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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
Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
X Yu
The Annals of Applied Probability 25 (3), 1383-1419, 2015
312015
Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
YJ Huang, X Yu
Mathematical Finance 31 (3), 979-1012, 2021
302021
Optimal consumption with reference to past spending maximum
S Deng, X Li, H Pham, X Yu
Finance and Stochastics 26, 217-266, 2022
292022
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
252020
On the bail-out optimal dividend problem
JL Pérez, K Yamazaki, X Yu
Journal of Optimization Theory and Applications 179 (2), 553-568, 2018
242018
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¡V1076, 2020
212020
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
192017
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
172021
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
On the market viability under proportional transaction costs
E Bayraktar, X Yu
Mathematical Finance 28 (3), 800-838, 2018
13*2018
Continuous-time q-learning for mean-field control problems
X Wei, X Yu
Applied Mathematics & Optimization 91 (1), 10, 2025
11*2025
Mean Field Game of Optimal Relative Investment with Jump Risk
L Bo, S Wang, X Yu
Science China Mathematics 67, 1159-1188, 2024
11*2024
Teamwise Mean Field Competitions
X Yu, Y Zhang, Z Zhou
Applied Mathematics & Optimization 84, 903-942, 2021
112021
Utility maximization with proportional transaction costs under model uncertainty
S Deng, X Tan, X Yu
Mathematics of Operations Research 45 (4), 1210-1236, 2020
112020
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
112019
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
102023
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
102022
Optimal Entry and Consumption under Habit Formation
Y Yang, X Yu
Advances in Applied Probability 54 (2), 433-459, 2022
10*2022
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
82024
Optimal investment with random endowments and transaction costs: Duality theory and shadow prices
E Bayraktar, X Yu
Mathematics and Financial Economics 13 (2), 253-286, 2019
82019
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