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Xun Li 0002
Person information
- affiliation: Hong Kong Polytechnic University, Department of Applied Mathematics
Other persons with the same name
- Xun Li — disambiguation page
- Xun Li 0001 — University of California, Santa Barbara, CA, USA
- Xun Li 0003
— Arizona State University, Tempe, AZ, USA (and 1 more)
- Xun Li 0004
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2020 – today
- 2024
- [j51]Zhaorong Zhang, Juanjuan Xu, Minyue Fu
Decentralized control for optimal LQ problems in stochastic systems with unknown uncertainties. J. Frankl. Inst. 361(18): 107274 (2024) - [c1]Zhaorong Zhang, Juanjuan Xu, Minyue Fu, Xun Li:
Decentralized Optimal Control for Linear Stochastic Systems with Control Signals subject to Unknown Noises. ICCA 2024: 186-191 - 2023
- [j50]Hongdan Li, Xun Li, Minyue Fu, Huanshui Zhang:
Deterministic optimal control for discrete-time systems with multiplicative noises and random coefficients. Autom. 150: 110852 (2023) - [j49]Zhaorong Zhang, Juanjuan Xu, Xun Li:
A distributed stochastic approximation algorithm for stochastic LQ control with unknown uncertainty. Autom. 151: 110917 (2023) - [j48]Wenjing Wang, Liang Xu, Juanjuan Xu, Xun Li, Huanshui Zhang:
Linear quadratic optimal control for time-delay stochastic system with partial information. Int. J. Syst. Sci. 54(10): 2227-2238 (2023) - [j47]Liangquan Zhang
Mean-variance portfolio selection under no-shorting rules: A BSDE approach. Syst. Control. Lett. 177: 105545 (2023) - [i4]Xiangyu Cui, Xun Li, Yun Shi, Si Zhao:
Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning. CoRR abs/2312.15385 (2023) - 2022
- [j46]Na Li
Stochastic Linear Quadratic Optimal Control Problem: A Reinforcement Learning Method. IEEE Trans. Autom. Control. 67(9): 5009-5016 (2022) - [i3]Zhaorong Zhang, Juanjuan Xu, Xun Li:
Distributed Q-Learning for Stochastic LQ Control with Unknown Uncertainty. CoRR abs/2201.05342 (2022) - 2021
- [j45]Hongdan Li, Xun Li, Huanshui Zhang:
Optimal control for discrete-time NCSs with input delay and Markovian packet losses: Hold-input case. Autom. 132: 109806 (2021) - [j44]Xun Li
A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application. Int. J. Control 94(1): 175-189 (2021) - 2020
- [j43]Weiping Wu
On continuous-time constrained stochastic linear-quadratic control. Autom. 114: 108809 (2020) - [j42]Na Li, Xun Li
Indefinite mean-field type linear-quadratic stochastic optimal control problems. Autom. 122: 109267 (2020) - [j41]Xun Li
Multi-period asset-liability management with cash flows and probability constraints: A mean-field formulation approach. J. Oper. Res. Soc. 71(10): 1563-1580 (2020) - [j40]Xiangyu Cui
Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem. Oper. Res. Lett. 48(6): 693-696 (2020) - [j39]Shuaiqi Zhang, Xun Li
A stochastic maximum principle for partially observed stochastic control systems with delay. Syst. Control. Lett. 146: 104812 (2020) - [j38]Chonghu Guan
An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon. SIAM J. Financial Math. 11(2): 411-436 (2020) - [j37]Yuan-Hua Ni
Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection. IEEE Trans. Autom. Control. 65(4): 1716-1723 (2020) - [i2]Xiao Ma, Qingyuan Qi, Xun Li, Huanshui Zhang:
Optimal control and stablilization for linear continuous-time mean-field systems with delay. CoRR abs/2010.08069 (2020)
2010 – 2019
- 2019
- [j36]Liangquan Zhang, Xun Li
Mean field game for linear-quadratic stochastic recursive systems. Syst. Control. Lett. 134 (2019) - [j35]Yuan-Hua Ni, Xun Li
Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic Problem. SIAM J. Control. Optim. 57(1): 533-569 (2019) - 2018
- [j34]Xiangyu Cui, Xun Li
A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with an uncertain exit time. J. Oper. Res. Soc. 69(4): 487-499 (2018) - [i1]Weiping Wu, Jianjun Gao, Junguo Lu, Xun Li:
Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications. CoRR abs/1806.03624 (2018) - 2017
- [j33]Chun-Hung Chiu
Real options approach for fashionable and perishable products using stock loan with regime switching. Ann. Oper. Res. 257(1-2): 357-377 (2017) - [j32]Xiangyu Cui, Xun Li
Time consistent behavioral portfolio policy for dynamic mean-variance formulation. J. Oper. Res. Soc. 68(12): 1647-1660 (2017) - [j31]Yun Shi, Xun Li
Better than pre-committed optimal mean-variance policy in a jump diffusion market. Math. Methods Oper. Res. 85(3): 327-347 (2017) - [j30]Jianhui Huang
Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems. Syst. Control. Lett. 110: 15-20 (2017) - 2016
- [j29]Xun Li
Continuous-time Markowitz's model with constraints on wealth and portfolio. Oper. Res. Lett. 44(6): 729-736 (2016) - [j28]Yuan-Hua Ni, Xun Li
Mean-field stochastic linear-quadratic optimal control with Markov jump parameters. Syst. Control. Lett. 93: 69-76 (2016) - [j27]Jingrui Sun
Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems. SIAM J. Control. Optim. 54(5): 2274-2308 (2016) - [j26]Jianhui Huang
Mean-Field Linear-Quadratic-Gaussian (LQG) Games for Stochastic Integral Systems. IEEE Trans. Autom. Control. 61(9): 2670-2675 (2016) - [j25]Yuan-Hua Ni, Xun Li
Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control: From Finite Horizon to Infinite Horizon. IEEE Trans. Autom. Control. 61(11): 3269-3284 (2016) - [j24]Chun-Hung Chiu
Coordinating Supply Chains With a General Price-Dependent Demand Function: Impacts of Channel Leadership and Information Asymmetry. IEEE Trans. Engineering Management 63(4): 390-403 (2016) - 2015
- [j23]Yuan-Hua Ni, Robert J. Elliott
Discrete-time mean-field Stochastic linear-quadratic optimal control problems, II: Infinite horizon case. Autom. 57: 65-77 (2015) - [j22]Chun-Hung Chiu
Innovative menu of contracts for coordinating a supply chain with multiple mean-variance retailers. Eur. J. Oper. Res. 246(3): 815-826 (2015) - [j21]Liangquan Zhang, Jianhui Huang
Necessary condition for near optimal control of linear forward-backward stochastic differential equations. Int. J. Control 88(8): 1594-1608 (2015) - [j20]Yuan-Hua Ni, Ji-Feng Zhang, Xun Li
Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control. IEEE Trans. Autom. Control. 60(7): 1786-1800 (2015) - [j19]Tsan-Ming Choi
Search-Based Advertising Auctions With Choice-Based Budget Constraint. IEEE Trans. Syst. Man Cybern. Syst. 45(8): 1178-1186 (2015) - 2014
- [j18]Xiangyu Cui, Jianjun Gao, Xun Li
Optimal multi-period mean-variance policy under no-shorting constraint. Eur. J. Oper. Res. 234(2): 459-468 (2014) - [j17]Lan Yi, Xianping Wu, Xun Li
A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time. Oper. Res. Lett. 42(8): 489-494 (2014) - [j16]Xiangyu Cui, Xun Li
Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection. IEEE Trans. Autom. Control. 59(7): 1833-1844 (2014) - 2013
- [j15]Robert J. Elliott
Discrete time mean-field stochastic linear-quadratic optimal control problems. Autom. 49(11): 3222-3233 (2013) - [j14]Xing Jin, Xun Li
A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction. Eur. J. Oper. Res. 231(2): 362-370 (2013) - [j13]Yuan-Hua Ni, Xun Li
Consensus seeking in multi-agent systems with multiplicative measurement noises. Syst. Control. Lett. 62(5): 430-437 (2013) - 2012
- [j12]Xun Li
Saddle points of discrete Markov zero-sum game with stopping. Autom. 48(8): 1898-1903 (2012) - [j11]Jianhui Huang
Forward-backward linear quadratic stochastic optimal control problem with delay. Syst. Control. Lett. 61(5): 623-630 (2012) - 2011
- [j10]Chun-Hung Chiu
Supply chain coordination with risk sensitive retailer under target sales rebate. Autom. 47(8): 1617-1625 (2011) - [j9]Eddie C. M. Hui
Near-optimal control for stochastic recursive problems. Syst. Control. Lett. 60(3): 161-168 (2011) - 2010
- [j8]Jianhui Huang
Near-optimal control problems for linear forward-backward stochastic systems. Autom. 46(2): 397-404 (2010) - [j7]Chenpeng Fu, Ali Lari-Lavassani, Xun Li
Dynamic mean-variance portfolio selection with borrowing constraint. Eur. J. Oper. Res. 200(1): 312-319 (2010) - [j6]Jianhui Huang
System Uncertainty and Statistical Detection for Jump-diffusion Models. IEEE Trans. Autom. Control. 55(3): 697-702 (2010) - [j5]Jianhui Huang
Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls. IEEE Trans. Autom. Control. 55(6): 1438-1443 (2010)
2000 – 2009
- 2009
- [j4]Tak Kuen Siu
A high-order Markov-switching model for risk measurement. Comput. Math. Appl. 58(1): 1-10 (2009) - 2008
- [j3]Xun Li
On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices. Comput. Oper. Res. 35(1): 76-89 (2008) - 2003
- [j2]Xun Li
Indefinite Stochastic Linear Quadratic Control with Markovian Jumps in Infinite Time Horizon. J. Glob. Optim. 27(2-3): 149-175 (2003) - 2002
- [j1]Xun Li
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints. SIAM J. Control. Optim. 40(5): 1540-1555 (2002)
Coauthor Index
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