1 citations · 1 across the 3 of their papers we have counts for
4 papers
Forward Performance Processes under Multiple Default Risks
Wing Fung Chong, Roxana Dumitrescu, Gechun Liang +1
This article constructs a forward exponential utility in a market with multiple defaultable risks. Using the Jacod-Pham decomposition for random fields, we first characterize forwa…
Zero-sum Dynkin games under common and independent Poisson constraints
David Hobson, Gechun Liang, Edward Wang
Zero-sum Dynkin games under Poisson constraints, where players can only stop at the event times of a Poisson process, have been studied widely in the recent literature. The constra…
Representation of forward performance criteria with random endowment via FBSDE and its application to forward optimized certainty equivalent
Gechun Liang, Yifan Sun, Thaleia Zariphopoulou
We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept…
Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management
Gechun Liang, Moris S. Strub, Yuwei Wang
We introduce predictable relative forward performance processes (PRFPP) as a new framework for studying portfolio management within a competitive and incomplete market environment.…