordinary differential equations (34-XX)
25 Computer science (68-XX)
21 Statistics (62-XX)
17 Biology and other natural sciences (92-XX)
10 Quantum theory (81-XX)
9 Difference and functional equations (39-XX)
7 Integral equations (45-XX)
4 Combinatorics (05-XX)
4 Real functions (26-XX)
4 Statistical mechanics, structure of matter (82-XX)
2 Dynamical systems and ergodic theory (37-XX)
2 Approximations and expansions (41-XX)
2 Information and communication theory, circuits (94-XX)
1 Linear and multilinear algebra; matrix theory (15-XX)
1 Measure and integration (28-XX)
1 Special functions (33-XX)
1 Harmonic analysis on Euclidean spaces (42-XX)
1 Optics, electromagnetic theory (78-XX)

Citations by Year