4 papers
Optimal control of stochastic homogenous systems
Ying Hu, Xiaomin Shi, Zuo Quan Xu
This paper investigates a new class of homogeneous stochastic control problems with cone control constraints, extending the classical homogeneous stochastic linear-quadratic (LQ) f…
Optimal mean-variance portfolio selection under regime-switching-induced stock price shocks
Xiaomin Shi, Zuo Quan Xu
In this paper, we investigate mean-variance (MV) portfolio selection problems with jumps in a regime-switching financial model. The novelty of our approach lies in allowing not onl…
A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching
Guanxing Fu, Xiaomin Shi, Zuo Quan Xu
We study a stochastic control problem with regime switching arising in an optimal liquidation problem with dark pools and multiple regimes. The new feature of this model is that it…
Constrained stochastic linear quadratic control under regime switching with controlled jump size
Xiaomin Shi, Zuo Quan Xu
In this paper, we examine a stochastic linear-quadratic control problem characterized by regime switching and Poisson jumps. All the coefficients in the problem are random processe…