activity
20092023
most citedOn a Stochastic Wave Equation Driven by a Non-Gaussian Levy Process

9 citations · 20 across the 22 of their papers we have counts for

collaborators
Showing 2019Show all

2 papers · 1 filter

math.OC2019

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…

q-fin.PM2019★ 2 cited

Risk-Sensitive Credit Portfolio Optimization under Partial Information and Contagion Risk

Lijun Bo, Huafu Liao, Xiang Yu

This paper investigates the finite horizon risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. It is…