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math.OC2025
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…
q-fin.PM2025
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…
q-fin.MF2025
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…