9 citations · 20 across the 22 of their papers we have counts for
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math.OC2022
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…
q-fin.MF2022★ 1 cited
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…
q-fin.PM2022★ 2 cited
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors
Lijun Bo, Agostino Capponi, Chao Zhou
We study the forward investment performance process (FIPP) in an incomplete semimartingale market model with closed and convex portfolio constraints, when the investor's risk prefe…