M. Sc. Julian Wendt

Julian Wendt
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Professur für Stochastische Analysis
Julian Wendt
Foto: Julian Wendt
Raum 3525
Ernst-Abbe-Platz 1-2
07743 Jena Google Maps – LageplanExterner Link
  • Research interests
    • stochastic control theory
    • fully coupled forward-backward stochastic differential equations (FBSDEs)
    • game theory
    • mean field FBSDEs
    • mean field games
  • Curriculum Vitae

    Current position

    since 2019: Research Assistant (PhD student), Friedrich Schiller University Jena
    PhD thesis: Diffusion Control and Games [dbt]Externer Link

    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

    Publications in peer-reviewed journals

    • S. Ankirchner, N. Kazi-Tani and J. Wendt
      The role of correlation in diffusion control ranking games
      SIAM Journal on Control and Optimization, 2024. Forthcoming. [HAL]Externer Link
    • S. Ankirchner, N. Kazi-Tani, J. Wendt and C. Zhou
      Mean-field ranking games with diffusion control
      Mathematics and Financial Economics, 2024. [Springer]Externer Link
    • 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, 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
  • Talks
    • “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)
  • Teaching

    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)