4 papers · 1 filter
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…
Continuous-time q-Learning for Jump-Diffusion Models under Tsallis Entropy
Lijun Bo, Yijie Huang, Xiang Yu +1
This paper studies the continuous-time reinforcement learning in jump-diffusion models by featuring the q-learning (the continuous-time counterpart of Q-learning) under Tsallis ent…