23 citations · 85 across the 29 of their papers we have counts for
13 papers · 1 filter
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]…
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…
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…
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…
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…
Optimal Switching at Poisson Random Intervention Times
Gechun Liang, Wei Wei
This paper introduces a new class of optimal switching problems, where the player is allowed to switch at a sequence of exogenous Poisson arrival times, and the underlying switchin…
Stochastic Control Representations for Penalized Backward Stochastic Differential Equations
Gechun Liang
This paper shows that penalized backward stochastic differential equation (BSDE), which is often used to approximate and solve the corresponding reflected BSDE, admits both optimal…
Fully coupled forward-backward stochastic dynamics and functional differential systems
Matteo Casserini, Gechun Liang
This article introduces and solves a general class of fully coupled forward-backward stochastic dynamics by investigating the associated system of functional differential equations…
A Functional Approach to FBSDEs and Its Application in Optimal Portfolios
G. Liang, T. Lyons, Z. Qian
In Liang et al (2009), the current authors demonstrated that BSDEs can be reformulated as functional differential equations, and as an application, they solved BSDEs on general fil…
Backward stochastic dynamics on a filtered probability space
Gechun Liang, Terry Lyons, Zhongmin Qian
We demonstrate that backward stochastic differential equations (BSDE) may be reformulated as ordinary functional differential equations on certain path spaces. In this framework, n…