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Xiang Yu
Xiang Yu
Associate Professor, Department of Applied Mathematics, The Hong Kong Polytechnic University
Verified email at polyu.edu.hk - Homepage
Title
Cited by
Cited by
Year
Optimal consumption with reference to past spending maximum
S Deng, X Li, H Pham, X Yu
Finance and Stochastics 26, 217-266, 2022
382022
Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
X Yu
The Annals of Applied Probability 25 (3), 1383-1419, 2015
352015
Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
YJ Huang, X Yu
Mathematical Finance 31 (3), 979-1012, 2021
332021
On dynamic programming principle for stochastic control under expectation constraints
YL Chow, X Yu, C Zhou
Journal of Optimization Theory and Applications 185 (3), 803-818, 2020
282020
On the bail-out optimal dividend problem
JL Pérez, K Yamazaki, X Yu
Journal of Optimization Theory and Applications 179 (2), 553-568, 2018
282018
Optimal Tracking Portfolio with A Ratcheting Capital Benchmark
L Bo, H Liao, X Yu
SIAM Journal on Control and Optimization 59 (3), 2346-2380, 2021
242021
On the bail-out dividend problem for spectrally negative Markov additive models
K Noba, JL Pérez, X Yu
SIAM Journal on Control and Optimization 58 (2), 1049–1076, 2020
222020
Optimal consumption under habit formation in markets with transaction costs and random endowments
X Yu
The Annals of Applied Probability 27 (2), 960-1002, 2017
222017
Continuous-time q-learning for mean-field control problems
X Wei, X Yu
Applied Mathematics & Optimization 91 (1), 10, 2025
18*2025
Mean Field Game of Optimal Relative Investment with Jump Risk
L Bo, S Wang, X Yu
Science China Mathematics 67, 1159-1188, 2024
17*2024
Optimal Consumption and Life Insurance Under Shortfall Aversion and a Drawdown Constraint
X Li, X Yu, Q Zhang
Insurance: Mathematics and Economics 108, 25-45, 2023
162023
Risk Sensitive Portfolio Optimization with Default Contagion and Regime-switching
L Bo, H Liao, X Yu
SIAM Journal on Control and Optimization 57 (1), 366-401, 2019
152019
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum
X Li, X Yu, Q Zhang
SIAM Journal on Financial Mathematics 15 (1), 121-160, 2024
142024
On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy
W Wang, X Yu, X Zhou
Applied Mathematics & Optimization 89 (1), 2024
142024
On the market viability under proportional transaction costs
E Bayraktar, X Yu
Mathematical Finance 28 (3), 800-838, 2018
142018
Teamwise Mean Field Competitions
X Yu, Y Zhang, Z Zhou
Applied Mathematics & Optimization 84, 903-942, 2021
132021
Optimal Dividend Strategy for an Insurance Group with Contagious Default Risk
Z Jin, H Liao, Y Yang, X Yu
Scandinavian Actuarial Journal 2021 (4), 335-361, 2021
132021
Utility maximization with proportional transaction costs under model uncertainty
S Deng, X Tan, X Yu
Mathematics of Operations Research 45 (4), 1210-1236, 2020
122020
Risk-sensitive credit portfolio optimization under partial information and contagion risk
L Bo, H Liao, X Yu
The Annals of Applied Probability 32 (4), 2355-2399, 2022
112022
Optimal Entry and Consumption under Habit Formation
Y Yang, X Yu
Advances in Applied Probability 54 (2), 433-459, 2022
112022
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