World's Best Scientists 2026 revealed!

D-Index & Metrics

Economics and Finance

D-Index
54
Citations
15305
World Ranking
1113
National Ranking
684

Mathematics

D-Index
62
Citations
17517
World Ranking
470
National Ranking
243

Engineering and Technology

D-Index
55
Citations
15193
World Ranking
2938
National Ranking
885

Research.com Recognitions

  • 2016 - SIAM Fellow For accomplishments in stochastic optimization, financial mathematics, and behavioral finance.
  • 2005 - IEEE Fellow For contributions to the theory and applications of stochastic control.

Overview

Xun Yu Zhou is affiliated with Columbia University in the United States. Their research primarily lies within the field of Economics, Econometrics and Finance. The subfields of study connected to their work include General Health Professions, Economics and Econometrics, Philosophy, Computational Theory and Mathematics, and Artificial Intelligence.

The main topics addressed by Xun Yu Zhou encompass:

  • Hermeneutics and Narrative Identity
  • Aging, Elder Care, and Social Issues
  • Health, Medicine and Society
  • Adaptive Dynamic Programming Control
  • Reinforcement Learning in Robotics
  • Iterative Learning Control Systems
  • Economic theories and models

The scientist has published multiple papers, some recent examples include:

  • Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach, 2021, SSRN Electronic Journal
  • Consistent investment of sophisticated rank-dependent utility agents in continuous time, 2021, Mathematical Finance
  • Sublinear Regret for a Class of Continuous-Time Linear-Quadratic Reinforcement Learning Problems, 2025, SIAM Journal on Control and Optimization
  • Learning to Optimally Stop Diffusion Processes, with Financial Applications, 2024, SSRN Electronic Journal
  • Editorial: Special Issue for the 11th World Congress of the Bachelier Finance Society, 2023, Mathematical Finance

Frequent publication venues for Xun Yu Zhou include:

  • SSRN Electronic Journal
  • Mathematical Finance
  • SIAM Journal on Control and Optimization

The scientist has collaborated multiple times with several co-authors such as:

  • Yanwei Jia
  • Yilie Huang
  • Ying Hu
  • Hanqing Jin
  • Min Dai

Xun Yu Zhou has been recognized with professional distinctions including:

  • SIAM Fellow, 2016, for accomplishments in stochastic optimization, financial mathematics, and behavioral finance
  • IEEE Fellow, 2005, for contributions to the theory and applications of stochastic control

Best Publications

  • Stochastic controls : Hamiltonian systems and HJB equations

    J. Yong;Xun Yu Zhou

  • Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework

    X. Y. Zhou;D. Li

  • Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

    Xun Yu Zhou;G. Yin

  • MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

    Tomas Björk;Agatha Murgoci;Xun Yu Zhou

  • Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls

    M.A. Rami;Xun Yu Zhou

  • Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II

    Shuping Chen;Xun Yu Zhou

  • CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION

    Tomasz R. Bielecki;Hanqing Jin;Stanley R. Pliska;Xun Yu Zhou

  • Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints

    Xun Li;Xun Yu Zhou;Andrew E. B. Lim

  • BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

    Hanqing Jin;Xun Yu Zhou

  • Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment

    Xue Dong He;Xun Yu Zhou

  • Mean-Variance Portfolio Selection with Random Parameters in a Complete Market

    Andrew E. B. Lim;Xun Yu Zhou

  • Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs

    Unknown

  • Markowitz's mean-variance portfolio selection with regime switching: from discrete-time models to their continuous-time limits

    G. Yin;Xun Yu Zhou

  • Time-Inconsistent Stochastic Linear--Quadratic Control

    Ying Hu;Hanqing Jin;Xun Yu Zhou

  • Portfolio Optimization Under a Minimax Rule

    Xiaoqiang Cai;Kok-Lay Teo;Xiaoqi Yang;Xun Yu Zhou

  • Discrete-time Indefinite LQ Control with State and Control Dependent Noises

    M. Ait Rami;X. Chen;X. Y. Zhou

  • Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation

    M. Ait Rami;J. B. Moore;Xun Yu Zhou

  • Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach

    Michael Kohlmann;Xun Yu Zhou

  • PORTFOLIO CHOICE VIA QUANTILES

    Xue Dong He;Xun Yu Zhou

  • Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls

    M.A. Rami;Xi Chen;J.B. Moore;Xun Yu Zhou

  • On the necessary conditions of optimal controls for stochastic partial differential equations

    Xun Yu Zhou

  • Discrete-time indefinite LQ control with state and control dependent noises

    M.A. Rami;X. Chen;X.Y. Zhou

Frequent Co-Authors

Suresh P. Sethi
Suresh P. Sethi The University of Texas at Dallas
David D. Yao
David D. Yao Columbia University
Shuzhong Zhang
Shuzhong Zhang University of Minnesota
John B. Moore
John B. Moore Australian National University
Qing Zhang
Qing Zhang University of Georgia
Jiongmin Yong
Jiongmin Yong University of Central Florida
Michael Taksar
Michael Taksar University of Missouri
George Yin
George Yin University of Connecticut
Xiaoqiang Cai
Xiaoqiang Cai Chinese University of Hong Kong
Kok Lay Teo
Kok Lay Teo Sunway University

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