M. Sc. Julian Wendt

• stochastic control theory
• fully coupled forward-backward stochastic differential equations (FBSDEs)
• game theory
• mean field FBSDEs
• mean field games

Current position

since 2019: Research Assistant (PhD student), Friedrich Schiller University Jena
PhD thesis: Diffusion Control and Games [preprint]pdf, 2 mb · en

Education

2017 - 2019: M.Sc. Mathematics, Friedrich Schiller University Jena
Master's thesis: The Maximum Principle and Controlled Diffusion [dbt]Externer Link

2014 - 2017: B.Sc. Mathematics, Friedrich Schiller University Jena

Organizing

I am co-organizing the PhD Seminar of the Frege-Kolleg.

Publications in peer-reviewed journals

• S. Ankirchner, N. Kazi-Tani, J. Wendt and C. Zhou
  Large ranking games with diffusion control
  Mathematics of Operations Research, 2023. [HAL]Externer Link [informs]Externer Link
• S. Ankirchner, A. Fromm and J. Wendt
  A transformation method to study the solvability of fully coupled FBSDEs.
  Stochastics, 94:1, 1-25, 2022. [HAL]Externer Link [Taylor & Francis]Externer Link

Preprints

• S. Ankirchner, N. Kazi-Tani and J. Wendt
  The role of correlation in diffusion control ranking games
  2023. [HAL]Externer Link
• S. Ankirchner, H. Bernburg and J. Wendt
  A simple random walk game
  2022. [HAL]Externer Link
• S. Ankirchner, N. Kazi-Tani, J. Wendt and C. Zhou
  Large ranking games with non-observable diffusion control
  2021. [HAL]Externer Link
• S. Ankirchner and J. Wendt
  A sharp upper bound for the expected interval occupation time of Brownian martingales
  2021. [HAL]Externer Link

• “Large ranking games with diffusion control”, Workshop on Stochastic Dynamic Games and Related Topics, Kiel (Germany), March 22–24, 2023 (contributed talk)
• “The role of correlation in diffusion control ranking games” at German Probability and Statistics Days 2023, Essen (Germany), March 7-10, 2023 (contributed talk)
• “Diffusion control games” at L² Workshop in Probability and Statistics at University of Luxembourg, September 15-16, 2022 (invited talk)
• “Large ranking games with diffusion control”, Workshop on Many Player Games And Applications, Berlin (Germany), August 29-31, 2022 (invited talk)
• “Large ranking games with diffusion control”, 15th Viennese Conference on Optimal Control and Dynamic Games, Vienna (Austria), July 12 - 15, 2022 (contributed talk)
• “Large ranking games”, 9th International Colloquium on BSDEs and Mean Field Systems, Annecy (France), June 27 - July 1, 2022 (contributed talk)
• “Diffusion control games”, Workshop on Stochastic Analysis: Theory, Applications and Numerics, Gießen (Germany), March 23 - 25, 2022 (invited talk)
• “An introduction to stochastic games”, PhD seminar of the Frege Kolleg, University of Jena (Germany), April 2022
• “Large ranking games with diffusion control”, German Probability and Statistic Days 2021, Mannheim (Germany), September 27 - October 1, 2021 (contributed talk, online)
•  “Large ranking games with diffusion control, 14th European Summer School in Financial Mathematics, Edinburgh, August 30 - September 3, 2021 (contributed talk, online)
• “The Maximum Principle and Controlled Diffusion”, PhD seminar of the Frege Kolleg, University of Jena (Germany), November 2020 (online)

Currently, I am not teaching any classes. See below for a list of courses I taught in the past.

Courses of past semesters:

SoSe 2022: Stochastic Control & Dynamic Games (Lecture with Prof. Ankirchner)

SoSe 2020: Methods of Insurance and Financial Mathematics (exercise class)

WiSe 2019/20: Mathematics for Pharmacy students (exercise class)

SoSe 2019: Introduction into Probability Theory and Mathematical Statistics (exercise class)

WiSe 2018/19: Elementary Probability Theory and Statistics (exercise class)

SoSe 2018: Analysis 2 (tutorial)

WiSe 2017/18: Analysis 3 (exercise class)

SoSe 2017: Analysis 2 (exercise class)

WiSe 2016/17: Analysis 1 (exercise class)