The Valuation of the Basket CDS in a Primary-Subsidiary Model. - Jianwei Lin; Gechun Liang; Sen Wu 003; Harry Zheng (Asia Pac. J. Oper. Res., 2011)

Pseudo linear pricing rule for utility indifference valuation. - Vicky Henderson; Gechun Liang (Finance Stochastics, 2014)

Stochastic Control Representations for Penalized Backward Stochastic Differential Equations. - Gechun Liang (SIAM J. Control. Optim., 2015)

A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk. - Vicky Henderson; Gechun Liang (SIAM J. Control. Optim., 2016)

Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE. - Gechun Liang; Thaleia Zariphopoulou (SIAM J. Financial Math., 2017)

An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. - Wing Fung Chong; Ying Hu; Gechun Liang; Thaleia Zariphopoulou (Finance Stochastics, 2019)

Dynkin Games with Poisson Random Intervention Times. - Gechun Liang; Haodong Sun (SIAM J. Control. Optim., 2019)

Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection. - Dingqian Sun; Gechun Liang; Shanjian Tang (CoRR, 2020)

Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes. - Ying Hu; Gechun Liang; Shanjian Tang (SIAM J. Control. Optim., 2020)

An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians. - Shuo Huang; Gechun Liang; Thaleia Zariphopoulou (SIAM J. Control. Optim., 2020)

A monotone scheme for nonlinear partial integro-differential equations with the convergence rate of α-stable limit theorem under sublinear expectation. - Mingshang Hu; Lianzi Jiang; Gechun Liang (CoRR, 2021)

A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models. - Juan Li; Wenqiang Li; Gechun Liang (SIAM J. Financial Math., 2021)

Convergence rates for Chernoff-type approximations of convex monotone semigroups. - Jonas Blessing; Lianzi Jiang; Michael Kupper; Gechun Liang (CoRR, 2023)

A New Monotonicity Condition for Ergodic Backward SDEs and Ergodic Control with Superquadratic Hamiltonians. - Joe Jackson; Gechun Liang (SIAM J. Control. Optim., 2023)

Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities. - David Hobson; Gechun Liang; Edward Wang (SIAM J. Financial Math., 2024)

On the rate of convergence for an α-stable central limit theorem under sublinear expectation. - Mingshang Hu; Lianzi Jiang; Gechun Liang (J. Appl. Probab., 2025)

Singular Stochastic Control Problems Motivated by the Optimal Sustainable Exploitation of an Ecosystem. - Gechun Liang; Zhesheng Liu; Mihail Zervos (SIAM J. Control. Optim., 2025)

Probabilistic approximation of fully nonlinear second-order PIDEs with convergence rates for the universal robust limit theorem. - Lianzi Jiang; Mingshang Hu; Gechun Liang (CoRR, 2025)