Research interests / intérêts de recherche
- Stochastic analysis / analyse stochastique
- Probability theory / théorie des probabilités
- Mathematical finance / mathématiques financières
- Ch. Czichowsky, W. Schachermayer, R. Peyre, J. Yang: Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. to appear in Finance & Stochastics, 2017. [PDF] [arXiv]
- L. Gu, Y. Lin, J. 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: 10.1080/17442508.2017.1346656]
- Y. Lin, J. 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: 10.1080/07362994.2016.1241181].
- L. Gu, Y. Lin, J. 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: 10.1016/j.spa.2015.10.009].
- Ch. Czichowsky, W. Schachermayer, J. Yang: Shadow prices for continuous processes. Mathematical Finance, Volume 27, Issue 3, July 2017, Pages 623-658. [PDF] [arXiv] [DOI: 10.1111/mafi.12103].