Junjian Yang

SHADOW PRICES FOR CONTINUOUS PROCESSES

Christoph Czichowsky, Walter Schachermayer, Junjian Yang · Mathematical Finance · 2015 · 31 citations · Full text

Social Sciences, Economics, Finance +11

Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs

Christoph Czichowsky, Rémi Peyre, Walter Schachermayer et al. · Finance and Stochastics · 2017 · 23 citations · Full text

Business, Economics, Finance +16

Random Horizon Principal-Agent Problems

Yiqing Lin, Zhenjie Ren, Nizar Touzi et al. · SIAM Journal on Control and Optimization · 2022 · 19 citations · Full text

Business, Decision Sciences, Agency Theory +11

Second order backward SDE with random terminal time

Yiqing Lin, Zhenjie Ren, Nizar Touzi et al. · Electronic Journal of Probability · 2020 · 18 citations · Full text

Engineering, Mathematics, Probability Theory +15

Second order backward SDE with random terminal time

Yiqing Lin, Zhenjie Ren, Nizar Touzi et al. · arXiv (Cornell University) · 2018 · 11 citations · Full text

Engineering, Mathematics, Probability Theory +15