Zhou, Xunyu (周迅宇)

	Professor of Systems Engineering & Engineering Management, FIEEE BSc, PhD (Fudan University)
	Office:	Room 511C, William M.W. Mong Engineering Building
	Phone:	(852) 2609-8320
	E-mail:	xyzhou@se.cuhk.edu.hk
	Homepage:	http://www.se.cuhk.edu.hk/~xyzhou

Xunyu Zhou got his BSc in pure mathematics in 1984 and his PhD in operations research and control theory in 1989, both from Fudan University. He did his postdoctoral research at Kobe University (Science Faculty) and the University of Toronto (Business School) from 1989 to 1993, and joined the Chinese University of Hong Kong (Engineering School) in 1993 where he is now a Professor of Systems Engineering and Engineering Management. His research interests are in stochastic control, financial engineering and discrete-event manufacturing systems.

He has been the PI of 9 RGC Earmarked Grants, Co-PI of 3 RGC Earmarked Grants, 1 NSFC/RGC Grant, and 1 Industrial Grant. He has published more than 70 journal papers, 1 research monograph, and 2 edited books. He is a Fellow of IEEE and a Croucher Senior Fellow. Selected honors include SIAM Outstanding Paper Prize, INFORMS Meritorious Service Award, and Alexander von Humboldt Research Fellowship. He is or was on the editorial board of Operations Research (1999-), Mathematical Finance (2001-), and IEEE Transactions on Automatic Control (1999-2003).

He is now on leave at  University of Oxford  holding Professorship of Mathematical Finance.

Research Interests

  Mathematical Finance/Insurance
  Stochastic Analysis
  Stochastic Manufacturing Systems
  Stochastic Optimal Control

Recent Publications (Partial)

J. Yong and X.Y. Zhou, Stochastic Controls: Hamiltonian Systems and HJB Equations, 438 pages, Springer, New York, 1999.

H. Jin, H. Markowitz and X. Zhou, "A note on semivariance", Mathematical Finance, 16, 53-62, 2006.

D. Yao, S. Zhang and X. Zhou, "Tracking a financial benchmark using a few assets", Operations Research, 54, 232-246, 2006.

A.E.B. Lim and X. Zhou, "A new risk-sensitive maximum principle", IEEE Transactions on Automatic Control, 50, 958-966, 2005.

Y. Hu and X. Zhou, "Constrained stochastic LQ control with random coefficients, and application to mean--variance portfolio selection", SIAM Journal on Control and Optimization, 44, 444-466, 2005.

H. Jin, J.-A. Yan and X. Zhou, "Continuous-time mean--risk portfolio selection", Annales de l'Institut Henri Poincare (B) Probabilites et statistiques, 41, 559-580, 2005.

Y. Hu and X. Zhou, "Stochastic control for linear systems driven by fractional noises", SIAM Journal on Control and Optimization, 43, 2245-2277, 2005.

T. Bielecki, H. Jin, S. Pliska and X. Zhou, "Continuous-time mean--variance portfolio selection with bankruptcy prohibition", Mathematical Finance, 15, 213-244, 2005.

X. Chen and X. Zhou, "Stochastic LQ control with conic control constraints on an infinite time horizon", SIAM Journal on Control and Optimization, 43, 1120-1150, 2004.

T. Choulli, M. Taksar and X. Zhou, "Interplay between dividend rate and business constraints for a financial corporation", Annals of Applied Probability, 14, 1810-1837, 2004.

D. Yao, S. Zhang and X. Zhou, "Stochastic LQ control via primal--dual semidefinite programming", SIAM Review, 46, 87-111, 2004.

G. Yin and X. Zhou, "Markowitz's mean-variance portfolio selection with regime switching: From discrete-time models to their continuous-time limits", IEEE Transactions on Automatic Control, 49, 349-360, 2004.

X. Zhou and G. Yin, "Markowitz's mean-variance portfolio selection with regime switching: A continuous-time model", SIAM Journal on Control and Optimization, 42, 1466-1482, 2003.