Faculty & Staff By Last Name

Faculty & Staff By Last Name

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Ju-Yi Yen

Title: Associate Professor
Office: 4410 French Hall
Tel: 513-556-4214
Email: yenji@ucmail.uc.edu


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

Research Information

Research Interests

Probability, Stochastic Processes, and Mathematical Finance

Research Support

  • National Science Foundation. (DMS-0907513), 08-01-2009 to 08-31-2012.
  • National Science Foundation. (DMS-1317819), 09-01-2012 to 07-31-2013.
  • (Collaborator), Buckingham, Robert; Peligrad, Magda; Wang, Yizao; Yen, Ju-Yi, Cincinnati Symposium on Probability Theory and Applications 2014, National Science Foundation. (DMS-1441641), $20,000.00. 07-01-2014 to 06-30-2015. Status: Awarded.
  • 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..

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..

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..

Experience & Service

Courses Taught

  • Math 1061-1062
    Calculus I & II
  • Math 4009
    Intro to Financial Math
  • Math 1044-1045
    Applied Calculus
  • Math 2074
    Dynamical Systems
  • Math 8008
    Stochastic Differential Equations
  • Math 8007
    Advance Stochastic Processe
  • Math 6010
    Probabilistic Aspects of Financial Modeling