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