9 papers
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…
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…
On optimal tracking portfolio in incomplete markets: The reinforcement learning approach
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies an infinite horizon optimal tracking portfolio problem using capital injection in incomplete market models. The benchmark process is modelled by a geometric Brow…