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Lijun Bo
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Journal Articles
- 2023
- [j17]Lijun Bo, Agostino Capponi, Chao Zhou:
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors. Math. Oper. Res. 48(1): 288-312 (2023) - 2022
- [j16]Lijun Bo, Agostino Capponi, Huafu Liao:
Large Sample Mean-Field Stochastic Optimization. SIAM J. Control. Optim. 60(4): 2538-2573 (2022) - 2021
- [j15]Lijun Bo, Huafu Liao, Xiang Yu:
Optimal Tracking Portfolio with a Ratcheting Capital Benchmark. SIAM J. Control. Optim. 59(3): 2346-2380 (2021) - 2019
- [j14]Lijun Bo, Huafu Liao, Xiang Yu:
Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching. SIAM J. Control. Optim. 57(1): 366-401 (2019) - 2018
- [j13]John R. Birge, Lijun Bo, Agostino Capponi:
Risk-Sensitive Asset Management and Cascading Defaults. Math. Oper. Res. 43(1): 1-28 (2018) - [j12]Lijun Bo, Agostino Capponi:
Portfolio Choice with Market-Credit-Risk Dependencies. SIAM J. Control. Optim. 56(4): 3050-3091 (2018) - 2017
- [j11]Lijun Bo, Agostino Capponi:
Robust Optimization of Credit Portfolios. Math. Oper. Res. 42(1): 30-56 (2017) - [j10]Lijun Bo, Agostino Capponi:
Optimal Credit Investment with Borrowing Costs. Math. Oper. Res. 42(2): 546-575 (2017) - [j9]Lijun Bo, Yongjin Wang:
The pricing of basket options: A weak convergence approach. Oper. Res. Lett. 45(2): 119-125 (2017) - [j8]Lijun Bo, Shihua Wang:
Optimal investment and risk control for an insurer with stochastic factor. Oper. Res. Lett. 45(3): 259-265 (2017) - [j7]Lijun Bo, Agostino Capponi:
Optimal Investment Under Information Driven Contagious Distress. SIAM J. Control. Optim. 55(2): 1020-1068 (2017) - 2015
- [j6]Lijun Bo, Agostino Capponi:
Systemic Risk in Interbanking Networks. SIAM J. Financial Math. 6(1): 386-424 (2015) - 2014
- [j5]Lijun Bo, Agostino Capponi:
Bilateral credit valuation adjustment for large credit derivatives portfolios. Finance Stochastics 18(2): 431-482 (2014) - 2013
- [j4]Lijun Bo:
First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps. Queueing Syst. Theory Appl. 73(1): 105-118 (2013) - 2012
- [j3]Lijun Bo, Chen Hao:
First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers. J. Appl. Probab. 49(4): 1119-1133 (2012) - 2011
- [j2]Lijun Bo, Chenggui Yuan:
A note on stability in distribution of Markov-modulated stochastic differential equations with reflection. Comput. Math. Appl. 61(10): 3010-3016 (2011) - 2006
- [j1]Lijun Bo, Lidong Zhang, Yongjin Wang:
On the first passage times of reflected O-U processes with two-sided barriers. Queueing Syst. Theory Appl. 54(4): 313-316 (2006)
Informal and Other Publications
- 2024
- [i1]Lijun Bo, Yijie Huang, Xiang Yu, Tingting Zhang:
Continuous-time q-Learning for Jump-Diffusion Models under Tsallis Entropy. CoRR abs/2407.03888 (2024)
Coauthor Index
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