4 papers
Singular stochastic control problems motivated by the optimal sustainable exploitation of an ecosystem
Gechun Liang, Zhesheng Liu, Mihail Zervos
We derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion…
Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
Ying Hu, Gechun Liang, Shanjian Tang
This memoir presents a systematic study of the utility maximization problem of an investor in a constrained and unbounded financial market. Building upon the work of Hu et al. (200…
Callable convertible bonds under liquidity constraints and hybrid priorities
David Hobson, Gechun Liang, Edward Wang
This paper investigates the callable convertible bond problem in the presence of a liquidity constraint modelled by Poisson signals. We assume that neither the bondholder nor the f…
On the rate of convergence for an -stable central limit theorem under sublinear expectation
Mingshang Hu, Lianzi Jiang, Gechun Liang
In this paper, we propose a monotone approximation scheme for a class of fully nonlinear degenerate partial integro-differential equations (PIDEs) which characterize the nonlinear…