Gechun Liang

Publication Activity (10 Years)

Years Active: 2011-2023
Publications (10 Years): 12

Top Topics

Numerical Stability

Infinite Horizon

Convergence Rate

Stochastic Control

Top Venues

SIAM J. Control. Optim.

Finance Stochastics

SIAM J. Financial Math.

Publications

Joe Jackson, Gechun Liang
A New Monotonicity Condition for Ergodic Backward SDEs and Ergodic Control with Superquadratic Hamiltonians. SIAM J. Control. Optim. 61 (3) (2023)
Jonas Blessing, Lianzi Jiang, Michael Kupper, Gechun Liang
Convergence rates for Chernoff-type approximations of convex monotone semigroups. CoRR (2023)
Mingshang Hu, Lianzi Jiang, Gechun Liang
A monotone scheme for nonlinear partial integro-differential equations with the convergence rate of α-stable limit theorem under sublinear expectation. CoRR (2021)
Juan Li, Wenqiang Li, Gechun Liang
A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models. SIAM J. Financial Math. 12 (3) (2021)
Shuo Huang, Gechun Liang, Thaleia Zariphopoulou
An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians. SIAM J. Control. Optim. 58 (1) (2020)
Dingqian Sun, Gechun Liang, Shanjian Tang
Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection. CoRR (2020)
Ying Hu, Gechun Liang, Shanjian Tang
Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes. SIAM J. Control. Optim. 58 (4) (2020)
Wing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. Finance Stochastics 23 (1) (2019)
Gechun Liang, Haodong Sun
Dynkin Games with Poisson Random Intervention Times. SIAM J. Control. Optim. 57 (4) (2019)
Gechun Liang, Thaleia Zariphopoulou
Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE. SIAM J. Financial Math. 8 (1) (2017)
Vicky Henderson, Gechun Liang
A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk. SIAM J. Control. Optim. 54 (2) (2016)
Gechun Liang
Stochastic Control Representations for Penalized Backward Stochastic Differential Equations. SIAM J. Control. Optim. 53 (3) (2015)
Vicky Henderson, Gechun Liang
Pseudo linear pricing rule for utility indifference valuation. Finance Stochastics 18 (3) (2014)
Jianwei Lin, Gechun Liang, Sen Wu, Harry Zheng
The Valuation of the Basket CDS in a Primary-Subsidiary Model. Asia Pac. J. Oper. Res. 28 (2) (2011)