3 papers
math.OC2025
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…
math.OC2025
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…
math.OC2024
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…