2023

Liang, Gechun, Strub, Moris S. and Wang, Yuwei (2023) Predictable forward performance processes : infrequent evaluation and applications to human‐machine interactions. Mathematical Finance . doi:10.1111/mafi.12408 ISSN 0960-1627. (In Press)

Hu, Mingshang, Jiang, Lianzi, Liang, Gechun and Peng, Shige (2023) A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation. Probability, Uncertainty and Quantitative Risk, 8 (1). pp. 1-32. doi:10.3934/puqr.2023001 ISSN 2095-9672.

Jackson, Joe and Liang, Gechun (2023) A new monotonicity condition for ergodic backward SDEs and ergodic control with superquadratic Hamiltonians. SIAM Journal on Control and Optimization, 61 (3). pp. 1273-1296. doi:10.1137/21M1460958 ISSN 0363-0129.

2022

Sun, Dingqian, Liang, Gechun and Tang, Shanjian (2022) Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection. Probability, Uncertainty and Quantitative Risk, 7 (1). pp. 13-30. doi:10.3934/puqr.2022002 ISSN 2095-9672.

2021

Liang, Gechun and Yang, Zhou (2021) Analysis of the optimal exercise boundary of American put options with delivery lags. Journal of Mathematical Analysis and Applications, 497 (2). 124916. doi:10.1016/j.jmaa.2020.124916 ISSN 0022-247X.

Liang, Gechun and Wang, Xingchun (2021) Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes. Review of Derivatives Research, 24 (1). pp. 1-30. doi:10.1007/s11147-020-09167-z ISSN 1380-6645.

Li, Juan, Li, Wenqiang and Liang, Gechun (2021) A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models. SIAM Journal on Financial Mathematics, 12 (3). pp. 867-897. doi:10.1137/20M1334280 ISSN 1945-497X .

2020

Hu, Ying, Liang, Gechun and Tang, Shanjian (2020) Systems of ergodic BSDEs arising in regime switching forward performance processes. SIAM Journal on Control and Optimization, 58 (4). pp. 2503-2534. doi:10.1137/18M1234783 ISSN 0363-0129.

Huang, Shuo, Liang, Gechun and Zariphopoulou, Thaleia (2020) An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians. SIAM Journal on Control and Optimization, 58 (1). pp. 165-191. doi:10.1137/18M1198831 ISSN 0363-0129.

2019

Liang, Gechun and Sun, Haodong (2019) Dynkin games with Poisson random intervention times. SIAM Journal on Control and Optimization, 57 (4). pp. 2962-2991. doi:10.1137/18M1175720 ISSN 0363-0129.

Yang, Zhou, Liang, Gechun and Zhou, Chao (2019) Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. Mathematics and Financial Economics, 13 (3). pp. 393-427. doi:10.1007/s11579-018-0232-5 ISSN 1862-9679.

Chong, Wing Fung, Hu, Ying, Liang, Gechun and Zariphopoulou, Thaleia (2019) An ergodic BSDE approach to forward entropic risk measures : representation and large-maturity behavior. Finance and Stochastics, 23 (1). pp. 239-273. doi:10.1007/s00780-018-0377-3 ISSN 0949-2984.

2017

Liang, Gechun and Zariphopoulou, Thaleia (2017) Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE. SIAM Journal on Financial Mathematics, 8 (1). pp. 344-372. doi:10.1137/15M1048847 ISSN 1945-497X .

2016

Henderson, Vicky and Liang, Gechun (2016) A multidimensional exponential utility indifference pricing model with applications to counterparty risk. SIAM Journal on Control and Optimization, 54 (2). pp. 690-717. doi:10.1137/15M1040293 ISSN 0363-0129.

2015

Liang, Gechun (2015) Stochastic control representations for penalized backward stochastic differential equations. SIAM Journal on Control and Optimization, 53 (3). pp. 1440-1463. doi:10.1137/130942681 ISSN 0363-0129.

2014

Henderson, Vicky and Liang, Gechun (2014) Pseudo linear pricing rule for utility indifference valuation. Finance and Stochastics, 18 (3). pp. 593-615. doi:10.1007/s00780-014-0235-x ISSN 0949-2984.