Liang, Gechun

1. Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
   2017/07/01 by Hu, Ying, Liang, Gechun, Tang, Shanjian · 3 citations
   #60H10 #60H30 #91G10 #91G80 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)
2. Vague and weak convergence of signed measures
   2022/05/26 by Herdegen, Martin, Liang, Gechun, Shelley, Osian · 2 citations
   #28A33 (Primary) 60B10 (Secondary) #FOS: Mathematics #Functional Analysis (math.FA) #Probability (math.PR)
3. Singular stochastic control problems motivated by the optimal sustainable exploitation of an ecosystem
   2020/08/12 by Gechun Liang, Liang, Gechun, Liu, Zhesheng +1 · 2 citations
   Economics, Econometrics and Finance · Social Sciences · #60J60 #91B76 #93E20 #Climate Change Policy and Economics #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications
4. Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE
   2015/11/16 by Liang, Gechun, Zariphopoulou, Thaleia · 1 citation
   #FOS: Economics and business #Mathematical Finance (q-fin.MF)
5. A new monotonicity condition for ergodic BSDEs and ergodic control with super-quadratic Hamiltonians
   2021/11/20 by Jackson, Joe, Liang, Gechun · 1 citation
   #60H30 #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
6. A robust α-stable central limit theorem under sublinear expectation without integrability condition
   2023/01/18 by Lianzi Jiang, Gechun Liang, Jiang, Lianzi +1 · 1 citation
   Environmental Science · Mathematics · #Hydrology and Drought Analysis #Fuzzy Systems and Optimization #Statistical Distribution Estimation and Applications
7. Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management
   2023/11/08 by Liang, Gechun, Strub, Moris S., Wang, Yuwei · 1 citation
   #FOS: Economics and business #Mathematical Finance (q-fin.MF)