9 citations · 27 across the 12 of their papers we have counts for
5 papers · 1 filter
Ergodicity of the underdamped mean-field Langevin dynamics
Anna Kazeykina, Zhenjie Ren, Xiaolu Tan +1
We study the long time behavior of an underdamped mean-field Langevin (MFL) equation, and provide a general convergence as well as an exponential convergence rate result under diff…
Principal-agent problem with multiple principals
Kaitong Hu, Zhenjie Ren, Junjian Yang
We consider a moral hazard problem with multiple principals in a continuous-time model. The agent can only work exclusively for one principal at a given time, so faces an optimal s…
Nonlinear predictable representation and -solutions of backward SDEs and second-order backward SDEs
Zhenjie Ren, Nizar Touzi, Junjian Yang
The theory of backward SDEs extends the predictable representation property of Brownian motion to the nonlinear framework, thus providing a path-dependent analog of fully nonlinear…
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…
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…