Xunyu Zhou

Columbia University — United States

Economics, Econometrics and Finance · Social Sciences

5h-index112citations17works1.02yr avg
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Research Topics

Stochastic processes and financial applications(5), Reinforcement Learning in Robotics(3), Risk and Portfolio Optimization(3), Advanced Bandit Algorithms Research(3), Financial Markets and Investment Strategies(2)

Publications17 total

Square-Root Regret Bounds for Continuous-Time Episodic Markov Decision Processes
Mathematics of Operations Research·2025
Data-Driven Exploration for a Class of Continuous-Time Linear-Quadratic Reinforcement Learning Problems
SSRN Electronic Journal·2025· 1 citedOpen Access
Sublinear Regret for An Actor-Critic Algorithm in Continuous-Time Linear-Quadratic Reinforcement Learning
SSRN Electronic Journal·2024Open Access
Mean-Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study
SSRN Electronic Journal·2024· 3 citedOpen Access
Achieving Mean–Variance Efficiency by Continuous-Time Reinforcement Learning
2022· 6 cited
Beta and Coskewness Pricing: Perspective from Probability Weighting
2020· 5 citedOpen Access
Exploration versus exploitation in reinforcement learning: a stochastic control approach
arXiv (Cornell University)·2018· 20 citedOpen Access
Session details: Keynote Talk: Xunyu Zhou
ACM SIGMETRICS Performance Evaluation Review·2018Open Access
Who Are I:
ACM SIGMETRICS Performance Evaluation Review·2018
Two explicit Skorokhod embeddings for simple symmetric random walk
arXiv (Cornell University)·2017· 2 citedOpen Access
A biographical note and tribute to xunjing li on his 80th birthday
Mathematical Control and Related Fields·2015Open Access
FRONT MATTER
Interdisciplinary mathematical sciences·2012
Stochastic Analysis and Applications to Finance
Interdisciplinary mathematical sciences·2012· 12 cited
Markowitz strategies revised
Acta Mathematica Scientia·2009· 2 cited
Optimal Switching over Multiple Regimes
SIAM Journal on Control and Optimization·2009· 59 cited
Behavioral Portfolio Selection in Continuous Time
2007Open Access
Maximum principle of stochastic controlled systems of functional type
Acta Mathematica Sinica English Series·1991· 2 cited

Frequent Co-authors

Yilie Huang(4), Yanwei Jia(3), Tusheng Zhang(2), Huyên Pham(1), Vathana Ly Vath(1), Haoran Wang(1), Thaleia Zariphopoulou(1), Yun Shi(1), Xiangyu Cui(1), Xuedong He(1), Sang Hu(1), Jan Obłój(1), Jia-An Yan(1), Hanqing Jin(1), Xuefeng Gao(1), Jin Ma(1), Shigē Péng(1), Jiongmin Yong(1)