23 citations · 85 across the 29 of their papers we have counts for
33 papers
A robust -stable central limit theorem under sublinear expectation without integrability condition
Lianzi Jiang, Gechun Liang
This article relaxes the integrability condition imposed in the literature for the robust -stable central limit theorem under sublinear expectation. Specifically, for $α\in(0,1]…
Vague and weak convergence of signed measures
Martin Herdegen, Gechun Liang, Osian Shelley
Necessary and sufficient conditions for weak and vague convergence of measures are important for a diverse host of applications. This paper aims to give a comprehensive description…
A continuity theorem for generalised signed measures with an application to Karamata's Tauberian theorem
Martin Herdegen, Gechun Liang, Osian Shelley
The Laplace transforms of positive measures on converge if and only if their distribution functions converge at continuity points of the limiting measure. We exten…
A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation
Mingshang Hu, Lianzi Jiang, Gechun Liang +1
This article establishes a universal robust limit theorem under a sublinear expectation framework. Under moment and consistency conditions, we show that, for , the i.i.d…
A new monotonicity condition for ergodic BSDEs and ergodic control with super-quadratic Hamiltonians
Joe Jackson, Gechun Liang
We establish the existence (and in an appropriate sense uniqueness) of Markovian solutions for ergodic BSDEs under a novel monotonicity condition. Our monotonicity condition allows…
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…
Predictable Forward Performance Processes: Infrequent Evaluation and Applications to Human-Machine Interactions
Gechun Liang, Moris S. Strub, Yuwei Wang
We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market. The key…
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…
Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection
Dingqian Sun, Gechun Liang, Shanjian Tang
We study the quantitative stability of the solutions to Markovian quadratic reflected BSDEs with bounded terminal data. By virtue of BMO martingale and change of measure techniques…
Risk-sensitive Dynkin games with heterogeneous Poisson random intervention times
Gechun Liang, Haodong Sun
The paper solves constrained Dynkin games with risk-sensitive criteria, where two players are allowed to stop at two independent Poisson random intervention times, via the theory o…
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…
A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models
Juan Li, Wenqiang Li, Gechun Liang
This paper studies an optimal forward investment problem in an incomplete market with model uncertainty, in which the underlying stocks depend on the correlated stochastic factors.…
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
Gechun Liang, Xingchun Wang
This paper proposes a hybrid credit risk model, in closed form, to price vulnerable options with stochastic volatility. The distinctive features of the model are threefold. First,…
A monotone scheme for G-equations with application to the explicit convergence rate of robust central limit theorem
Shuo Huang, Gechun Liang
We propose a monotone approximation scheme for a class of fully nonlinear PDEs called G-equations. Such equations arise often in the characterization of G-distributed random variab…
Systems of ergodic BSDEs arising in regime switching forward performance processes
Ying Hu, Gechun Liang, Shanjian Tang
We introduce and solve a new type of quadratic backward stochastic differential equation systems defined in an infinite time horizon, called \emph{ergodic BSDE systems}. Such syste…
Optimal investment and consumption with forward preferences and uncertain parameters
Wing Fung Chong, Gechun Liang
This paper studies robust forward investment and consumption preferences within a zero-volatility context. Different from previous works, we consider an incomplete financial market…
Analysis of the optimal exercise boundary of American put options with delivery lags
Gechun Liang, Zhou Yang
A make-your-mind-up option is an American derivative with delivery lags. We show that its put option can be decomposed as a European put and a new type of American-style derivative…
Dynkin games with Poisson random intervention times
Gechun Liang, Haodong Sun
This paper introduces a new class of Dynkin games, where the two players are allowed to make their stopping decisions at a sequence of exogenous Poisson arrival times. The value fu…
An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians
Shuo Huang, Gechun Liang, Thaleia Zariphopoulou
We propose an approximation scheme for a class of semilinear parabolic equations that are convex and coercive in their gradients. Such equations arise often in pricing and portfoli…
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
Zhou Yang, Gechun Liang, Chao Zhou
This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending r…
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…
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
Wing Fung Chong, Ying Hu, Gechun Liang +1
Using elements from the theory of ergodic backward stochastic differential equations (BSDE), we study the behavior of forward entropic risk measures. We provide their general repre…
Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE
Gechun Liang, Thaleia Zariphopoulou
In an incomplete market, with incompleteness stemming from stochastic factors imperfectly correlated with the underlying stocks, we derive representations of homothetic (power, exp…
Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints
Huiwen Yan, Gechun Liang, Zhou Yang
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differ…