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Yang, Junjian

  1. Second order backward SDE with random terminal time
    2018/02/06 by Yiqing Lin, Lin, Yiqing, Zhenjie Ren +5 · 4 citations
    Economics, Econometrics and Finance · Engineering · #60H10 #60H30 #FOS: Mathematics #Financial Risk and Volatility Modeling #Fluid Dynamics and Turbulent Flows #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications
  2. Random horizon principal-agent problems
    2020/02/25 by Yiqing Lin, Zhenjie Ren, Lin, Yiqing +5 · 3 citations
    Economics, Econometrics and Finance · Social Sciences · #Economic theories and models #FOS: Economics and business #FOS: Mathematics #General Economics (econ.GN) #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Stochastic processes and financial applications
  3. Principal-agent problem with multiple principals
    2019/03/30 by Kaitong Hu, Hu, Kaitong, Zhenjie Ren +3 · 3 citations
    Economics, Econometrics and Finance · #Stochastic processes and financial applications
  4. Ergodicity of the underdamped mean-field Langevin dynamics
    2020/07/29 by Anna Kazeykina, Zhenjie Ren, Kazeykina, Anna +5 · 2 citations
    Physics and Astronomy · Mathematics · #Model Reduction and Neural Networks #Markov Chains and Monte Carlo Methods #Quantum many-body systems
  5. Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
    2016/08/03 by Christoph Czichowsky, Rémi Peyre, Czichowsky, Christoph +5 · 2 citations
    Economics, Econometrics and Finance · #Stochastic processes and financial applications #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling
  6. Shadow prices for continuous processes
    2014/08/26 by Christoph Czichowsky, Walter Schachermayer, Czichowsky, Christoph +3 · 1 citation
    Economics, Econometrics and Finance · #60G48 #91G10 #93E20 #Capital Investment and Risk Analysis #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Stochastic processes and financial applications