Second order backward SDE with random terminal time Y Lin, Z Ren, N Touzi, J Yang | 32 | 2020 |
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs C Czichowsky, R Peyre, W Schachermayer, J Yang Finance and Stochastics 22, 161-180, 2018 | 28 | 2018 |
Principal-agent problem with multiple principals K Hu, Z Ren, J Yang Stochastics 95 (5), 878-905, 2023 | 26 | 2023 |
Shadow prices for continuous processes C Czichowsky, W Schachermayer, J Yang Mathematical Finance 27 (3), 623-658, 2017 | 25 | 2017 |
Random horizon principal-agent problems Y Lin, Z Ren, N Touzi, J Yang SIAM Journal on Control and Optimization 60 (1), 355-384, 2022 | 23 | 2022 |
Ergodicity of the underdamped mean-field Langevin dynamics A Kazeykina, Z Ren, X Tan, J Yang arXiv preprint arXiv:2007.14660, 2020 | 16 | 2020 |
Utility maximization problem with random endowment and transaction costs: when wealth may become negative Y Lin, J Yang Stochastic Analysis and Applications 35 (2), 257-278, 2017 | 7 | 2017 |
On the existence of shadow prices for optimal investment with random endowment L Gu, Y Lin, J Yang Stochastics 89 (6-7), 1082-1103, 2017 | 5 | 2017 |
Entropic optimal planning for path-dependent mean field games Z Ren, X Tan, N Touzi, J Yang SIAM Journal on Control and Optimization 61 (3), 1415-1437, 2023 | 4 | 2023 |
On the dual problem of utility maximization in incomplete markets L Gu, Y Lin, J Yang Stochastic Processes and their Applications 126 (4), 1019-1035, 2016 | 3 | 2016 |
Nonlinear predictable representation and -solutions of backward SDEs and second-order backward SDEs Z Ren, N Touzi, J Yang Annales de l'Institut Henri Poincare (B) Probabilites et statistiques 58 (2 …, 2022 | 1 | 2022 |
Utility Maximization Problem with Transaction Costs: Optimal Dual Processes and Stability L Gu, Y Lin, J Yang Applied Mathematics & Optimization 84, 1903-1922, 2021 | 1 | 2021 |
A note on utility maximization with transaction costs and random endoment: Numéraire-based model and convex duality L Gu, Y Lin, J Yang arXiv preprint arXiv:1602.01070, 2016 | 1 | 2016 |
Nonlinear predictable representation and L1-solutions of second-order backward SDEs Z Ren, N Touzi, J Yang | | 2019 |