Gechun Liang

发表

A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk

Vicky Henderson, Gechun Liang, V. Henderson, 2011, SIAM J. Control. Optim..

Pseudo linear pricing rule for utility indifference valuation

Vicky Henderson, Gechun Liang, 2014, Finance Stochastics.

An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior

Ying Hu, Thaleia Zariphopoulou, Gechun Liang, 2019, Finance Stochastics.

A monotone scheme for G-equations with application to the convergence rate of robust central limit theorem.

Shuo Huang, Gechun Liang, Gechun Liang, 2019 .

Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection pdf

Shanjian Tang, Gechun Liang, Dingqian Sun, 2020, ArXiv.

Representation of Homothetic Forward Performance Processes in Stochastic Factor Models Via Ergodic and Infinite Horizon BSDE

Thaleia Zariphopoulou, Gechun Liang, T. Zariphopoulou, 2015, SIAM J. Financial Math..

Dynkin Games with Poisson Random Intervention Times

Gechun Liang, Haodong Sun, Gechun Liang, 2018, SIAM J. Control. Optim..

The Valuation of the Basket CDS in a Primary-Subsidiary Model

Harry Zheng, Gechun Liang, Jianwei Lin, 2011, Asia Pac. J. Oper. Res..

Stochastic Control Representations for Penalized Backward Stochastic Differential Equations

Gechun Liang, 2015, SIAM J. Control. Optim..

Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes

Ying Hu, Shanjian Tang, Gechun Liang, 2020, SIAM J. Control. Optim..

An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians

Thaleia Zariphopoulou, Shuo Huang, Gechun Liang, 2018, SIAM J. Control. Optim..

A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models

Gechun Liang, Juan Li, Wenqiang Li, 2021, SIAM J. Financial Math..

Callable convertible bonds under liquidity constraints

Gechun Liang, Haodong Sun, David Hobson, 2021, 2111.02554.

A new monotonicity condition for ergodic BSDEs and ergodic control with super-quadratic Hamiltonians

Gechun Liang, Joe Jackson, 2021 .

Backward stochastic dynamics on a filtered probability space

Terry Lyons, Gechun Liang, Zhongmin Qian, 2009, 0904.0377.

Exponential utility maximization and indifference valuation with unbounded payoffs

Ying Hu, Shanjian Tang, Gechun Liang, 2017 .

A modified structural model for credit risk

Gechun Liang, Lishang Jiang, 2012 .

Fully coupled forward–backward stochastic dynamics and functional differential systems

Gechun Liang, Gechun Liang, Matteo Casserini, 2011, 1112.4978.

A Functional Approach to FBSDEs and Its Application in Optimal Portfolios

Terry Lyons, Gechun Liang, Zhongmin Qian, 2010, 1011.4499.

Optimal Switching at Poisson Random Intervention Times

Gechun Liang, Wei Wei, Wei Wei, 2013, 1309.5608.

Funding liquidity, debt tenor structure, and creditor’s belief: an exogenous dynamic debt run model

Eva Lütkebohmert, Gechun Liang, Wei Wei, 2012, 1209.3513.

A Continuous Time Structural Model for Insolvency, Recovery, and Rollover Risks

Eva Lütkebohmert, Gechun Liang, Wei Wei, 2012 .

The Credit Risk and Pricing of OTC Options

Gechun Liang, Xuemin Ren, 2007 .

Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic factor models

Thaleia Zariphopoulou, Gechun Liang, T. Zariphopoulou, 2015 .