Libo Li

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Vulnerable European and American options in a hazard-process model Finance and Stochastics	2026-03-23	Paper
Integration by parts formula for exit times of one dimensional diffusions	2024-10-01	Paper
Penalization schemes for BSDEs and reflected BSDEs with generalized driver Probability, Uncertainty and Quantitative Risk	2024-09-30	Paper
Defaultable perpetual American put option in a last passage time model Statistics & Probability Letters	2024-07-09	Paper
Integration by parts formula for exit times of one dimensional diffusions	2023-10-11	Paper
Generalized BSDE and reflected BSDE with random time horizon Electronic Journal of Probability	2023-07-04	Paper
Well-posedness and penalization schemes for generalized BSDEs and reflected generalized BSDEs	2022-12-24	Paper
The Russian Option with A Random Time Horizon	2022-11-25	Paper
The American Put Option with A Random Time Horizon	2022-11-25	Paper
Generalized BSDEs with random time horizon in a progressively enlarged filtration	2021-05-14	Paper
A positivity preserving numerical scheme for the alpha-CEV process	2021-03-24	Paper
Characterisation of honest times and optional semimartingales of class-(\Sigma) (available as arXiv preprint)	2018-01-11	Paper
Regularity of the density of a stable-like driven SDE with Hölder continuous coefficients Stochastic Analysis and Applications	2016-10-28	Paper
On the first hitting times of one dimensional elliptic diffusions	2016-09-29	Paper
Admissibility of generic market models of forward swap rates Mathematical Finance	2014-11-05	Paper
An enlargement of filtration formula with application to progressive enlargement with multiple random times	2014-02-13	Paper
Market Models of Forward CDS Spreads Stochastic Analysis with Financial Applications	2012-09-07	Paper
Random times and multiplicative systems Stochastic Processes and their Applications	2012-06-01	Paper

Research outcomes over time

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