9 citations · 20 across the 22 of their papers we have counts for
4 papers · 1 filter
A mean field game approach to equilibrium consumption under external habit formation
Lijun Bo, Shihua Wang, Xiang Yu
This paper studies the equilibrium consumption under external habit formation in a large population of agents. We first formulate problems under two types of conventional habit for…
Mean Field Game of Optimal Relative Investment with Jump Risk
Lijun Bo, Shihua Wang, Xiang Yu
This paper studies the n-player game and the mean field game under the CRRA relative performance on terminal wealth, in which the interaction occurs by peer competition. In the mod…
Optimal Credit Investment and Risk Control for an Insurer with Regime-Switching
Lijun Bo, Huafu Liao, Yongjin Wang
This paper studies an optimal investment and risk control problem for an insurer with default contagion and regime-switching. The insurer in our model allocates his/her wealth acro…
Portfolio Choice with Market-Credit Risk Dependencies
Lijun Bo, Agostino Capponi
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility…