Gechun Liang

20 papers Journal 20
YearRankTypeTitle / Venue / Authors
2025 J jnl
On the rate of convergence for an α-stable central limit theorem under sublinear expectation.
J. Appl. Probab.
Mingshang Hu, Lianzi Jiang, Gechun Liang
2025 J jnl
Probabilistic approximation of fully nonlinear second-order PIDEs with convergence rates for the universal robust limit theorem.
CoRR
Lianzi Jiang, Mingshang Hu, Gechun Liang
2025 J jnl
Recursive Optimal Stopping with Poisson Stopping Constraints.
SIAM J. Control. Optim.
Gechun Liang, Wei Wei, Zhen Wu, Zhenda Xu
2025 J jnl
Robust Forward Investment and Consumption under Drift and Volatility Uncertainties: A Randomization Approach.
SIAM J. Financial Math.
Wing Fung Chong, Gechun Liang
2025 J jnl
Singular Stochastic Control Problems Motivated by the Optimal Sustainable Exploitation of an Ecosystem.
SIAM J. Control. Optim.
Gechun Liang, Zhesheng Liu, Mihail Zervos
2024 J jnl
Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities.
SIAM J. Financial Math.
David Hobson, Gechun Liang, Edward Wang
2023 J jnl
A New Monotonicity Condition for Ergodic Backward SDEs and Ergodic Control with Superquadratic Hamiltonians.
SIAM J. Control. Optim.
Joe Jackson, Gechun Liang
2023 J jnl
Convergence rates for Chernoff-type approximations of convex monotone semigroups.
CoRR
Jonas Blessing, Lianzi Jiang, Michael Kupper, Gechun Liang
2021 J jnl
A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models.
SIAM J. Financial Math.
Juan Li, Wenqiang Li, Gechun Liang
2021 J jnl
A monotone scheme for nonlinear partial integro-differential equations with the convergence rate of α-stable limit theorem under sublinear expectation.
CoRR
Mingshang Hu, Lianzi Jiang, Gechun Liang
2020 J jnl
An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians.
SIAM J. Control. Optim.
Shuo Huang, Gechun Liang, Thaleia Zariphopoulou
2020 J jnl
Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection.
CoRR
Dingqian Sun, Gechun Liang, Shanjian Tang
2020 J jnl
Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes.
SIAM J. Control. Optim.
Ying Hu, Gechun Liang, Shanjian Tang
2019 J jnl
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior.
Finance Stochastics
Wing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou
2019 J jnl
Dynkin Games with Poisson Random Intervention Times.
SIAM J. Control. Optim.
Gechun Liang, Haodong Sun
2017 J jnl
Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE.
SIAM J. Financial Math.
Gechun Liang, Thaleia Zariphopoulou
2016 J jnl
A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk.
SIAM J. Control. Optim.
Vicky Henderson, Gechun Liang
2015 J jnl
Stochastic Control Representations for Penalized Backward Stochastic Differential Equations.
SIAM J. Control. Optim.
Gechun Liang
2014 J jnl
Pseudo linear pricing rule for utility indifference valuation.
Finance Stochastics
Vicky Henderson, Gechun Liang
2011 J jnl
The Valuation of the Basket CDS in a Primary-Subsidiary Model.
Asia Pac. J. Oper. Res.
Jianwei Lin, Gechun Liang, Sen Wu, Harry Zheng