Gechun Liang
Orcid: 0000-0003-0752-0773
According to our database1,
Gechun Liang
authored at least 14 papers
between 2011 and 2023.
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Bibliography
2023
A New Monotonicity Condition for Ergodic Backward SDEs and Ergodic Control with Superquadratic Hamiltonians.
SIAM J. Control. Optim., June, 2023
CoRR, 2023
2021
A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models.
SIAM J. Financial Math., 2021
A monotone scheme for nonlinear partial integro-differential equations with the convergence rate of α-stable limit theorem under sublinear expectation.
CoRR, 2021
2020
An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians.
SIAM J. Control. Optim., 2020
SIAM J. Control. Optim., 2020
Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection.
CoRR, 2020
2019
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior.
Finance Stochastics, 2019
2017
Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE.
SIAM J. Financial Math., 2017
2016
A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk.
SIAM J. Control. Optim., 2016
2015
Stochastic Control Representations for Penalized Backward Stochastic Differential Equations.
SIAM J. Control. Optim., 2015
2014
Finance Stochastics, 2014
2011
Asia Pac. J. Oper. Res., 2011