Gechun Liang

Available identifiers

zbMath Open liang.gechunMaRDI QIDQ316897

List of research outcomes

Publication	Date of Publication	Type
Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions	2024-01-31	Paper
Convergence rates for Chernoff-type approximations of convex monotone semigroups	2023-10-15	Paper
A New Monotonicity Condition for Ergodic Backward SDEs and Ergodic Control with Superquadratic Hamiltonians	2023-06-14	Paper
A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation	2023-04-26	Paper
A robust $\alpha$-stable central limit theorem under sublinear expectation without integrability condition	2023-01-18	Paper
Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection	2022-06-03	Paper
Vague and weak convergence of signed measures	2022-05-26	Paper
A continuity theorem for generalised signed measures with an application to Karamata's Tauberian theorem	2022-05-25	Paper
A universal robust limit theorem for nonlinear L\'evy processes under sublinear expectation	2022-04-30	Paper
A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models	2021-09-08	Paper
A monotone scheme for nonlinear partial integro-differential equations with the convergence rate of $\alpha$-stable limit theorem under sublinear expectation	2021-07-23	Paper
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes	2021-06-30	Paper
Analysis of the optimal exercise boundary of American put options with delivery lags	2021-03-04	Paper
Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes	2020-10-30	Paper
Ergodic singular stochastic control motivated by the optimal sustainable exploitation of an ecosystem	2020-08-12	Paper
Risk-sensitive Dynkin games with heterogeneous Poisson random intervention times	2020-08-04	Paper
An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians	2020-01-10	Paper
Dynkin Games with Poisson Random Intervention Times	2019-08-30	Paper
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs	2019-07-08	Paper
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior	2019-01-18	Paper
A Multiperiod Bank Run Model for Liquidity Risk*	2018-11-08	Paper
Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE	2017-07-20	Paper
Exponential utility maximization and indifference valuation with unbounded payoffs	2017-07-01	Paper
Optimal switching at Poisson random intervention times	2016-09-30	Paper
A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk	2016-03-29	Paper
Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model	2015-09-22	Paper
Indifference pricing and hedging in a multiple-priors model with trading constraints	2015-07-31	Paper
Stochastic Control Representations for Penalized Backward Stochastic Differential Equations	2015-06-10	Paper
Fully coupled forward–backward stochastic dynamics and functional differential systems	2015-05-22	Paper
Dynkin game of convertible bonds and their optimal strategy	2015-02-11	Paper
Pseudo linear pricing rule for utility indifference valuation	2014-09-26	Paper
A modified structural model for credit risk	2012-08-30	Paper
https://portal.mardi4nfdi.de/entity/Q2886005	2012-06-01	Paper
Backward stochastic dynamics on a filtered probability space	2011-10-10	Paper
THE VALUATION OF THE BASKET CDS IN A PRIMARY-SUBSIDIARY MODEL	2011-05-11	Paper
A Functional Approach to FBSDEs and Its Application in Optimal Portfolios	2010-11-19	Paper
On Girsanov's transform for backward stochastic differential equations	2010-11-14	Paper
The credit risk and pricing of OTC options	2008-02-18	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Gechun Liang