Lijun Bo

24 papers Journal 24
YearRankTypeTitle / Venue / Authors
2026 J jnl
Mean field games for emission control of multiple regions.
Autom.
Lijun Bo, Zhen Liu, Shihua Wang
2026 J jnl
Optimal Consumption under Relaxed Benchmark Tracking and Consumption Drawdown Constraint.
SIAM J. Financial Math.
Lijun Bo, Yijie Huang, Kaixin Yan, Xiang Yu
2026 J jnl
Optimal production control with carbon trading and sticky price: Nash and social solutions.
Autom.
Lijun Bo, Tongqing Li, Zhen Liu
2025 J jnl
On Optimal Tracking Portfolio in Incomplete Markets: The Reinforcement Learning Approach.
SIAM J. Control. Optim.
Lijun Bo, Yijie Huang, Xiang Yu
2025 J jnl
Privacy Data Pricing: A Stackelberg Game Approach.
CoRR
Lijun Bo, Weiqiang Chang
2025 J jnl
Stochastic Control Problems with State Reflections Arising from Relaxed Benchmark Tracking.
Math. Oper. Res.
Lijun Bo, Yijie Huang, Xiang Yu
2024 J jnl
Continuous-time q-Learning for Jump-Diffusion Models under Tsallis Entropy.
CoRR
Lijun Bo, Yijie Huang, Xiang Yu, Tingting Zhang
2023 J jnl
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors.
Math. Oper. Res.
Lijun Bo, Agostino Capponi, Chao Zhou
2022 J jnl
Large Sample Mean-Field Stochastic Optimization.
SIAM J. Control. Optim.
Lijun Bo, Agostino Capponi, Huafu Liao
2021 J jnl
Optimal Tracking Portfolio with a Ratcheting Capital Benchmark.
SIAM J. Control. Optim.
Lijun Bo, Huafu Liao, Xiang Yu
2019 J jnl
Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching.
SIAM J. Control. Optim.
Lijun Bo, Huafu Liao, Xiang Yu
2018 J jnl
Portfolio Choice with Market-Credit-Risk Dependencies.
SIAM J. Control. Optim.
Lijun Bo, Agostino Capponi
2018 J jnl
Risk-Sensitive Asset Management and Cascading Defaults.
Math. Oper. Res.
John R. Birge, Lijun Bo, Agostino Capponi
2017 J jnl
Optimal Credit Investment with Borrowing Costs.
Math. Oper. Res.
Lijun Bo, Agostino Capponi
2017 J jnl
Optimal Investment Under Information Driven Contagious Distress.
SIAM J. Control. Optim.
Lijun Bo, Agostino Capponi
2017 J jnl
Optimal investment and risk control for an insurer with stochastic factor.
Oper. Res. Lett.
Lijun Bo, Shihua Wang
2017 J jnl
Robust Optimization of Credit Portfolios.
Math. Oper. Res.
Lijun Bo, Agostino Capponi
2017 J jnl
The pricing of basket options: A weak convergence approach.
Oper. Res. Lett.
Lijun Bo, Yongjin Wang
2015 J jnl
Systemic Risk in Interbanking Networks.
SIAM J. Financial Math.
Lijun Bo, Agostino Capponi
2014 J jnl
Bilateral credit valuation adjustment for large credit derivatives portfolios.
Finance Stochastics
Lijun Bo, Agostino Capponi
2013 J jnl
First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps.
Queueing Syst. Theory Appl.
Lijun Bo
2012 J jnl
First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers.
J. Appl. Probab.
Lijun Bo, Chen Hao
2011 J jnl
A note on stability in distribution of Markov-modulated stochastic differential equations with reflection.
Comput. Math. Appl.
Lijun Bo, Chenggui Yuan
2006 J jnl
On the first passage times of reflected O-U processes with two-sided barriers.
Queueing Syst. Theory Appl.
Lijun Bo, Lidong Zhang, Yongjin Wang