Journal Articles

  1. H. Jin and X. Zhou, ``Behavioral portfolio selection in continuous time", to appear in Mathematical Finance. 

  2. H. Jin, Z. Xu and X. Zhou, " A convex stochastic optimization problem arising from portfolio selection", to appear in Mathematical Finance.



  3. J. Xiong and X. Zhou, " Mean-variance portfolio selection under partial information",  SIAM Journal on Control and Optimization, Vol

    4. .46 (2007), pp. 156-175.

  4. J. Xia and X. Zhou, " Stock loans",  Mathematical Finance, Vol

    5. . 17 (2007), pp. 307-317.

  5. X. Li and X. Zhou, " Continuous-time mean--variance efficiency: The 80% rule", Annals of Applied Probability, Vol. 16 (2006), pp. 1751-1763. 



  6. S. Ji and X. Zhou, " A maximum principle for stochastic optimal control with terminal state constraints, and its applications",  Communications in Information and Systems, Vol

    7. .6 (2006), pp. 321-337. (A Special Issue Dedicated to Tyrone Duncan on the Occasion of His 65th Birthday) 

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



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



  9. 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, Vol. 44 (2005), pp. 444-466. 



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



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



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



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



  14. F. Gozzi, A. Swiech and X. Zhou, " A corrected proof of the stochastic verification theorem within the framework of viscosity solutions", SIAM Journal on Control and Optimization, Vol. 43 (2005), pp.2009-2019. 



  15. Y. Liu, G. Yin and X. Zhou, " Near-optimal controls of random-switching LQ problems with indefinite control weight costs", Automatica, Vol. 41 (2005), pp. 1063-1070. 



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



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



  18. D. Yao, S. Zhang and X. Zhou, " Stochastic LQ control via primal--dual semidefinite programming", SIAM Review, Vol. 46 (2004), pp. 87-111. (Invited SIGEST paper) 



  19. X. Guo, J. Liu and X. Zhou, " A constrained nonlinear regular-singular stochastic control problem, with applications", Stochastic Processes and Their Applications, Vol. 109 (2004), pp. 167-187. 



  20. 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, Vol. 49 (2004), pp. 349-360. 



  21. X. Cai, K.L. Teo, X.Q. Yang and X. Zhou, " Minimax portfolio optimization: Empirical numerical study", Journal of the Operational Research Society, Vol. 55 (2004), pp. 65-72. 



  22. X. Zhou and G. Yin, " Markowitz's mean-variance portfolio selection with regime switching: A Continuous-Time Model", SIAM Journal on Control and Optimization, Vol. 42 (2003), pp. 1466-1482. 



  23. X. Li, X. Zhou and M. Ait Rami, " Indefinite stochastic linear quadratic control with Markovian jumps in infinte time horizon", Journal of Global Optimization, Vol. 27 (2003), pp. 149-175. 



  24. Y. Hu and X. Zhou, " Indefinite stochastic Riccati equations", SIAM Journal on Control and Optimization, Vol. 42 (2003), pp. 123-137. 



  25. T. Choulli, M. Taksar and X. Zhou, " A diffusion model for optimal dividend distribution for a company with constraints on risk control", SIAM Journal on Control and Optimization, Vol. 41 (2003), pp. 1946-1979. 



  26. A.E.B. Lim, X. Zhou, and J.B. Moore, " Multiple-objective risk-sensitive control", Automatica, Vol. 39 (2003), pp. 533-541. 



  27. M. Ait Rami, X. Chen and X. Zhou, " Discrete-time indefinite LQ control with state and control dependent noises", Journal of Global Optimization, Vol. 23 (2002), pp. 245-265. 



  28. H. Wu and X. Zhou, " Characterizing all optimal controls for an indefinite stochastic linear quadratic control problem", IEEE Transactions on Automatic Control, AC-47 (2002), pp. 1119-1122. 



  29. A.E.B. Lim and X. Zhou, "Mean--variance portfolio selection with random parameters", Mathematics of Operations Research, Vol. 27 (2002), pp. 101-120. 



  30. M. Ait Rami, J.B. Moore and X. Zhou, " Indefinite stochastic linear quadratic control and generalized differential Riccati equation", SIAM Journal on Control and Optimization, Vol. 40 (2001), pp. 1296-1311. 



  31. X. Li, X. Zhou and A.E.B. Lim, " Dynamic mean--variance portfolio selection with no-shorting constraints", SIAM Journal on Control and Optimization, Vol. 40 (2001), pp. 1540-1555. 

  32. D. Yao, S. Zhang and X. Zhou, " A primal--dual semidefinite programming approach to LQ control problems", IEEE Transactions on Automatic Control, Vol. AC-46 (2001), pp. 1442-1447.  

  33. D. Yao, S. Zhang and X. Zhou, " Stochastic LQ control via semidefinite programming", SIAM Journal on Control and Optimization, Vol. 40 (2001), pp. 801-823. (2003 SIAM Outstanding Paper Award Winner) 



  34. H. Wu and X. Zhou, " Stochastic frequency characteristics", SIAM Journal on Control and Optimization, Vol. 40 (2001), pp. 557-576.

