Dr Libo   Li
Senior Lecturer

Dr Libo Li

Science
Sch of Mathematics & Statistic

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


Publications

  • Journal articles | 2021
    Dr Libo Li
    Frikha N; Li L, 2021, 'Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs', Stochastic Processes and their Applications, vol. 132, pp. 76 - 107, http://dx.doi.org/10.1016/j.spa.2020.10.002
    Journal articles | 2021
    Dr Libo Li
    Frikha N; Li L, 2021, 'Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients', Stochastics, vol. 93, pp. 167 - 195, http://dx.doi.org/10.1080/17442508.2019.1711092
    Journal articles | 2020
    Dr Libo Li
    Jeanblanc M; Li L, 2020, 'Characteristics and Constructions of Default Times', SIAM Journal on Financial Mathematics, vol. 11, pp. 720 - 749, http://dx.doi.org/10.1137/19M1274912
    Journal articles | 2020
    Dr Libo Li
    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, vol. 56, pp. 1002 - 1040, http://dx.doi.org/10.1214/19-AIHP992
    Journal articles | 2019
    Dr Libo Li
    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, vol. 24, http://dx.doi.org/10.1214/19-EJP352
    Journal articles | 2019
    Dr Libo Li
    Li L; Taguchi D, 2019, 'On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case', BIT Numerical Mathematics, vol. 59, pp. 747 - 774, http://dx.doi.org/10.1007/s10543-019-00753-8
    Journal articles | 2019
    Dr Libo Li
    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, vol. 146, pp. 15 - 26, http://dx.doi.org/10.1016/j.spl.2018.10.017
    Journal articles | 2018
    Dr Libo Li
    Jeanblanc M; Li L; Song S, 2018, 'An enlargement of filtration formula with applications to multiple non-ordered default times', Finance and Stochastics, vol. 22, pp. 205 - 240, http://dx.doi.org/10.1007/s00780-017-0349-z
    Journal articles | 2016
    Dr Libo Li
    Kohatsu-Higa A; Li L, 2016, 'Regularity of the density of a stable-like driven SDE with Hölder continuous coefficients', Stochastic Analysis and Applications, vol. 34, pp. 979 - 1024, http://dx.doi.org/10.1080/07362994.2016.1198706
    Journal articles | 2016
    Dr Libo Li
    Aksamit A; Li L, 2016, 'Projections, pseudo-stopping times and the immersion property', Séminaire de Probabilités XLVIII, pp. 459 - 467
    Journal articles | 2014
    Dr Libo Li
    Li L; Rutkowski M, 2014, 'Progressive enlargements of filtrations with pseudo-honest times', Annals of Applied Probability, vol. 24, pp. 1509 - 1553, http://dx.doi.org/10.1214/13-AAP955
    Journal articles | 2014
    Dr Libo Li
    Li L; Rutkowski M, 2014, 'Admissibility of generic market models of forward swap rates', Mathematical Finance, vol. 24, pp. 728 - 761, http://dx.doi.org/10.1111/mafi.12001
    Journal articles | 2012
    Dr Libo Li
    Li L; Rutkowski M, 2012, 'Random times and multiplicative systems', Stochastic Processes and their Applications, vol. 122, pp. 2053 - 2077, http://dx.doi.org/10.1016/j.spa.2012.02.011
    Journal articles | 2009
    Dr Libo Li
    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, vol. 50, pp. 515 - 520, http://dx.doi.org/10.1016/j.ijar.2008.10.004
    Journal articles | 2007
    Dr Libo Li
    Li S; Zheng R; Li L, 2007, 'Do shared features of offered alternatives have an effect in consumer choice?', Journal of Economic Psychology, vol. 28, pp. 658 - 677, http://dx.doi.org/10.1016/j.joep.2007.01.008
  • Conference Papers | 2011
    Dr Libo Li
    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
    Dr Libo Li
    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

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