Dr Libo Li

PostDoc - Ritsumeikan University, Department of Mathematical Science, Shiga, Japan, 2013 - 2014

PostDoc - Universite d’Evry Val d’Essonne, Departement de Mathematiques, Evry, France, 2012

PhD - University of Sydney, Sydney, Australia

E-mail

libo.li@unsw.edu.au

Book Chapters | 2024

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,

Book Chapters | 2016

Li L; Aksamit A, 2016, 'Projections, pseudo-stopping times and the immersion property', in Séminaire de Probabilités XLVIII, Springer
Journal articles | 2025

Li L; Liu G, 2025, 'Positivity-preserving numerical scheme for the alpha-constant elasticity of variance process', Journal of Mathematical Analysis and Applications, 547,

Journal articles | 2024

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,

Journal articles | 2024

Li L; Wu Z, 2024, 'Defaultable perpetual American put option in a last passage time model', Statistics and Probability Letters, 209,

Journal articles | 2023

Aksamit A; Li L; Rutkowski M, 2023, 'Generalized BSDE and reflected BSDE with random time horizon^*', Electronic Journal of Probability, 28, pp. 1 - 41,

Journal articles | 2022

Gapeev PV; Li L, 2022, 'Optimal stopping problems for maxima and minima in models with asymmetric information', Stochastics, 94, pp. 602 - 628,

Journal articles | 2022

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,

Journal articles | 2022

Li L, 2022, 'Characterisation of Honest Times and Optional Semimartingales of Class- (Σ)', Journal of Theoretical Probability, 35, pp. 2145 - 2175,

Journal articles | 2021

Frikha N; Li L, 2021, 'Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients', Stochastics, 93, pp. 167 - 195,

Journal articles | 2021

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,

Journal articles | 2021

Gapeev PV; Li L; Wu Z, 2021, 'Perpetual american cancellable standard options in models with last passage times', Algorithms, 14, pp. 1 - 11,

Journal articles | 2020

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,

Journal articles | 2020

Jeanblanc M; Li L, 2020, 'Characteristics and Constructions of Default Times', SIAM Journal on Financial Mathematics, 11, pp. 720 - 749,

Journal articles | 2019

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,

Journal articles | 2019

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,

Journal articles | 2019

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,

Journal articles | 2018

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,

Journal articles | 2016

Aksamit A; Li L, 2016, 'Projections, pseudo-stopping times and the immersion property', Séminaire de Probabilités XLVIII, pp. 459 - 467

Journal articles | 2016

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,

Journal articles | 2014

Li L; Rutkowski M, 2014, 'Admissibility of generic market models of forward swap rates', Mathematical Finance, 24, pp. 728 - 761,

Journal articles | 2014

Li L; Rutkowski M, 2014, 'Progressive enlargements of filtrations with pseudo-honest times', Annals of Applied Probability, 24, pp. 1509 - 1553,

Journal articles | 2012

Li L; Rutkowski M, 2012, 'Random times and multiplicative systems', Stochastic Processes and their Applications, 122, pp. 2053 - 2077,

Journal articles | 2009

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,

Journal articles | 2007

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
Preprints | 2021

Aksamit A; Li L; Rutkowski M, 2021, Generalized BSDEs with random time horizon in a progressively enlarged filtration, ,

Preprints | 2020

Frikha N; Li L, 2020, Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs,

Preprints | 2019

Frikha N; Kohatsu-Higa A; Li L, 2019, Integration by parts formula for killed processes: A point of view from approximation theory,

Preprints | 2017

Frikha N; Li L, 2017, Weak uniqueness and density estimates for sdes with coefficients depending on some path-functionals,

Preprints | 2016

Frikha N; Kohatsu-Higa A; Li L, 2016, On the first hitting times of one dimensional elliptic diffusions,

Conference Papers | 2011

Li L; Rutkowski M, 2011, 'Market Models of Forward CDS Spreads', in KohatsuHiga A; Privault N; Shen SJ (eds.), STOCHASTIC ANALYSIS WITH FINANCIAL APPLICATIONS, HONG KONG 2009, Springer Science & Business Media, City Univ Hong Kong, Hong Kong, PEOPLES R CHINA, pp. 361 - 411, presented at Workshop on Stochastic Analysis and Finance, City Univ Hong Kong, Hong Kong, PEOPLES R CHINA, 29 June 2009 - 03 July 2009,

Conference Papers | 2010

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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