What is he best known for?
The fields of study he is best known for:
- Statistics
- Mathematical analysis
- Finance
His scientific interests lie mostly in Stochastic control, Mathematical optimization, Mathematical analysis, Riccati equation and Linear-quadratic regulator.
His study in Stochastic control is interdisciplinary in nature, drawing from both Mathematical economics and Maximum principle.
The various areas that Xun Yu Zhou examines in his Maximum principle study include Stochastic differential equation, Stochastic calculus and Martingale.
His studies deal with areas such as Efficient frontier, Portfolio optimization, Portfolio and Viscosity solution as well as Mathematical optimization.
His research investigates the connection between Mathematical analysis and topics such as Applied mathematics that intersect with issues in Stochastic process.
While the research belongs to areas of Riccati equation, Xun Yu Zhou spends his time largely on the problem of Optimal control, intersecting his research to questions surrounding Partial differential equation, Linear matrix inequality and Discrete time and continuous time.
His most cited work include:
- Stochastic Controls : Hamiltonian Systems and HJB Equations (1616 citations)
- Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (699 citations)
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (392 citations)
What are the main themes of his work throughout his whole career to date?
His primary areas of study are Mathematical optimization, Optimal control, Portfolio, Stochastic control and Applied mathematics.
As a part of the same scientific study, Xun Yu Zhou usually deals with the Mathematical optimization, concentrating on Stochastic game and frequently concerns with Geometric Brownian motion and Optimal stopping.
His research in Optimal control intersects with topics in Mathematical analysis, Riccati equation, Differential equation and Nonlinear system.
His study in the field of Portfolio optimization is also linked to topics like Selection.
His work deals with themes such as Stochastic differential equation, Optimization problem and Maximum principle, which intersect with Stochastic control.
His Stochastic differential equation study incorporates themes from Stochastic partial differential equation, Stochastic process and Uniqueness.
He most often published in these fields:
- Mathematical optimization (41.04%)
- Optimal control (22.01%)
- Portfolio (21.27%)
What were the highlights of his more recent work (between 2014-2021)?
- Mathematical optimization (41.04%)
- Mathematical economics (12.31%)
- Optimal stopping (9.70%)
In recent papers he was focusing on the following fields of study:
Xun Yu Zhou mainly focuses on Mathematical optimization, Mathematical economics, Optimal stopping, Dynamic inconsistency and Econometrics.
The Stochastic control and Bellman equation research he does as part of his general Mathematical optimization study is frequently linked to other disciplines of science, such as Reinforcement learning, therefore creating a link between diverse domains of science.
His Mathematical economics study combines topics from a wide range of disciplines, such as Preference, Mathematical finance, Stochastic dominance and Disposition effect.
His Optimal stopping study integrates concerns from other disciplines, such as Geometric Brownian motion, Fixed point, Event, Stochastic game and Cumulative prospect theory.
The concepts of his Econometrics study are interwoven with issues in Asset, Beta, Negative relationship, Investment and Portfolio.
Xun Yu Zhou has included themes like Stochastic differential equation and Linear quadratic in his Uniqueness study.
Between 2014 and 2021, his most popular works were:
- Time-Inconsistent Stochastic Linear--Quadratic Control: Characterization and Uniqueness of Equilibrium (60 citations)
- OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY (56 citations)
- ARROW–DEBREU EQUILIBRIA FOR RANK-DEPENDENT UTILITIES (29 citations)
In his most recent research, the most cited papers focused on:
- Statistics
- Mathematical analysis
- Finance
Xun Yu Zhou spends much of his time researching Optimal stopping, Mathematical economics, Mathematical optimization, Econometrics and Portfolio.
His Optimal stopping research also works with subjects such as
- Cumulative prospect theory which intersects with area such as Path dependence, Actuarial science and Risk-seeking,
- Dynamic inconsistency that intertwine with fields like Event, Fixed point and Geometric Brownian motion.
His research investigates the connection with Mathematical economics and areas like Preference which intersect with concerns in Mathematical finance, Indemnity and Constraint.
His research in Mathematical optimization is mostly focused on Stochastic control.
His studies in Stochastic control integrate themes in fields like Equivalence, Adaptive control and Bellman equation.
His Portfolio research includes elements of Empirical measure, Risk premium and Probability measure.
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