118 citations · 344 across the 34 of their papers we have counts for
37 papers
Model-Free Q-Learning for Infinite-Horizon Stochastic Linear Quadratic Problems with Regime Switching
Xinyue Zhang, Na Li, Xun Li +1
This paper addresses infinite-horizon continuous-time stochastic linear quadratic optimal control problems with regime switching. We propose a paradigm shift from model-based desig…
Inverse Optimal Control for Linear Quadratic Problem with Poisson Jumps: Model-Free Inverse Reinforcement Learning Approaches
Wen Du, Na Li, Xun Li +1
This paper addresses the inverse optimal control (IOC) problem for stochastic linear systems subject to both Brownian motion and Poisson jumps, using an inverse reinforcement learn…
-robust utility maximization with intractable claims: A quantile optimization approach
Xinyu Chen, Zuo Quan Xu
This paper studies an -robust utility maximization problem where an investor faces an intractable claim -- an exogenous contingent claim with known marginal distribution but uns…
Linear-quadratic mixed Stackelberg-zero-sum game for mean-field regime switching system
Pengyan Huang, Na Li, Zuo Quan Xu +1
Motivated by a green finance problem, a linear-quadratic Stackelberg differential game for a regime switching system involving one leader and two followers is studied. The two foll…
De Finetti's problem with fixed transaction costs and regime switching
Wenyuan Wang, Zuo Quan Xu, Kazutoshi Yamazaki +2
In this paper, we examine a modified version of de Finetti's optimal dividend problem, incorporating fixed transaction costs and altering the surplus process by introducing two-val…
Competitive optimal portfolio selection in a non-Markovian financial market: A backward stochastic differential equation study
Guangchen Wang, Zuo Quan Xu, Panpan Zhang
This paper studies a competitive optimal portfolio selection problem in a model where the interest rate, the appreciation rate and volatility rate of the risky asset are all stocha…
Learning to Optimally Stop Diffusion Processes, with Financial Applications
Min Dai, Yu Sun, Zuo Quan Xu +1
We study optimal stopping for diffusion processes with unknown model primitives within the continuous-time reinforcement learning (RL) framework developed by Wang et al. (2020), an…
Optimal dividend payout with path-dependent drawdown constraint
Chonghu Guan, Jiacheng Fan, Zuo Quan Xu
This paper studies an optimal dividend problem with a drawdown constraint in a Brownian motion model, requiring the dividend payout rate to remain above a fixed proportion of its h…
Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint
Hui Mi, Zuo Quan Xu, Dongfang Yang
This paper investigates an optimal investment problem under the tail Value at Risk (tail VaR, also known as expected shortfall, conditional VaR, average VaR) and portfolio insuranc…
Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
Panpan Zhang, Zuo Quan Xu
This paper is concerned with zero-sum stochastic linear-quadratic differential games in a regime switching model. The coefficients of the games depend on the underlying noises, so…
Optimal ratcheting of dividend payout under Brownian motion surplus
Chonghu Guan, Zuo Quan Xu
This paper is concerned with a long standing optimal dividend payout problem subject to the so-called ratcheting constraint, that is, the dividend payout rate shall be non-decreasi…
Policy Iteration Reinforcement Learning Method for Continuous-Time Linear-Quadratic Mean-Field Control Problems
Na Li, Xun Li, Zuo Quan Xu
This paper employs a policy iteration reinforcement learning (RL) method to study continuous-time linear-quadratic mean-field control problems in infinite horizon. The drift and di…
Optimal moral-hazard-free reinsurance under extended distortion premium principles
Zhuo Jin, Zuo Quan Xu, Bin Zou
We study an optimal reinsurance problem under a diffusion risk model for an insurer who aims to minimize the probability of lifetime ruin. To rule out moral hazard issues, we only…
Robust utility maximization with intractable claims
Yunhong Li, Zuo Quan Xu, Xun Yu Zhou
We study a continuous-time expected utility maximization problem in which the investor at maturity receives the value of a contingent claim in addition to the investment payoff fro…
Relative growth rate optimization under behavioral criterion
Jing Peng, Pengyu Wei, Zuo Quan Xu
This paper studies a continuous-time optimal portfolio selection problem in the complete market for a behavioral investor whose preference is of the prospect type with probability…
Optimal consumption-investment with coupled constraints on consumption and investment strategies in a regime switching market with random coefficients
Ying Hu, Xiaomin Shi, Zuo Quan Xu
This paper studies finite-time optimal consumption-investment problems with power, logarithmic and exponential utilities, in a regime switching market with random coefficients, sub…
-Expectation of Distributions
Mingyu Xu, Zuo Quan Xu, Xun Yu Zhou
We define -expectation of a distribution as the infimum of the -expectations of all the terminal random variables sharing that distribution. We present two special cases for…
Stochastic linear-quadratic control with a jump and regime switching on a random horizon
Ying Hu, Xiaomin Shi, Zuo Quan Xu
In this paper, we study a stochastic linear-quadratic control problem with random coefficients and regime switching on a horizon , where is a given random jump ti…
Dynamic growth-optimum portfolio choice under risk control
Pengyu Wei, Zuo Quan Xu
This paper studies a mean-risk portfolio choice problem for log-returns in a continuous-time, complete market. This is a growth-optimal problem with risk control. The risk of log-r…
A consumption-investment model with state-dependent lower bound constraint on consumption
Chonghu Guan, Zuo Quan Xu, Fahuai Yi
This paper studies a life-time consumption-investment problem under the Black-Scholes framework, where the consumption rate is subject to a lower bound constraint that linearly dep…
Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory
Zuo Quan Xu
This paper investigates a Pareto optimal insurance problem, where the insured maximizes her rank-dependent utility preference and the insurer is risk neutral and employs the mean-v…
Distributionally robust goal-reaching optimization in the presence of background risk
Yichun Chi, Zuo Quan Xu, Sheng Chao Zhuang
In this paper, we examine the effect of background risk on portfolio selection and optimal reinsurance design under the criterion of maximizing the probability of reaching a goal.…
Stochastic Linear Quadratic Optimal Control Problem: A Reinforcement Learning Method
Na Li, Xun Li, Jing Peng +1
This paper applies a reinforcement learning (RL) method to solve infinite horizon continuous-time stochastic linear quadratic problems, where drift and diffusion terms in the dynam…
State-Dependent Temperature Control for Langevin Diffusions
Xuefeng Gao, Zuo Quan Xu, Xun Yu Zhou
We study the temperature control problem for Langevin diffusions in the context of non-convex optimization. The classical optimal control of such a problem is of the bang-bang type…