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ORCIDGechun Liang
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Journal Articles
- 2023
[j11]Joe Jackson
, Gechun Liang:
A New Monotonicity Condition for Ergodic Backward SDEs and Ergodic Control with Superquadratic Hamiltonians. SIAM J. Control. Optim. 61(3): 1273-1296 (2023)- 2021
- [j10]Juan Li, Wenqiang Li, Gechun Liang:
A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models. SIAM J. Financial Math. 12(3): 867-897 (2021) - 2020
- [j9]Shuo Huang, Gechun Liang, Thaleia Zariphopoulou:
An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians. SIAM J. Control. Optim. 58(1): 165-191 (2020) - [j8]Ying Hu, Gechun Liang, Shanjian Tang:
Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes. SIAM J. Control. Optim. 58(4): 2503-2534 (2020) - 2019
- [j7]Wing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou:
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. Finance Stochastics 23(1): 239-273 (2019) - [j6]Gechun Liang, Haodong Sun:
Dynkin Games with Poisson Random Intervention Times. SIAM J. Control. Optim. 57(4): 2962-2991 (2019) - 2017
- [j5]Gechun Liang, Thaleia Zariphopoulou:
Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE. SIAM J. Financial Math. 8(1): 344-372 (2017) - 2016
- [j4]Vicky Henderson, Gechun Liang:
A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk. SIAM J. Control. Optim. 54(2): 690-717 (2016) - 2015
- [j3]Gechun Liang:
Stochastic Control Representations for Penalized Backward Stochastic Differential Equations. SIAM J. Control. Optim. 53(3): 1440-1463 (2015) - 2014
- [j2]Vicky Henderson, Gechun Liang:
Pseudo linear pricing rule for utility indifference valuation. Finance Stochastics 18(3): 593-615 (2014) - 2011
- [j1]Jianwei Lin, Gechun Liang, Sen Wu, Harry Zheng:
The Valuation of the Basket CDS in a Primary-Subsidiary Model. Asia Pac. J. Oper. Res. 28(2): 213-238 (2011)
Informal and Other Publications
- 2023
- [i3]Jonas Blessing, Lianzi Jiang, Michael Kupper, Gechun Liang:
Convergence rates for Chernoff-type approximations of convex monotone semigroups. CoRR abs/2310.09830 (2023) - 2021
- [i2]Mingshang Hu, Lianzi Jiang, Gechun Liang:
A monotone scheme for nonlinear partial integro-differential equations with the convergence rate of α-stable limit theorem under sublinear expectation. CoRR abs/2107.11076 (2021) - 2020
- [i1]Dingqian Sun, Gechun Liang, Shanjian Tang:
Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection. CoRR abs/2010.05707 (2020)
Coauthor Index
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