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Recent Working Papers

Gechun Liang's articles on arXiv

[1]  http://arxiv.org/abs/2008.05576v3 [ html pdf ]
Singular stochastic control problems motivated by the optimal sustainable exploitation of an ecosystem
Gechun Liang, Zhesheng Liu, Mihail Zervos
Comments: 25 pages, 1 figure
Subjects: Optimization and Control (math.OC); Optimization and Control (math.OC),Probability (math.PR),93E20, 60J60, 91B76
[2]  http://arxiv.org/abs/2411.07134v1 [ html pdf ]
Zero-sum Dynkin games under common and independent Poisson constraints
David Hobson, Gechun Liang, Edward Wang
Comments: 25 pages
Subjects: Optimization and Control (math.OC); Optimization and Control (math.OC),Probability (math.PR),60G40, 91A05, 49L20
[3]  http://arxiv.org/abs/1707.00199v5 [ html pdf ]
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
Comments: 101 pages
Subjects: Probability (math.PR); Probability (math.PR),Mathematical Finance (q-fin.MF),91G10, 91G80, 60H10, 60H30
[4]  http://arxiv.org/abs/2111.02554v3 [ html pdf ]
Callable convertible bonds under liquidity constraints and hybrid priorities
David Hobson, Gechun Liang, Edward Wang
Comments: 45 pages
Subjects: Mathematical Finance (q-fin.MF); Mathematical Finance (q-fin.MF),Optimization and Control (math.OC),60G40, 91A05, 91G80, 93E20
[5]  http://arxiv.org/abs/2410.01378v1 [ html pdf ]
Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach
Wing Fung Chong, Gechun Liang
Comments: 36 pages
Subjects: Portfolio Management (q-fin.PM); Portfolio Management (q-fin.PM),Mathematical Finance (q-fin.MF),60H30, 91G10
[6]  http://arxiv.org/abs/2407.17975v1 [ html pdf ]
Recursive Optimal Stopping with Poisson Stopping Constraints
Gechun Liang, Wei Wei, Zhen Wu, Zhenda Xu
Comments: 27 pages
Subjects: Optimization and Control (math.OC); Optimization and Control (math.OC),Mathematical Finance (q-fin.MF),60H10, 60G40, 93E20
[7]  http://arxiv.org/abs/2107.11076v3 [ html pdf ]
On the rate of convergence for an $\alpha$-stable central limit theorem under sublinear expectation
Mingshang Hu, Lianzi Jiang, Gechun Liang
Comments: 25 pages
Subjects: Probability (math.PR); Probability (math.PR),Numerical Analysis (math.NA),Numerical Analysis (math.NA),60F05, 60E07, 65M15
[8]  http://arxiv.org/abs/1904.07184v4 [ html pdf ]
A monotone scheme for G-equations with application to the explicit convergence rate of robust central limit theorem
Shuo Huang, Gechun Liang
Comments: 33 pages
Subjects: Probability (math.PR); Probability (math.PR),Numerical Analysis (math.NA),Numerical Analysis (math.NA),60F05, 60H30, 65M15
[9]  http://arxiv.org/abs/2401.00103v1 [ html pdf ]
Representation of forward performance criteria with random endowment via FBSDE and application to forward optimized certainty equivalent
Gechun Liang, Yifan Sun, Thaleia Zariphopoulou
Comments: 50 pages
Subjects: Portfolio Management (q-fin.PM); Portfolio Management (q-fin.PM),Probability (math.PR),91G10, 91G80, 60H30
[10]  http://arxiv.org/abs/2311.04841v2 [ html pdf ]
Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management
Gechun Liang, Moris S. Strub, Yuwei Wang
Subjects: Mathematical Finance (q-fin.MF)

[ Showing 10 of 37 total entries, additional 27 entries available at arXiv.org ]
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