Bo, Lijun
- On optimal tracking portfolio in incomplete markets: The reinforcement learning approach
2023/11/24 by Lijun Bo, Bo, Lijun, Yijie Huang +3 · 3 citations
Economics, Econometrics and Finance · Decision Sciences · Social Sciences · #Stochastic processes and financial applications #Risk and Portfolio Optimization #Insurance, Mortality, Demography, Risk Management
- Large Sample Mean-Field Stochastic Optimization
2019/06/20 by Bo, Lijun, Capponi, Agostino, Liao, Huafu · 1 citation
#3E20 #60F05 #60J20 #93E20 #93E35 #FOS: Mathematics #Optimization and Control (math.OC)
- Centralized systemic risk control in the interbank system: Weak formulation and Gamma-convergence
2021/06/18 by Bo, Lijun, Li, Tongqing, Yu, Xiang · 1 citation
#FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC)
- Extended mean-field control problems with Poissonian common noise: Stochastic maximum principle and Hamiltonian-Jacobi-Bellman equation
2024/07/07 by Lijun Bo, Jingfei Wang, Bo, Lijun +5 · 2 citations
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #FOS: Mathematics #Gas Dynamics and Kinetic Theory #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications
- Mean Field Game of Optimal Relative Investment with Jump Risk
2021/08/02 by Bo, Lijun, Wang, Shihua, Yu, Xiang · 1 citation
#FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC)
- Mean Field Control with Poissonian Common Noise: A Pathwise Compactification Approach
2025/05/29 by Lijun Bo, Bo, Lijun, Xiaoli Wei +4 · 5 citations
Computer Science · Mathematics · #Distributed Control Multi-Agent Systems #FOS: Mathematics #Mathematical Biology Tumor Growth #Optimization and Control (math.OC) #Optimization and Variational Analysis #Probability (math.PR)
- A mean field game approach to equilibrium consumption under external habit formation
2022/06/27 by Bo, Lijun, Wang, Shihua, Yu, Xiang · 1 citation
#FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC)
- Constrained mean-field control with singular controls: Existence, stochastic maximum principle and constrained FBSDE
2025/01/22 by Lijun Bo, Bo, Lijun, Jingfei Wang +3 · 1 citation
Economics, Econometrics and Finance · Engineering · Mathematics · #Advanced Control Systems Optimization #FOS: Mathematics #Gas Dynamics and Kinetic Theory #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications