23 citations · 85 across the 29 of their papers we have counts for
Showing 2013 · math.PRShow all
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math.PR2013★ 3 cited
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…
math.PR2013
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…