11 citations · 27 across the 8 of their papers we have counts for
9 papers
Non-concave utility maximization problem with transaction costs and a given consistent price system
Lingqi Gu, Yiqing Lin
We investigate expected utility maximization problems from the terminal liquidation value in continuous time in markets with transaction costs and one fixed consistent price system…
Uniform-in-time propagation of chaos for kinetic mean field Langevin dynamics
Fan Chen, Yiqing Lin, Zhenjie Ren +1
We study the kinetic mean field Langevin dynamics under the functional convexity assumption of the mean field energy functional. Using hypocoercivity, we first establish the expone…
Random horizon principal-agent problems
Yiqing Lin, Zhenjie Ren, Nizar Touzi +1
We consider a general formulation of the random horizon Principal-Agent problem with a continuous payment and a lump-sum payment at termination. In the European version of the prob…
Second order backward SDE with random terminal time
Yiqing Lin, Zhenjie Ren, Nizar Touzi +1
Backward stochastic differential equations extend the martingale representation theorem to the nonlinear setting. This can be seen as path-dependent counterpart of the extension fr…
Utility maximization problem under transaction costs: optimal dual processes and stability
Lingqi Gu, Yiqing Lin, Junjian Yang
This paper discusses the numéraire-based utility maximization problem in markets with proportional transaction costs. In particular, the investor is required to liquidate all her p…
Utility maximization problem with random endowment and transaction costs: when wealth may become negative
Yiqing Lin, Junjian Yang
In this paper we study the problem of maximizing expected utility from the terminal wealth with proportional transaction costs and random endowment. In the context of the existence…
A note on utility maximization with transaction costs and random endoment: numéraire-based model and convex duality
Lingqi Gu, Yiqing Lin, Junjian Yang
In this note, we study the utility maximization problem on the terminal wealth under proportional transaction costs and bounded random endowment. In particular, we restrict ourselv…
On the existence of shadow prices for optimal investment with random endowment
Lingqi Gu, Yiqing Lin, Junjian Yang
In this paper, we consider a numéraire-based utility maximization problem under constant proportional transaction costs and random endowment. Assuming that the agent cannot short s…
On the dual problem of utility maximization in incomplete markets
Lingqi Gu, Yiqing Lin, Junjian Yang
In this paper, we study the dual problem of the expected utility maximization in incomplete markets with bounded random endowment. We start with the problem formulated in the paper…