papers
Publications (14)
q-fin.MF2016
A note on utility maximization with transaction costs and random endoment: numéraire-based model and convex duality
Lingqi Gu, Yiqing Lin, Junjian Yang
math.PR2015
On the existence and uniqueness of solutions to stochastic differential equations driven by G-Brownian motion with integral-Lipschitz coefficients
Yiqing Lin, Xuepeng Bai
math.PR2016
Quadratic backward stochastic differential equations driven by $G$-Brownian motion: discrete solutions and approximation
Ying Hu, Yiqing Lin, Abdoulaye Soumana Hima
math.PR2015
On the dual problem of utility maximization in incomplete markets
Lingqi Gu, Yiqing Lin, Junjian Yang
math.PR2015
Stochastic differential equations driven by $G$-Brownian motion with reflecting boundary conditions
Yiqing Lin
math.PR2017
Quadratic BSDEs with mean reflection
Hélène Hibon, Ying Hu, Yiqing Lin +2
math.PR2014
Lyapunov-type conditions and stochastic differential equations driven by $G$-Brownian motion
Xinpeng Li, Xiangyun Lin, Yiqing Lin
q-fin.MF2017
Utility maximization problem under transaction costs: optimal dual processes and stability
Lingqi Gu, Yiqing Lin, Junjian Yang
q-fin.MF2016
Utility maximization problem with random endowment and transaction costs: when wealth may become negative
Yiqing Lin, Junjian Yang
math.PR2013
A New Result for Second Order BSDEs with Quadratic Growth and its Applications
Yiqing Lin
math.OC2017
Causal transport in discrete time and applications
Julio Backhoff Veraguas, Mathias Beiglböck, Yiqing Lin +1
math.PR2017
Reflected stochastic differential equations driven by $G$-Brownian motion in non-convex domains
Yiqing Lin, Abdoulaye Soumana Hima
q-fin.PM2017
On the existence of shadow prices for optimal investment with random endowment
Lingqi Gu, Yiqing Lin, Junjian Yang
math.PR2015
Generalized Wasserstein distance and weak convergence of sublinear expectations
Xinpeng Li, Yiqing Lin