| Publication | Date of Publication | Type |
|---|
Square-root regret bounds for continuous-time episodic Markov decision processes
Mathematics of Operations Research | 2026-03-20 | Paper |
Sublinear regret for a class of continuous-time linear-quadratic reinforcement learning problems
SIAM Journal on Control and Optimization | 2025-09-25 | Paper |
Discrete-time simulated annealing: a convergence analysis via the Eyring-Kramers law
Numerical Algebra, Control and Optimization | 2025-01-22 | Paper |
Naïve Markowitz policies
Mathematical Finance | 2024-11-20 | Paper |
Logarithmic regret bounds for continuous-time average-reward Markov decision processes
SIAM Journal on Control and Optimization | 2024-09-20 | Paper |
Variance insurance contracts
Insurance Mathematics & Economics | 2024-03-21 | Paper |
Beta and Coskewness Pricing: Perspective from Probability Weighting
Operations Research | 2024-03-12 | Paper |
Robust utility maximisation with intractable claims
Finance and Stochastics | 2023-10-12 | Paper |
Choquet Regularization for Continuous-Time Reinforcement Learning
SIAM Journal on Control and Optimization | 2023-10-11 | Paper |
Consistent investment of sophisticated rank‐dependent utility agents in continuous time
Mathematical Finance | 2023-09-28 | Paper |
Tail probability estimates of continuous-time simulated annealing processes
Numerical Algebra, Control and Optimization | 2023-07-26 | Paper |
\(g\)-expectation of distributions
Probability, Uncertainty and Quantitative Risk | 2022-11-16 | Paper |
Who are I: time inconsistency and intrapersonal conflict and reconciliation
Stochastic Analysis, Filtering, and Stochastic Optimization | 2022-11-15 | Paper |
State-Dependent Temperature Control for Langevin Diffusions
SIAM Journal on Control and Optimization | 2022-05-31 | Paper |
| Simulated annealing from continuum to discretization: a convergence analysis via the Eyring--Kramers law | 2021-02-03 | Paper |
Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting
Mathematical Finance | 2019-10-31 | Paper |
Dual utilities on risk aggregation under dependence uncertainty
Finance and Stochastics | 2019-09-19 | Paper |
Two explicit Skorokhod embeddings for simple symmetric random walk
Stochastic Processes and their Applications | 2019-09-19 | Paper |
Optimal exit time from casino gambling: strategies of precommitted and naive gamblers
SIAM Journal on Control and Optimization | 2019-08-30 | Paper |
Inverse S-shaped probability weighting and its impact on investment
Mathematical Control and Related Fields | 2019-07-03 | Paper |
Optimal insurance under rank-dependent utility and incentive compatibility
Mathematical Finance | 2019-05-23 | Paper |
Continuous-Time Mean-Variance Portfolio Selection: A Reinforcement Learning Framework
(available as arXiv preprint) | 2019-04-25 | Paper |
A new risk-sensitive maximum principle
IEEE Transactions on Automatic Control | 2017-07-12 | Paper |
Technical Note—Path-Dependent and Randomized Strategies in Barberis’ Casino Gambling Model
Operations Research | 2017-06-02 | Paper |
Rank-dependent utility and risk taking in complete markets
SIAM Journal on Financial Mathematics | 2017-06-02 | Paper |
Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium
SIAM Journal on Control and Optimization | 2017-05-24 | Paper |
Arrow-Debreu equilibria for rank-dependent utilities
Mathematical Finance | 2016-07-15 | Paper |
Hope, fear, and aspirations
Mathematical Finance | 2016-02-22 | Paper |
Dynamic portfolio choice when risk is measured by weighted VaR
Mathematics of Operations Research | 2015-11-04 | Paper |
Continuous-time portfolio selection under ambiguity
Mathematical Control and Related Fields | 2015-07-30 | Paper |
A biographical note and tribute to Xunjing Li on his 80th birthday
Mathematical Control and Related Fields | 2015-07-30 | Paper |
Myopic loss aversion, reference point, and money illusion
Quantitative Finance | 2015-04-16 | Paper |
Optimal insurance design under rank-dependent expected utility
Mathematical Finance | 2015-02-20 | Paper |
Optimal stopping under probability distortion
The Annals of Applied Probability | 2013-04-24 | Paper |
Optimal stopping under probability distortion
The Annals of Applied Probability | 2013-04-24 | Paper |
Greed, leverage, and potential losses: a prospect theory perspective
Mathematical Finance | 2013-02-28 | Paper |
Time-inconsistent stochastic linear-quadratic control
SIAM Journal on Control and Optimization | 2012-09-12 | Paper |
Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
Management Science | 2011-06-09 | Paper |
Buy low and sell high
Contemporary Quantitative Finance | 2011-05-31 | Paper |
Behavioral portfolio selection with loss control
Acta Mathematica Sinica, English Series | 2011-04-08 | Paper |
Portfolio choice via quantiles
Mathematical Finance | 2011-03-25 | Paper |
Erratum to ``Behavioral portfolio selection in continuous time
Mathematical Finance | 2010-08-03 | Paper |
| A fundamental theorem of asset pricing in continuous time with square integrable portfolios | 2010-07-09 | Paper |
Markowitz strategies revised
Acta Mathematica Scientia. Series B. (English Edition) | 2010-07-08 | Paper |
Continuous-time Markowitz's model with transaction costs
