9 citations · 20 across the 22 of their papers we have counts for
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q-fin.MF2021
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…
math.OC2021
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…