| Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE G Liang, T Zariphopoulou SIAM Journal on Financial Mathematics 8 (1), 344-372, 2017 | 45 | 2017 |
| Backward stochastic dynamics on a filtered probability space G Liang, T Lyons, Z Qian Annals of probability 39 (4), 1422-1448, 2011 | 41 | 2011 |
| A multiperiod bank run model for liquidity risk G Liang, E Lütkebohmert, Y Xiao Review of Finance 18 (2), 803-842, 2014 | 40 | 2014 |
| An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior WF Chong, Y Hu, G Liang, T Zariphopoulou Finance and Stochastics 23 (1), 239-273, 2019 | 34 | 2019 |
| A modified structural model for credit risk G Liang, L Jiang IMA Journal of Management Mathematics 23 (2), 147-170, 2012 | 32 | 2012 |
| A multidimensional exponential utility indifference pricing model with applications to counterparty risk V Henderson, G Liang SIAM Journal on Control and Optimization 54 (2), 690-717, 2016 | 24 | 2016 |
| Optimal switching at Poisson random intervention times G Liang, W Wei Discrete and Continuous Dynamical Systems - Series B 21 (5), 1483-1505, 2016 | 22 | 2016 |
| Pseudo linear pricing rule for utility indifference valuation V Henderson, G Liang Finance and Stochastics 18 (3), 593--615, 2014 | 22 | 2014 |
| Systems of ergodic BSDEs arising in regime switching forward performance processes Y Hu, G Liang, S Tang SIAM Journal on Control and Optimization 58 (4), 2503-2534, 2020 | 21 | 2020 |
| The credit risk and pricing of OTC options G Liang, X Ren Asia-Pacific Financial Markets 14, 45-68, 2007 | 20 | 2007 |
| Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs Z Yang, G Liang, C Zhou Mathematics and Financial Economics 13, 393-427, 2019 | 19 | 2019 |
| Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model G Liang, E Lütkebohmert, W Wei Mathematics and Financial Economics 9 (4), 271--302, 2015 | 19 | 2015 |
| Stochastic control representations for penalized backward stochastic differential equations G Liang SIAM Journal on Control and Optimization 53 (3), 1440-1463, 2015 | 17 | 2015 |
| A monotone scheme for G-equations with application to the explicit convergence rate of robust central limit theorem S Huang, G Liang Journal of Differential Equations 398, 1-37, 2024 | 16* | 2024 |
| Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes G Liang, X Wang Review of Derivatives Research 24 (1), 1-30, 2021 | 16 | 2021 |
| Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions G Liang, MS Strub, Y Wang Mathematical Finance 33 (4), 1248-1286, 2023 | 11* | 2023 |
| An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians S Huang, G Liang, T Zariphopoulou SIAM Journal on Control and Optimization 58 (1), 165-191, 2020 | 10 | 2020 |
| Dynkin game of convertible bonds and their optimal strategy H Yan, F Yi, Z Yang, G Liang Journal of Mathematical Analysis and Applications 426, 64-88, 2015 | 10 | 2015 |
| Optimal investment and consumption with forward preferences and uncertain parameters WF Chong, G Liang Probability, Uncertainty and Quantitative Risk 9 (1), 65-84, 2024 | 9* | 2024 |
| Dynkin games with Poisson random intervention times G Liang, H Sun SIAM Journal on Control and Optimization 57 (4), 2962-2991, 2019 | 9 | 2019 |
WEI WEIAssistant Professor, Department of Actuarial Mathematics and Statistics, Heriot-Watt UniversityVerified email at hw.ac.uk
