23 citations · 85 across the 29 of their papers we have counts for
5 papers · 1 filter
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…