Jie Yen Fan

Research Overview

My research interest lies in the general theory of stochastic processes, with applications in financial mathematics and population dynamics. My current research includes constructing new martingales with given marginal distributions, convergence rate of numerical approximation to pricing barrier options, limit theorems of population dynamics as measure-valued processes and the study of such limits.

Selected Publications

[1] Akahori, Jiro ; Fan, Jie Yen ; Imamura, Yuri. "On the convergence order of a binary tree approximation of symmetrized diffusion processes". In: Mathematics and Computers in Simulation. 2023 ; Vol. 211. pp. 263-277.

[2] Fan, Jie Yen ; Hamza, Kais ; Jagers, Peter ; Klebaner, Fima. "Limit theorems for multi-type general branching processes with population dependence". In: Advances in Applied Probability. 2020 ; Vol. 52. pp. 1127-1163.

[3] Fan, Jie Yen ; Hamza, Kais ; Klebaner, Fima C. "Mimicking self-similar processes". In: Bernoulli. 2015 ; Vol. 21, No. 3. pp. 1341-1360.