Research / Recherche
Research interests / intérêts de recherche
Stochastic analysis / analyse stochastique
Probability theory / théorie des probabilités
Mathematical finance / mathématiques financières
Machine learning / apprentissage automatique
Preprints / prépublications
Publications
Anna Kazeykina, Zhenjie Ren, Xiaolu Tan, Junjian Yang: Ergodicity of the underdamped mean-field Langevin dynamics. Ann. Appl. Probab. 34(3): 3181-3226, 2024. [PDF][arXiv][DOI].
Zhenjie Ren, Xiaolu Tan, Nizar Touzi, Junjian Yang: Entropic optimal planning for path-dependent mean field games. SIAM Journal on Control and Optimization, 61(3), 1415-1437, 2023. [PDF][arXiv][DOI].
Kaitong Hu, Zhenjie Ren, Junjian Yang: Principal-agent problem with multiple principals. Stochastics, 95(5), 878-905, 2023. [PDF][arXiv][DOI].
Yiqing Lin, Zhenjie Ren, Nizar Touzi, Junjian Yang: Random horizon principal-agent problems. SIAM Journal on Control and Optimization, 60(1), 355-384, 2022. [PDF][arXiv][DOI].
Zhenjie Ren, Nizar Touzi, Junjian Yang: Nonlinear predictable representation and L¹-solutions of backward SDEs and second-order backward SDEs. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 58(2): 639-666, 2022. [PDF][arXiv][DOI].
Yiqing Lin, Zhenjie Ren, Nizar Touzi, Junjian Yang: Second-order backward SDE with random terminal time. Electronic Journal of Probability, Volume 25, paper no. 99, 1-43, 2020. [PDF][arXiv][DOI].
Lingqi Gu, Yiqing Lin, Junjian Yang: Utility maximization problem under transaction costs: optimal dual processes and stability. Applied Mathematics & Optimization 84 (2), 1903-1922, 2021. [PDF][arXiv][DOI].
Christoph Czichowsky, Walter Schachermayer, Rémi Peyre, J. Yang: Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Finance & Stochastics, Volume 22, Issue 1, Pages 161-180, 2018. [PDF] [arXiv][HAL][DOI].
Lingqi Gu, Yiqing Lin, Junjian Yang: On the existence of shadow prices for optimal investment with random endowment. Stochastics, Volume 89, Issue 6-7: Proceedings of the Hammamet Conference, 19-23 October 2015, Pages 1082-1103, 2017. [PDF] [arXiv][DOI].
Yiqing Lin, Junjian Yang: Utility maximization problem with random endowment and transaction costs: when wealth may become negative. Stochastic Analysis and Applications, Volume 35, Issue 2, 2017, Pages 257-278. [PDF] [arXiv] [DOI].
Lingqi Gu, Yiqing Lin, Junjian Yang: On the dual problem of utility maximization in incomplete markets. Stochastic Processes and their Applications, Volume 126, Issue 4, April 2016, Pages 1019–1035. [PDF] [arXiv] [DOI].
Christoph Czichowsky, Walter Schachermayer, J. Yang: Shadow prices for continuous processes. Mathematical Finance, Volume 27, Issue 3, July 2017, Pages 623-658. [PDF] [arXiv] [DOI].
Presentations / Exposés
On the existence of shadow price processes: [PDF]
L1 Solutions of BSDE: [PDF]
Second-order BSDE with random terminal time: [PDF]
Random horizon principal-agent problem: [PDF]
Principal-agent problem with multiple principals: [PDF]
Path-dependent mean-field game optimal planning: [PDF]
On over-and underdamped mean-field Langevin dynamics: [PDF]