Ju-Yi Yen

Ju-Yi Yen

Associate Professor

Associate Professor

French Hall


A&S Mathematical Sciences - 0025


Ph.D.: University of Maryland at College Park (Applied Mathematics)

Research and Practice Interests

Probability, Stochastic Processes, and their Applications

Research Support

Grant: #DMS-0907513 08-01-2009 -08-31-2012 National Science Foundation

Grant: #DMS-1317819 09-01-2012 -07-31-2013 National Science Foundation

Grant: #DMS-1441641 Investigators:Buckingham, Robert; Peligrad, Magda; Wang, Yizao; Yen, Ju-Yi 07-01-2014 -06-30-2015 National Science Foundation Cincinnati Symposium on Probability Theory and Applications 2014 Role:Collaborator $20,000.00 Awarded Level:Federal

Investigators:NSF-AWM NSF-AWM Travel Grant for women researchers, 2014-2015


Peer Reviewed Publications

A variant of Pitman’s theorem on (2Js − Rs, s ≥ 0) for a general transient Bessel process R(+); its implications for the corresponding Ito’s measure n(−), (joint with M. Yor), Journal of Theoretical Probability, 28(1), 2015 .

On two results of P. Deheuvels, (joint with M. Yor), in Mathematical Statistics and Limit Theorems, Springer 2014 .

Some topics in probability theory, (joint with M. Yor), in Mathematical Statistics and Limit Theorems, Springer 2014 .

Some examples of Skorokhod embeddings obtained from the Azema-Yor algorithm, (joint with A. Lim and M. Yor), 123, 329-346, 2013 .

Illustration of various methods for solving partly Skorokhod's embedding problem, (joint with M. Yor), Electronic Communications in Probability, 18(48), 2013 .

On an identity in law between Brownian quadratic functionals, (joint with M. Yor), Statistics & Probability Letters, 83(9), 2013 .

Measuring the "non-stopping timeness" of ends of previsible sets, (joint with C.-T. Wu and M. Yor) Taiwanese Journal of Mathematics, 16(5), 1589-1599, 2012 .

Call option prices based on Bessel processesprocesses, (joint with M. Yor), Methodology and Computing in Applied Probability, 13(2), 329-347, 2011 .

Truncation functions and Laplace transform, (joint with M. Yor), Statistics & Probability Letters, 81(3), 417-419, 2011 .

Stochastic resonance and the trade arrival rate of stocks, (joint with A. C. Silva), Quantitative Finance, 10(5), 2010 .

Asset allocation for multivariate non-Gaussian returnsreturns, (joint with D. Madan), Handbooks in Operations Research and Management Science: Financial Engineering, 15, 949-968, 2008 .

Integral representations of certain measures in the one-dimensional diffusions excursion theory, (joint with P. Salminen and M. Yor) Seminaire de Probabilites, XLVII, 1-15, 2015 .

Weak convergence of h-transforms for one-dimensional diusions, (joint with K. Yano and Y. Yano), Statistics & Probability Letters, 122, 2017 .

F. F. Ferreira, A. C. Silva, J.-Y. Yen (2018. ) Detailed study of a moving average trading rule .Quantitative Finance, , 18 (9 ) ,1599

J. Najnudel, J.-Y. Yen (2019. ) On equalities of sigma-finite measures constructed from discrete recurrent Markov chains .ALEA-Latin American Journal of Probability and Mathematical Statistics, , 16 ,1201

J. Najnudel, C.-T. Wu, J.-Y. Yen (2020. ) On moments of Brownian functionals and their interpretation in terms of random walks .Statistics & Probability Letters, , 161 ,108724

J. Najnudel, J.-Y. Yen (2020. ) A discussion on some simple epidemiological models .Chaos, Solitons & Fractals, , 140 ,

C.-T. Wu, J-.Y. Yen (2021. ) Linear decomposition and anticipating integral for certain random variables .Journal of Stochastic Analysis, , 2 (1 ) ,

M.-R. Chen, J.-Y. Yen (2021. ) On excursions inside an excursion .Stochastic Processes and their Applications, , 138 ,96

A. Lim, C.-T. Wu, J.-Y. Yen (2017. ) Moments’ thoughts about an identity in law between Brownian quadratic functionals .Journal of the Chinese Statistical Association, , 55 (4 ) ,188

Other Publications

Advances in Mathematical Finance (Festschrift for Dilip Madan's 60th Birthday), co-editor (with R. Elliott, M. Fu and R. Jarrow), Birkhauser, July 2007 .

Published Books

Local Times and Excursion Theory for Brownian Motion: A Tale of Wiener and Ito Measures (Lecture Notes in Mathematics, LNM 2088), (joint with M. Yor), Springer, October 2013 .

Courses Taught

Calculus I & II

Intro to Financial Math

Applied Calculus

Dynamical Systems

Stochastic Differential Equations

Advance Stochastic Processe

Probabilistic Aspects of Financial Modeling

Multivariate Calculus

Introduction to Probability

Financial Mathematics

Applied Probability and Stochastic Processes

Contact Information