Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. - Christoph Czichowsky; Rémi Peyre; Walter Schachermayer; Junjian Yang (Finance Stochastics, 2018)

Ergodicity of the underdamped mean-field Langevin dynamics. - Anna Kazeykina; Zhenjie Ren; Xiaolu Tan; Junjian Yang (CoRR, 2020)

Random Horizon Principal-Agent Problems. - Yiqing Lin; Zhenjie Ren; Nizar Touzi; Junjian Yang (SIAM J. Control. Optim., 2022)

Entropic Optimal Planning for Path-Dependent Mean Field Games. - Zhenjie Ren; Xiaolu Tan; Nizar Touzi; Junjian Yang (SIAM J. Control. Optim., 2023)