Gechun Liang

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math.PR2024

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…

math.PR2024

On the rate of convergence for an $I^\pm$ -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…

Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility

On the rate of convergence for an I^±-stable central limit theorem under sublinear expectation

On the rate of convergence for an $I^\pm$ -stable central limit theorem under sublinear expectation