Stochastic controls: Hamiltonian systems and HJB equations J Yong, XY Zhou Springer Science & Business Media, 2012 | 3837 | 2012 |
Continuous-time mean-variance portfolio selection: A stochastic LQ framework XY Zhou, D Li Applied Mathematics and Optimization 42, 19-33, 2000 | 1273 | 2000 |
Markowitz's mean-variance portfolio selection with regime switching: A continuous-time model XY Zhou, G Yin SIAM Journal on Control and Optimization 42 (4), 1466-1482, 2003 | 610 | 2003 |
Mean–variance portfolio optimization with state‐dependent risk aversion T Björk, A Murgoci, XY Zhou Mathematical Finance: An International Journal of Mathematics, Statistics …, 2014 | 526 | 2014 |
Stochastic linear quadratic regulators with indefinite control weight costs S Chen, X Li, XY Zhou SIAM Journal on Control and Optimization 36 (5), 1685-1702, 1998 | 503 | 1998 |
Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls MA Rami, XY Zhou IEEE Transactions on Automatic Control 45 (6), 1131-1143, 2000 | 496 | 2000 |
Continuous‐time mean‐variance portfolio selection with bankruptcy prohibition TR Bielecki, H Jin, SR Pliska, XY Zhou Mathematical Finance: An International Journal of Mathematics, Statistics …, 2005 | 399 | 2005 |
Dynamic mean-variance portfolio selection with no-shorting constraints X Li, XY Zhou, AEB Lim SIAM Journal on Control and Optimization 40 (5), 1540-1555, 2002 | 374 | 2002 |
Portfolio choice under cumulative prospect theory: An analytical treatment XD He, XY Zhou Management Science 57 (2), 315-331, 2011 | 350 | 2011 |
Mean-variance portfolio selection with random parameters in a complete market AEB Lim, XY Zhou Mathematics of Operations Research 27 (1), 101-120, 2002 | 347 | 2002 |
Behavioral portfolio selection in continuous time H Jin, X Yu Zhou Mathematical Finance: An International Journal of Mathematics, Statistics …, 2008 | 345 | 2008 |
Markowitz's mean-variance portfolio selection with regime switching: From discrete-time models to their continuous-time limits G Yin, XY Zhou IEEE Transactions on automatic control 49 (3), 349-360, 2004 | 301 | 2004 |
Time-inconsistent stochastic linear--quadratic control Y Hu, H Jin, XY Zhou SIAM journal on Control and Optimization 50 (3), 1548-1572, 2012 | 275 | 2012 |
Portfolio optimization under a minimax rule X Cai, KL Teo, X Yang, XY Zhou Management Science 46 (7), 957-972, 2000 | 229 | 2000 |
Discrete-time indefinite LQ control with state and control dependent noises MA Rami, X Chen, XY Zhou Journal of Global Optimization 23, 245-265, 2002 | 218 | 2002 |
Relationship between backward stochastic differential equations and stochastic controls: a linear-quadratic approach M Kohlmann, XY Zhou SIAM Journal on Control and Optimization 38 (5), 1392-1407, 2000 | 211 | 2000 |
Indefinite stochastic linear quadratic control and generalized differential Riccati equation MA Rami, JB Moore, XY Zhou SIAM Journal on Control and Optimization 40 (4), 1296-1311, 2002 | 208 | 2002 |
Reinforcement learning in continuous time and space: A stochastic control approach H Wang, T Zariphopoulou, XY Zhou Journal of Machine Learning Research 21 (198), 1-34, 2020 | 192* | 2020 |
A regime-switching model for European options DD Yao, Q Zhang, XY Zhou Stochastic Processes, Optimization, and Control Theory: Applications in …, 2006 | 181 | 2006 |
Portfolio choice via quantiles XD He, XY Zhou Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011 | 177 | 2011 |