5 citations · 10 across the 16 of their papers we have counts for
17 papers
CATune: Structural Constraint-Aware Bayesian Optimization for DBMS Configuration Tuning
Fangping Lan, Qi Zhang, Eduard Dragut
Modern DBMSs expose hundreds of configuration knobs, resulting in a high-dimensional and heterogeneous search space that makes automated tuning costly. Existing ML-based tuning sys…
Multi-Asset Liquidation in Dark Pools with Adverse Selection
Guanxing Fu, Johannes Ruf, Xiaomin Shi +1
We study the optimal liquidation of a multi-asset portfolio using both a traditional exchange and dark pools in the presence of quadratic adverse-selection costs. The problem leads…
Stochastic LQ Optimal Control with Random Coefficients and a Terminal Mean-Field Cost
Guojiang Shao, Zuo Quan Xu, Qi Zhang
This paper investigates a multidimensional non-homogeneous stochastic linear-quadratic optimal control problem featuring random coefficients and a terminal mean-field term in the c…
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…
Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
Xiaomin Shi, Zuo Quan Xu
In this paper, we study an optimal mean-variance investment-reinsurance problem for an insurer (she) under a Cramér-Lundberg model with random coefficients. At any time, the insure…
Mean-variance portfolio selection in jump-diffusion model under no-shorting constraint: A viscosity solution approach
Xiaomin Shi, Zuo Quan Xu
This paper concerns a continuous time mean-variance (MV) portfolio selection problem in a jump-diffusion financial model with no-shorting trading constraint. The problem is reduced…
Constrained monotone mean--variance investment-reinsurance under the Cramér--Lundberg model with random coefficients
Xiaomin Shi, Zuo Quan Xu
This paper studies an optimal investment-reinsurance problem for an insurer (she) under the Cramér--Lundberg model with monotone mean--variance (MMV) criterion. At any time, the in…
Comparison theorems for multi-dimensional BSDEs with jumps and applications to constrained stochastic linear-quadratic control
Ying Hu, Xiaomin Shi, Zuo Quan Xu
In this paper, we, for the first time, establish two comparison theorems for multi-dimensional backward stochastic differential equations with jumps. Our approach is novel and comp…
Constrained monotone mean-variance problem with random coefficients
Ying Hu, Xiaomin Shi, Zuo Quan Xu
This paper studies the monotone mean-variance (MMV) problem and the classical mean-variance (MV) problem with convex cone trading constraints in a market with random coefficients.…
Non-homogeneous stochastic LQ control with regime switching and random coefficients
Ying Hu, Xiaomin Shi, Zuo Quan Xu
This paper is concerned with a general non-homogeneous stochastic linear quadratic (LQ) control problem with regime switching and random coefficients. We obtain the explicit optima…
Continuous-time Markowitz's mean-variance model under different borrowing and saving rates
Chonghu Guan, Xiaomin Shi, Zuo Quan Xu
We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black-Scholes market with different borrowing and saving rates. The associated Hamilton-Jacobi-B…
Optimal control of SDEs with expected path constraints and related constrained FBSDEs
Ying Hu, Shanjian Tang, Zuo Quan Xu
In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general opti…
Constrained stochastic LQ control on infinite time horizon with regime switching
Ying Hu, Xiaomin Shi, Zuo Quan Xu
This paper is concerned with a stochastic linear-quadratic (LQ) optimal control problem on infinite time horizon, with regime switching, random coefficients, and cone control const…
Constrained stochastic LQ control with regime switching and application to portfolio selection
Ying Hu, Xiaomin Shi, Zuo Quan Xu
This paper is concerned with a stochastic linear-quadratic optimal control problem with regime switching, random coefficients, and cone control constraint. The randomness of the co…