  35. A.E.B. Lim and X. Zhou, " Linear--quadratic control of backward stochastic differential equations", SIAM Journal on Control and Optimization, Vol. 40 (2001), pp. 450-474. 

  36. A.E.B. Lim and X. Zhou, " Risk-sensitive control with HARA utility", IEEE Transactions on Automatic Control, Vol. AC-46 (2001), pp. 563-578. 



  37. M. Ait Rami, X. Chen, J.B. Moore, and X. Zhou, " Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls", IEEE Transactions on Automatic Control, Vol. AC-46 (2001), pp. 428-440. 



  38. T. Choulli, M. Taksar and X. Zhou, " Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction", Quantitative Finance, Vol. 1 (2001), pp. 573-596. 

    39.  

  39. N. Dokuchaev and X. Zhou, " Optimal investment strategies with bounded risks, general utilities, and goal achieving", Journal of Mathematical Economics, Vol. 35 (2001), pp. 289-309.

    40.  

  40. S. Chen and X. Zhou, " Stochastic linear quadratic regulators with indefinite control weight costs. II", SIAM Journal on Control and Optimization, Vol. 39 (2000), pp. 1065-1081. 

  41. S. Sethi, G. Sorger and X. Zhou, " Stability of real-time lot-scheduling policies with quality levels", IEEE Transactions on Automatic Control, Vol. AC-45 (2000), pp. 2193-2196. 



  42. N.T. Fong and X. Zhou, " Optimal feedback controls in deterministic two-machine flowshops with finite buffers", IEEE Transactions on Automatic Control, Vol. AC-45 (2000), pp. 1198-1202.  



  43. M. Ait Rami, X. Zhou, and J.B. Moore, " Well-posedness and attainability of indefinite stochastic linear quadratic control in infinite time horizon", Systems and Control Letters, Vol. 41 (2000), pp.123-133. 



  44. M. Ait Rami and X. Zhou, " Linear matrix inequalities, Riccati equations, and indefinite stochastic linear  quadratic controls", IEEE Transactions on Automatic Control, Vol. AC-45 (2000), pp. 1131-1143. 



  45. X. Cai, K.L. Teo, X.Q. Yang and X. Zhou, " An optimal strategy for risk averse investors in portfolio optimization", Management Science, Vol. 46 (2000), pp. 957-972. 



  46. M. Kohlmann and X. Zhou, " Relationship between backward stochastic differential equations and stochastic controls: A linear-quadratic approach", SIAM Journal on Control and Optimization, Vol. 38 (2000), pp. 1392-1407. 



  47. X. Zhou and D. Li, " Continuous-time mean-variance portfolio selection: A stochastic LQ framework", Applied Mathematics and Optimization, Vol. 42 (2000), pp. 19-33. 



  48. N. Dokuchaev and X. Zhou, " Stochastic controls with terminal contingent conditions", Journal of Mathematical Analysis and Applications, Vol. 238 (1999), pp. 143-165. 



  49. H. Yan, X. Zhou and G. Yin, " Approximating an optimal production policy in a continuous flow line: Recurrence and asymptotic properties", Operations Research , Vol. 47 (1999), pp.535-549.  



  50. A.E.B. Lim and X. Zhou, " Stochastic optimal  LQR control with integral quadratic constraints and indefinite control weights", IEEE Transactions on Automatic Control, Vol. AC-44 (1999), pp. 1359-1369. 

    51.  

  51. J.B. Moore, X. Zhou and A.E.B. Lim, " Discrete time LQG controls with control dependent noise", Systems and Control Letters, Vol. 36 (1999), pp. 199-206. 



  52. G.A. Fleischer, A.K. Mason and X. Zhou, " The mid-period and other approximations in the presence of uniform intraperiod cash flows: A critical evaluation", The Engineering Economist, Vol. 43 (1998), pp.369-377. 



  53. X. Chen and X. Zhou, " Deterministic near-optimal controls with state constraints", Dynamics of Continuous, Discrete and Impulsive Systems, Vol. 4 (1998), pp. 513-526.



  54. M. Taksar and X. Zhou, " Optimal risk and dividend control for a company with a debt liability", Insurance: Mathematics and Economics,Vol. 22 (1998), pp.105-122. 



  55. S. Chen, X. Li and X. Zhou, " Stochastic linear quadratic regulators with indefinite control weight costs", SIAM Journal on Control and Optimization,Vol. 36 (1998), pp. 1685-1702. 



  56. X. Zhou, " Stochastic near-optimal controls: Necessary and sufficient conditions for near-optimality ", SIAM Journal on Control and Optimization ,Vol. 36 (1998), pp. 929-947. 



  57. X. Zhou, " Characterization of optimal controls for diffusion processes ", Systems and Control Letters, Vol. 31 (1997), pp. 3-9. 



