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Dr Libo Li

Dr Libo Li

Senior Lecturer
Science
School of Mathematics & Statistics

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, http://dx.doi.org/10.1007/978-981-97-0225-1_9
    Book Chapters | 2016
    Li L; Aksamit A, 2016, 'Projections, pseudo-stopping times and the immersion property', in Séminaire de Probabilités XLVIII, Springer
  • 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, http://dx.doi.org/10.3934/puqr.2024014
    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, http://dx.doi.org/10.1214/23-EJP927
    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, http://dx.doi.org/10.1080/17442508.2021.1979976
    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, http://dx.doi.org/10.1137/21M1396848
    Journal articles | 2022
    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
    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, http://dx.doi.org/10.1080/17442508.2019.1711092
    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, http://dx.doi.org/10.1016/j.spa.2020.10.002
    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, http://dx.doi.org/10.3390/a14010003
    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, http://dx.doi.org/10.1214/19-AIHP992
    Journal articles | 2020
    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
    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, http://dx.doi.org/10.1214/19-EJP352
    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, http://dx.doi.org/10.1007/s10543-019-00753-8
    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, http://dx.doi.org/10.1016/j.spl.2018.10.017
    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, http://dx.doi.org/10.1007/s00780-017-0349-z
    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, http://dx.doi.org/10.1080/07362994.2016.1198706
    Journal articles | 2014
    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
    Journal articles | 2014
    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
    Journal articles | 2012
    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
    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, http://dx.doi.org/10.1016/j.ijar.2008.10.004
    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, http://dx.doi.org/10.1016/j.joep.2007.01.008
  • Preprints | 2021
    Aksamit A; Li L; Rutkowski M, 2021, Generalized BSDEs with random time horizon in a progressively enlarged filtration, , http://dx.doi.org/10.48550/arxiv.2105.06654
    Preprints | 2020
    Frikha N; Li L, 2020, Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs, http://dx.doi.org/10.48550/arxiv.2001.07505
    Preprints | 2019
    Frikha N; Kohatsu-Higa A; Li L, 2019, Integration by parts formula for killed processes: A point of view from approximation theory, http://dx.doi.org/10.48550/arxiv.1908.04550
    Preprints | 2017
    Frikha N; Li L, 2017, Weak uniqueness and density estimates for sdes with coefficients depending on some path-functionals, http://dx.doi.org/10.48550/arxiv.1707.01295
    Preprints | 2016
    Frikha N; Kohatsu-Higa A; Li L, 2016, On the first hitting times of one dimensional elliptic diffusions, http://dx.doi.org/10.48550/arxiv.1609.09327
    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, http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000395049600021&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=891bb5ab6ba270e68a
    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', in Chiarella C; Novikov A (ed.), CONTEMPORARY QUANTITATIVE FINANCE: ESSAYS IN HONOUR OF ECKHARD PLATEN, Springer Science & Business Media, Sydney, AUSTRALIA, pp. 255 - +, presented at International Conference on Quantitative Methods in Finance, Sydney, AUSTRALIA, 01 December 2009, http://dx.doi.org/10.1007/978-3-642-03479-4_14