9 citations · 20 across the 22 of their papers we have counts for
5 papers · 1 filter
An extended Merton problem with relaxed benchmark tracking
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies Merton's problem in an extended formulation by incorporating the benchmark tracking on the wealth process. We consider a tracking formulation where the fund mana…
Stochastic control problems with state-reflections arising from relaxed benchmark tracking
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies stochastic control problems motivated by optimal consumption with wealth benchmark tracking. The benchmark process is modeled by a combination of a geometric Bro…
On De Finetti's control under Poisson observations: optimality of a double barrier strategy in a Markov additive model
Lijun Bo, Wenyuan Wang, Kaixin Yan
In this paper we consider the De Finetti's optimal dividend and capital injection problem under a Markov additive model. We assume that the surplus process before dividends and cap…
Centralized systemic risk control in the interbank system: Weak formulation and Gamma-convergence
Lijun Bo, Tongqing Li, Xiang Yu
This paper studies a systemic risk control problem by the central bank, which dynamically plans monetary supply to stabilize the interbank system with borrowing and lending activit…
Large Sample Mean-Field Stochastic Optimization
Lijun Bo, Agostino Capponi, Huafu Liao
We study a class of sampled stochastic optimization problems, where the underlying state process has diffusive dynamics of the mean-field type. We establish the existence of optima…