Lijun Bo

According to our database, Lijun Bo authored at least 24 papers between 2006 and 2026.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2026

Optimal Consumption under Relaxed Benchmark Tracking and Consumption Drawdown Constraint.

Lijun Bo, Yijie Huang, Kaixin Yan, Xiang Yu

SIAM J. Financial Math., 2026

Mean field games for emission control of multiple regions.

Lijun Bo, Zhen Liu, Shihua Wang

Autom., 2026

Optimal production control with carbon trading and sticky price: Nash and social solutions.

Lijun Bo, Tongqing Li, Zhen Liu

Autom., 2026

2025

Privacy Data Pricing: A Stackelberg Game Approach.

Lijun Bo, Weiqiang Chang

CoRR, December, 2025

On Optimal Tracking Portfolio in Incomplete Markets: The Reinforcement Learning Approach.

Lijun Bo, Yijie Huang, Xiang Yu

SIAM J. Control. Optim., 2025

Stochastic Control Problems with State Reflections Arising from Relaxed Benchmark Tracking.

Lijun Bo, Yijie Huang, Xiang Yu

Math. Oper. Res., 2025

2024

Continuous-time q-Learning for Jump-Diffusion Models under Tsallis Entropy.

Lijun Bo, Yijie Huang, Xiang Yu, Tingting Zhang

CoRR, 2024

2023

Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors.

Lijun Bo, Agostino Capponi, Chao Zhou

Math. Oper. Res., February, 2023

2022

Large Sample Mean-Field Stochastic Optimization.

Lijun Bo, Agostino Capponi, Huafu Liao

SIAM J. Control. Optim., August, 2022

2021

Optimal Tracking Portfolio with a Ratcheting Capital Benchmark.

Lijun Bo, Huafu Liao, Xiang Yu

SIAM J. Control. Optim., 2021

2019

Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching.

Lijun Bo, Huafu Liao, Xiang Yu

SIAM J. Control. Optim., 2019

2018

Portfolio Choice with Market-Credit-Risk Dependencies.

Lijun Bo, Agostino Capponi

SIAM J. Control. Optim., 2018

Risk-Sensitive Asset Management and Cascading Defaults.

John R. Birge, Lijun Bo, Agostino Capponi

Math. Oper. Res., 2018

2017

Optimal Investment Under Information Driven Contagious Distress.

Lijun Bo, Agostino Capponi

SIAM J. Control. Optim., 2017

Optimal investment and risk control for an insurer with stochastic factor.

Lijun Bo, Shihua Wang

Oper. Res. Lett., 2017

The pricing of basket options: A weak convergence approach.

Lijun Bo, Yongjin Wang

Oper. Res. Lett., 2017

Optimal Credit Investment with Borrowing Costs.

Lijun Bo, Agostino Capponi

Math. Oper. Res., 2017

Robust Optimization of Credit Portfolios.

Lijun Bo, Agostino Capponi

Math. Oper. Res., 2017

2015

Systemic Risk in Interbanking Networks.

Lijun Bo, Agostino Capponi

SIAM J. Financial Math., 2015

2014

Bilateral credit valuation adjustment for large credit derivatives portfolios.

Lijun Bo, Agostino Capponi

Finance Stochastics, 2014

2013

First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps.

Lijun Bo

Queueing Syst. Theory Appl., 2013

2012

First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers.

Lijun Bo, Chen Hao

J. Appl. Probab., 2012

2011

A note on stability in distribution of Markov-modulated stochastic differential equations with reflection.

Lijun Bo, Chenggui Yuan

Comput. Math. Appl., 2011

2006

On the first passage times of reflected O-U processes with two-sided barriers.

Lijun Bo, Lidong Zhang, Yongjin Wang

Queueing Syst. Theory Appl., 2006