Mammadov completed his takeover of the Owls earlier this month.
Gray told BBC Radio Sheffield:"I would imagine we will have a great relationship. If there's two or three decent players who Lens are offering us, so be it,"
"It's to Sheffield Wednesday's, mine and the team's advantage."
Such a link is not unprecedented in the Championship; Charlton are owned by Belgian Roland Duchatelet, who has six clubs across Europe, and five of the Addicks' six January signings came from his network of sides.