1 citations · 4 across the 10 of their papers we have counts for
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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…
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…
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…
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…