By Dr Libo Li

Book Chapters

Frikha N; Kohatsu-Higa A; Li L, 2024, 'Integration by Parts Formula for Exit Times of One Dimensional Diffusions', in Springer INdAM Series, pp. 289 - 314, http://dx.doi.org/10.1007/978-981-97-0225-1_9

Li L; Aksamit A, 2016, 'Projections, pseudo-stopping times and the immersion property', in Séminaire de Probabilités XLVIII, Springer

Journal articles

Li L; Wu Z, 2024, 'Defaultable perpetual American put option in a last passage time model', Statistics and Probability Letters, 209, http://dx.doi.org/10.1016/j.spl.2023.110018

Li L; Liu R; Rutkowski M, 2024, 'Penalization schemes for BSDEs and reflected BSDEs with generalized driver', Probability, Uncertainty and Quantitative Risk, 9, pp. 301 - 338, http://dx.doi.org/10.3934/puqr.2024014

Aksamit A; Li L; Rutkowski M, 2023, 'Generalized BSDE and reflected BSDE with random time horizon^*', Electronic Journal of Probability, 28, pp. 1 - 41, http://dx.doi.org/10.1214/23-EJP927

Li L, 2022, 'Characterisation of Honest Times and Optional Semimartingales of Class- (Σ)', Journal of Theoretical Probability, 35, pp. 2145 - 2175, http://dx.doi.org/10.1007/s10959-021-01154-w

Gapeev PV; Li L, 2022, 'Optimal stopping problems for maxima and minima in models with asymmetric information', Stochastics, 94, pp. 602 - 628, http://dx.doi.org/10.1080/17442508.2021.1979976

Gapeev PV; Li L, 2022, 'Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information', SIAM Journal on Financial Mathematics, 13, pp. 773 - 801, http://dx.doi.org/10.1137/21M1396848

Gapeev PV; Li L; Wu Z, 2021, 'Perpetual american cancellable standard options in models with last passage times', Algorithms, 14, pp. 1 - 11, http://dx.doi.org/10.3390/a14010003

Frikha N; Li L, 2021, 'Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs', Stochastic Processes and their Applications, 132, pp. 76 - 107, http://dx.doi.org/10.1016/j.spa.2020.10.002

Frikha N; Li L, 2021, 'Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients', Stochastics, 93, pp. 167 - 195, http://dx.doi.org/10.1080/17442508.2019.1711092

Jeanblanc M; Li L, 2020, 'Characteristics and Constructions of Default Times', SIAM Journal on Financial Mathematics, 11, pp. 720 - 749, http://dx.doi.org/10.1137/19M1274912

Frikha N; Li L, 2020, 'Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals', Annales de l'institut Henri Poincare (B) Probability and Statistics, 56, pp. 1002 - 1040, http://dx.doi.org/10.1214/19-AIHP992

Li L; Taguchi D, 2019, 'On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case', BIT Numerical Mathematics, 59, pp. 747 - 774, http://dx.doi.org/10.1007/s10543-019-00753-8

Li L; Taguchi D, 2019, 'On the Euler–Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients', Statistics and Probability Letters, 146, pp. 15 - 26, http://dx.doi.org/10.1016/j.spl.2018.10.017

Frikha N; Kohatsu-Higa A; Li L, 2019, 'Integration by parts formula for killed processes: A point of view from approximation theory', Electronic Journal of Probability, 24, http://dx.doi.org/10.1214/19-EJP352

Jeanblanc M; Li L; Song S, 2018, 'An enlargement of filtration formula with applications to multiple non-ordered default times', Finance and Stochastics, 22, pp. 205 - 240, http://dx.doi.org/10.1007/s00780-017-0349-z

Kohatsu-Higa A; Li L, 2016, 'Regularity of the density of a stable-like driven SDE with Hölder continuous coefficients', Stochastic Analysis and Applications, 34, pp. 979 - 1024, http://dx.doi.org/10.1080/07362994.2016.1198706

Li L; Rutkowski M, 2014, 'Admissibility of generic market models of forward swap rates', Mathematical Finance, 24, pp. 728 - 761, http://dx.doi.org/10.1111/mafi.12001

Li L; Rutkowski M, 2014, 'Progressive enlargements of filtrations with pseudo-honest times', Annals of Applied Probability, 24, pp. 1509 - 1553, http://dx.doi.org/10.1214/13-AAP955

Li L; Rutkowski M, 2012, 'Random times and multiplicative systems', Stochastic Processes and their Applications, 122, pp. 2053 - 2077, http://dx.doi.org/10.1016/j.spa.2012.02.011

Li LB; He SH; Li S; Xu JH; Rao LL, 2009, 'A closer look at the Russian roulette problem: A re-examination of the nonlinearity of the prospect theory's decision weight π', International Journal of Approximate Reasoning, 50, pp. 515 - 520, http://dx.doi.org/10.1016/j.ijar.2008.10.004

Li S; Zheng R; Li L, 2007, 'Do shared features of offered alternatives have an effect in consumer choice?', Journal of Economic Psychology, 28, pp. 658 - 677

Conference Papers

Li L; Rutkowski M, 2011, 'Market Models of Forward CDS Spreads', Springer Science & Business Media

Gapeev P; Jeanblanc M; Li L; Rutkowski M, 2010, 'Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives', Springer Science & Business Media

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