Lijun Bo

Boundary-aware Reinforcement Learning for Hypercube State Spaces via Deterministic Policy Gradient

Lijun Bo, Yijie Huang, Chenhao Lu

We develop a continuous-time deterministic policy gradient framework for reinforcement learning with reflected state dynamics, where the state process is governed by a controlled r…

Model-free Reinforcement Learning for Continuous Time and State: A Stochastic Maximum Principle Approach

Lijun Bo, Yijie Huang, Jingfei Wang

This paper develops a model-free reinforcement learning (RL) algorithm based on the stochastic maximum principle for continuous-time stochastic control problems with continuous sta…

Mean Field Stackelberg Game for Production and Carbon Emission Reduction with State Reflections

Lijun Bo, Zhen Liu, Jingfei Wang +1

Global warming, driven by anthropogenic carbon emissions with transboundary pollution characteristics and irreversible damage, poses an existential threat to human society. This pa…

Optimal Consumption and Retirement Time under Shortfall Risk Measure

Lijun Bo, Yijie Huang, Tingting Zhang

This paper studies the optimal portfolio, consumption, and endogenous early retirement problem within a benchmark tracking framework by incorporating a new relative performance eva…

Mean Field Control with Poissonian Common Noise: A Pathwise Compactification Approach

Lijun Bo, Jingfei Wang, Xiaoli Wei +1

This paper contributes to the compactification approach to study mean-field control problems with Poissonian common noise. To overcome the lack of compactness and continuity issues…

Mean Field Game of Optimal Tracking Portfolio

Lijun Bo, Yijie Huang, Xiang Yu

This paper studies the mean field game (MFG) problem arising from a large population competition in fund management, featuring a new type of relative performance via the benchmark…

Mean Field Game of Controls with State Reflections: Existence and Limit Theory

Lijun Bo, Jingfei Wang, Xiang Yu

This paper studies mean field game (MFG) of controls by featuring the state-control joint distribution and the reflected state process at an exogenous stochastic reflection boundar…

Constrained mean-field control with singular controls: Existence, stochastic maximum principle and constrained FBSDE

Lijun Bo, Jingfei Wang, Xiang Yu

This paper studies a class of mean-field control (MFC) problems with singular controls under general dynamic state-control-law constraints. We first propose a customized relaxed co…

Optimal consumption under relaxed benchmark tracking and consumption drawdown constraint

Lijun Bo, Yijie Huang, Kaixin Yan +1

This paper studies an optimal consumption problem with both relaxed benchmark tracking and consumption drawdown constraint, leading to a stochastic control problem with dynamic sta…

Extended mean-field control under constraints: The generalized Fritz-John conditions and Lagrangian method

Lijun Bo, Jingfei Wang, Xiang Yu

This paper studies mean-field control with joint law dependence under dynamic expectation constraints and/or dynamic state-control-law constraints. We pioneer the establishment of…

Extended mean-field control problems with Poissonian common noise: Stochastic maximum principle and Hamiltonian-Jacobi-Bellman equation

Lijun Bo, Jingfei Wang, Xiaoli Wei +1

This paper studies mean-field control problems with state-control joint law dependence and Poissonian common noise. We develop the stochastic maximum principle (SMP) and establish…