11 citations · 27 across the 8 of their papers we have counts for
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math.PR2023★ 11 cited
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…
math.PR2018★ 9 cited
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…
math.PR2015★ 7 cited
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…