  58. C. Samaratunga, S. Sethi and X. Zhou, " Computational evaluation of hierarchical production control policies for stochastic manufacturing systems", Operations Research, Vol. 45 (1997), pp. 258-274.  



  59. W.K. Ching, R. Chan and X. Zhou, " Circulant preconditioners for Markov-modulated Poisson processes and their applications to manufacturing systems ", SIAM Journal of Matrix Analysis and Applications, Vol. 18 (1997), pp. 464-481. 



  60. X. Zhou, J. Yong and X. Li, " Stochastic verification theorems within the framework of viscosity solutions ", SIAM Journal on Control and Optimization, Vol. 35 (1997), pp. 243-253.  



  61. S. Sethi, Q. Zhang and X. Zhou," Hierarchical production planning in a stochastic two-machine flowshop with a finite internal buffer ", IEEE Transactions on Robotics and Automation, Vol. 13 (1997), pp.1-13. 



  62. S. Sethi and X. Zhou, " Optimal feedback controls in deterministic dynamic two-machine flowshops", Operations Research Letters, Vol. 19 (1996), pp. 225-235. 



  63. X. Zhou, " Sufficient conditions of optimality for stochastic systems with controllable diffusions", IEEE Transactions on Automatic Control, Vol. 41 (1996), pp. 1176-1179. 



  64. N.T. Fong and X. Zhou, " Hierarchical production policies in stochastic two-machine flowshops with finite buffers", Journal of Optimization Theory and Applications, Vol. 89 (1996), pp. 681-712.    



  65. X. Zhou, " Deterministic near-optimal controls Part II: Dynamic programming and viscosity solution approach ", Mathematics of Operations Research, Vol. 21 (1996), pp. 655-674.

    66.  

  66. X. Zhou, " Deterministic near-optimal controls Part I: Necessary and sufficient conditions for near-optimality ", Journal of Optimization Theory and Applications, Vol. 85 (1995), pp. 473-488.  



  67. S. Sethi and X. Zhou, " Dynamic stochastic job shops and hierarchical production planning", IEEE Transactions on Automatic Control, Vol. AC-39 (1994), pp. 2061-2076. 



  68. S. Sethi, Q. Zhang and X. Zhou, " Hierarchical controls in stochastic manufacturing systems with convex costs", Journal of Optimization Theory and Applications, Vol. 80 (1994), pp. 299-318. 



  69. X. Zhou and S. Sethi, " A sufficient condition for near optimal stochastic controls and its applications to manufacturing systems", Applied Mathematics and Optimization, Vol. 29 (1994), pp.67-92. 



  70. S. Sethi, H. Yan, Q. Zhang and X. Zhou, " Feedback production planning in a stochastic two-machine flowshop: asymptotic analysis and computational results", International Journal of Production Economics, Vol. 30-31 (1993), pp. 79-93. 



  71. X. Zhou, " On the necessary conditions of optimal controls for stochastic partial differential equations", SIAM Journal on Control and Optimization, Vol. 31 (1993), pp. 1462-1478. 

    72.  

  72. X. Zhou, " A class of semilinear stochastic partial differential equations and its controls: existence results", Stochastic Processes and Their Applications, Vol. 44 (1993), pp. 89-106. 



  73. X. Zhou, " Verification theorems within the framework of viscosity solutions", Journal of Mathematical Analysis and Applications, Vol. 177 (1993), pp. 208-225. 



  74. S. Sethi, Q. Zhang and X. Zhou, " Hierarchical controls in stochastic manufacturing systems with machines in tandem", Stochastics and Stochastics Reports, Vol. 41 (1992), pp. 89-118. 



  75. X. Zhou, " On the existence of optimal relaxed controls of stochastic partial differential equations", SIAM Journal on Control and Optimization, Vol. 30 (1992), pp. 247-26. 



  76. X. Zhou, " A duality analysis on stochastic partial differential equations", Journal of Functional Analysis, Vol. 103 (1992), pp. 275-293. 



  77. X. Zhou, " A unified treatment of maximum principle and dynamic programming in optimal stochastic controls", Stochastics and Stochastics Reports,Vol. 36 (1991), pp. 137-16. 



  78. X. Zhou, " Maximum principle of stochastic controlled systems of functional type", Acta Mathematica Sinica, Vol. 7 (1991), pp. 193-204. 



  79. X. Zhou, " Remarks on optimal controls of stochastic partial differential equations", Systems and Control Letters, Vol. 16 (1991), pp. 465-472. 



  80. X. Zhou, " Maximum principle, dynamic programming, and their connection in deterministic controls", Journal of Optimization Theory and Application , Vol. 65 (1990), pp. 363-373.

    81.  

  81. X. Zhou, " The connection between the maximum principle and dynamic programming in stochastic controls", Stochastics and Stochastics Reports , Vol. 31 (1990), pp. 1-13. 



  82. X. Zhou and J. Xu, " On the existence of the weak solutions of stochastic differential equations of functional type", Chinese Annals of Mathematics , Vol. 10, Ser. A (1989), pp. 309-317. 

    83.  

     
     

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