Lijun Bo

发表

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

Lijun Bo, Lidong Zhang, Yongjin Wang, 2006, Queueing Syst. Theory Appl..

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

Lijun Bo, Lijun Bo, 2013, Queueing Syst. Theory Appl..

Probabilistic Analysis of Replicator-Mutator Equations

Lijun Bo, Huafu Liao, 2020 .

Systemic Risk in Interbanking Networks

Lijun Bo, Agostino Capponi, Lijun Bo, 2015, SIAM J. Financial Math..

Optimal Investment under Information Driven Contagious Distress

Lijun Bo, Agostino Capponi, Lijun Bo, 2015, SIAM J. Control. Optim..

Modeling the Exchange Rates in a Target Zone by Reflected Ornstein-Uhlenbeck Process

Lijun Bo, Guijun Ren, Xuewei Yang, 2016 .

The pricing of basket options: A weak convergence approach

Lijun Bo, Yongjin Wang, 2017, Oper. Res. Lett..

Author's Personal Copy Computers and Mathematics with Applications a Note on Stability in Distribution of Markov-modulated Stochastic Differential Equations with Reflection

Lijun Bo, Chenggui Yuan, C. Yuan, 2022 .

Optimal investment and risk control for an insurer with stochastic factor

Lijun Bo, Shihua Wang, Lijun Bo, 2017, Oper. Res. Lett..

Portfolio Choice with Market-Credit-Risk Dependencies

Lijun Bo, Agostino Capponi, Lijun Bo, 2018, SIAM J. Control. Optim..

Optimal Credit Investment with Borrowing Costs

Lijun Bo, Agostino Capponi, Lijun Bo, 2016, Math. Oper. Res..

Robust Optimization of Credit Portfolios

Lijun Bo, Agostino Capponi, Lijun Bo, 2016, Math. Oper. Res..

Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching

Xiang Yu, Lijun Bo, Huafu Liao, 2017, SIAM J. Control. Optim..

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

Chen Hao, Lijun Bo, Chen Hao, 2012, J. Appl. Probab..

Bilateral credit valuation adjustment for large credit derivatives portfolios

Lijun Bo, Agostino Capponi, 2014, Finance Stochastics.

Risk Sensitive Portfolio Optimization with Regime-Switching

Lijun Bo, Xiang Yu, Huafu Liao, 2017 .

Optimal Tracking Portfolio with a Ratcheting Capital Benchmark

Lijun Bo, Xiang Yu, Huafu Liao, 2020, SIAM J. Control. Optim..

Risk-Sensitive Asset Management and Cascading Defaults

Lijun Bo, John R. Birge, Agostino Capponi, 2017, Math. Oper. Res..

Centralized systemic risk control in the interbank system: weak formulation and Gamma-convergence

Lijun Bo, Tongqing Li, Xiang Yu, 2021 .

Mean Field Game of Optimal Relative Investment with Contagious Risk

Lijun Bo, Xiang Yu, Shihua Wang, 2021 .

Centralized systemic risk control in the interbank system: Relaxed control and Gamma-convergence

Lijun Bo, Tongqing Li, Xiang Yu, 2021 .

Counterparty Risk for CDS: Default Clustering Effects

Lijun Bo, Agostino Capponi, 2015 .

On the Default Probability in a Regime-Switching Regulated Market

Lijun Bo, Xuewei Yang, Yongjin Wang, 2014 .

OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK

Lijun Bo, Agostino Capponi, Lijun Bo, 2014 .

An optimal portfolio problem in a defaultable market

Lijun Bo, Xuewei Yang, Yongjin Wang, 2010, Advances in Applied Probability.

Approximating solutions of neutral stochastic evolution equations with jumps

Lijun Bo, Kehua Shi, Yongjin Wang, 2009 .

Maximum likelihood estimation for reflected Ornstein–Uhlenbeck processes

Lijun Bo, Guannan Zhang, Xuewei Yang, 2011 .

On the conditional default probability in a regulated market: a structural approach

Lijun Bo, Dan Tang, Xuewei Yang, 2010 .

FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN–UHLENBECK PROCESSES

Lijun Bo, Guijun Ren, Xuewei Yang, 2013 .