SIAM Journal on Financial Mathematics | 2010-02-03 | Paper |
Thou shalt buy and hold
Quantitative Finance | 2009-02-23 | Paper |
Response to comment on ‘Thou shalt buy and hold’
Quantitative Finance | 2009-02-23 | Paper |
BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
Mathematical Finance | 2008-08-21 | Paper |
BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
Mathematical Finance | 2008-05-22 | Paper |
| Stochastic Analysis and Applications | 2008-01-17 | Paper |
STOCK LOANS
Mathematical Finance | 2007-10-29 | Paper |
Continuous-time mean-variance efficiency: the 80\% rule
The Annals of Applied Probability | 2007-08-06 | Paper |
A NOTE ON SEMIVARIANCE
Mathematical Finance | 2006-06-12 | Paper |
CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
Mathematical Finance | 2006-02-08 | Paper |
Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
Mathematics of Operations Research | 2005-11-11 | Paper |
Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
SIAM Journal on Control and Optimization | 2005-09-15 | Paper |
Continuous-time mean-risk portfolio selection
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2005-08-04 | Paper |
Continuous-time mean-risk portfolio selection
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2005-08-04 | Paper |
Stochastic Linear-Quadratic Control with Conic Control Constraints on an Infinite Time Horizon
SIAM Journal on Control and Optimization | 2005-02-28 | Paper |
| scientific article; zbMATH DE number 2133120 (Why is no real title available?) | 2005-02-09 | Paper |
Indefinite Stochastic Riccati Equations
SIAM Journal on Control and Optimization | 2004-01-08 | Paper |
Indefinite stochastic linear quadratic control with Markovian jumps in infinite time horizon
Journal of Global Optimization | 2003-09-15 | Paper |
Multiple-objective risk-sensitive control and its small noise limit
Automatica | 2003-04-27 | Paper |
Discrete-time indefinite LQ control with state and control dependent noises
Journal of Global Optimization | 2003-03-23 | Paper |
Optimal investment strategies with bounded risks, general utilities, and goal achieving
Journal of Mathematical Economics | 2002-09-22 | Paper |
Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls
IEEE Transactions on Automatic Control | 2002-07-21 | Paper |
Risk-sensitive control with HARA utility
IEEE Transactions on Automatic Control | 2002-07-21 | Paper |
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
SIAM Journal on Control and Optimization | 2002-06-23 | Paper |
Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
SIAM Journal on Control and Optimization | 2002-06-23 | Paper |
| scientific article; zbMATH DE number 1642351 (Why is no real title available?) | 2002-03-12 | Paper |
| scientific article; zbMATH DE number 2015378 (Why is no real title available?) | 2002-01-01 | Paper |
| Explicit efficient frontier of a continuous-time mean-variance portfolio selection problem | 2001-10-30 | Paper |
Linear-quadratic control of backward stochastic differential equations
SIAM Journal on Control and Optimization | 2001-10-29 | Paper |
Stochastic linear-quadratic control via semidefinite programming
SIAM Journal on Control and Optimization | 2001-10-29 | Paper |
Stochastic frequency characteristics
SIAM Journal on Control and Optimization | 2001-10-29 | Paper |
Stability of real-time lot-scheduling and machine replacement policies with quality levels
IEEE Transactions on Automatic Control | 2001-08-05 | Paper |
| On LQG control of linear stochastic systems with control dependent noise | 2001-05-06 | Paper |
Stochastic linear quadratic regulators with indefinite control weight costs. II
SIAM Journal on Control and Optimization | 2001-03-19 | Paper |
Well-posedness and attainability of indefinite stochastic linear quadratic control in infinite time horizon
Systems & Control Letters | 2000-10-26 | Paper |
Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
IEEE Transactions on Automatic Control | 2000-10-17 | Paper |
Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights
IEEE Transactions on Automatic Control | 2000-10-17 | Paper |
Circulant approximation for preconditioning in stochastic automata networks
Computers & Mathematics with Applications | 2000-09-20 | Paper |
| scientific article; zbMATH DE number 1247833 (Why is no real title available?) | 1999-09-21 | Paper |
| scientific article; zbMATH DE number 1325009 (Why is no real title available?) | 1999-08-19 | Paper |
Discrete time LQG controls with control dependent noise
Systems & Control Letters | 1999-04-28 | Paper |
Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
SIAM Journal on Control and Optimization | 1998-09-21 | Paper |
Stochastic Verification Theorems within the Framework of Viscosity Solutions
SIAM Journal on Control and Optimization | 1998-02-02 | Paper |
A duality analysis on stochastic partial differential equations
Journal of Functional Analysis | 1992-08-13 | Paper |
Maximum principle of stochastic controlled systems of functional type
Acta Mathematica Sinica, English Series | 1992-06-27 | Paper |
The connection between the maximum principle and dynamic programming in stochastic control
Stochastics and Stochastic Reports | 1990-01-01 | Paper |
