Zuo Quan Xu

Hong Kong Polytechnic University — Hong Kong

Economics, Econometrics and Finance · Social Sciences

15h-index956citations122works1.32yr avg
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Research Topics

Stochastic processes and financial applications(84), Risk and Portfolio Optimization(50), Economic theories and models(37), Insurance, Mortality, Demography, Risk Management(24), Financial Markets and Investment Strategies(21)

Publications122 total

Constrained Stochastic Linear Quadratic Control Under Regime Switching with Controlled Jump Size
Applied Mathematics & Optimization·2025Open Access
Comparison Theorems for Multidimensional BSDEs with Jumps and Applications to Constrained Stochastic Linear-Quadratic Control
SIAM Journal on Control and Optimization·2025· 1 cited
A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching
SIAM Journal on Control and Optimization·2025· 1 cited
Infinite horizon discounted LQ optimal control problems for mean-field switching diffusions
Systems & Control Letters·2025
Optimal mean-variance portfolio selection under regime-switching-induced stock price shocks
arXiv (Cornell University)·2025Open Access
Optimal mean–variance portfolio selection under regime-switching-induced stock price shocks
Systems & Control Letters·2025
Ergodic Non-zero Sum Differential Game with McKean-Vlasov Dynamics
arXiv (Cornell University)·2025Open Access
De Finetti's problem with fixed transaction costs and regime switching
arXiv (Cornell University)·2025Open Access
Moral-hazard-free insurance contract design under the rank-dependent utility theory
Probability Uncertainty and Quantitative Risk·2025· 1 citedOpen Access
Optimalmean-Variance Portfolio Selection Under Regime-Switching-Induced Stock Price Shocks
SSRN Electronic Journal·2025Open Access
A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching
arXiv (Cornell University)·2024Open Access
Constrained stochastic linear quadratic control under regime switching with controlled jump size
arXiv (Cornell University)·2024Open Access
Stochastic optimal self-path-dependent control: A new type of variational inequality and its viscosity solution
arXiv (Cornell University)·2024Open Access
Multidimensional Indefinite Stochastic Riccati Equations and Zero-Sum Stochastic Linear-Quadratic Differential Games with Non-Markovian Regime Switching
SIAM Journal on Control and Optimization·2024· 1 cited
Optimal Consumption–Investment with Constraints in a Regime Switching Market with Random Coefficients
Applied Mathematics & Optimization·2024· 1 cited
Policy Iteration Reinforcement Learning Method for Continuous-Time Linear–Quadratic Mean-Field Control Problems
IEEE Transactions on Automatic Control·2024· 5 cited
Dynamic growth-optimal portfolio choice under risk control
European Journal of Operational Research·2024
Optimal Ratcheting of Dividend Payout Under Brownian Motion Surplus
SIAM Journal on Control and Optimization·2024· 5 cited
Learning to Optimally Stop Diffusion Processes, with Financial Applications
arXiv (Cornell University)·2024· 1 citedOpen Access
Competitive optimal portfolio selection in a non-Markovian financial market: A backward stochastic differential equation study
arXiv (Cornell University)·2024Open Access
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Frequent Co-authors

Xun Yu Zhou(11), Xun Li(5), Ying Hu(5), Sheng Chao Zhuang(4), Xiaomin Shi(4), Chonghu Guan(4), Min Dai(3), Xuefeng Gao(3), Fahuai Yi(3), Hui Mi(3), Albert N. Shiryaev(2), Na Li(2), Jing Peng(2), Zhuo Jin(2), Hyun Jin Jang(2), Harry Zheng(2), Xiaomin Shi(2), Yongwu Li(2), Xun Zhou(2), Hanqing Jin(1)