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Jia-an Yan

Jia-an Yan, Chinese statistician (Yangzhou, Jiangsu Province 06 December 1941 –


Authored over 90 research papers and 9 books


Proved a definition of stochastic integrals with respect to semimartingales

Extended the Gross and Minlos theorems in infinite dimensional analysis


CONTRIBUTIONS / BIBLIOGRAPHY

With Y.S. Song. Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders. Insur. Mathem. Econ. 45(3):459-65, 2009

With W. Liu & W.G. Wang. A limit theorem for partial sums of random variables and its applications. Statis. Probab. Lett. 62(1):79-86, 2003

With Q.H. Tang. A sharp inequality for the tail probabilities of sums of i.i. d. r.v.s. with dominatedly varying tails. Science in China (Series A) 45(8):1006-11, 2002

With P. Li & J.M. Xia. Martingale measure method for expected utility maximization in discrete time incomplete markets. Ann. Economics Finance 2(2):445-65, 2001

With Z. Cao. A comparison theorem for solution of backward stochastic differential equations. Adv. Math. 28(1):304-8, 1999

With R.A. Carmona. A new space of white noise distributions and applications to SPDES (1995)

A formula for continuous additive functionals of nonsymmetric Hunt processes and application to Feynman-Kac transition functions. Prob. Statis (1992)

A formula for densities of transition functions. Semin. Probab. 22, 1988

A perturbation theorem for semigroups of linear operators. Semin. Probab. 22, 1988

A comparison theorem for semimartingales and its applications. Semin. Probab. 22:349-51, 1986

A formula for local times of semimartingales. Dengbei Shuxue 1(2):138-40, 1985

Sur une equation différentielle stochastique generale. Semin Probab. 14:305-15, 1980

Caractérisation d'une classe d'ensembles convexes de L1 ou H1. Semin. Probab. 14:220-2, 1980

Remarques sur certaines classes de semimartingales et sur les intégrales stochastiques optionnelles. Semin. Probab. 14:223-6, 1980

Criteria for the uniform integrability of exponential martingales. Acta Math. Sinica 23(2):293-300, 1980

Some formulas for the local time of semimartingales. Chinese Ann. Math. 1(3-4):545-51, 1980

With P.A. Meyer. Génération d'une familie de tribus par un processus croissant. Séminaire de Probabilitiés 9:466-70, 1975


EPONYMY

Meyer-Yan space (with Paul André Meyer)

Yan lemma (on the decomposition of a local martingale)

Kreps-Yan theorem (1980)