Zheng, Yueyang; Hu, Yaozhong The global maximum principle for optimal control of partially observed stochastic systems driven by fractional Brownian motion. (English) Zbl 07806771 SIAM J. Control Optim. 62, No. 1, 509-538 (2024). MSC: 60G15 60H07 60H10 65C30 PDFBibTeX XMLCite \textit{Y. Zheng} and \textit{Y. Hu}, SIAM J. Control Optim. 62, No. 1, 509--538 (2024; Zbl 07806771) Full Text: DOI arXiv
Hu, Yaozhong; Kouritzin, Michael A.; Xia, Panqiu; Zheng, Jiayu On mean-field super-Brownian motions. (English) Zbl 07787926 Ann. Appl. Probab. 33, No. 5, 3872-3915 (2023). MSC: 60J68 60J80 60H15 PDFBibTeX XMLCite \textit{Y. Hu} et al., Ann. Appl. Probab. 33, No. 5, 3872--3915 (2023; Zbl 07787926) Full Text: DOI arXiv Link
Chen, Zhen-Qing; Hu, Yaozhong Solvability of parabolic Anderson equation with fractional Gaussian noise. (English) Zbl 1520.60031 Commun. Math. Stat. 11, No. 3, 563-582 (2023). MSC: 60H15 60G60 60G15 60G22 35R60 PDFBibTeX XMLCite \textit{Z.-Q. Chen} and \textit{Y. Hu}, Commun. Math. Stat. 11, No. 3, 563--582 (2023; Zbl 1520.60031) Full Text: DOI arXiv
Hu, Yaozhong; Sharma, Neha Ergodic estimators of double exponential Ornstein-Uhlenbeck processes. (English) Zbl 1515.60082 J. Comput. Appl. Math. 434, Article ID 115329, 19 p. (2023). MSC: 60G10 60J60 91G10 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{N. Sharma}, J. Comput. Appl. Math. 434, Article ID 115329, 19 p. (2023; Zbl 1515.60082) Full Text: DOI arXiv
Hu, Yaozhong; Li, Juan; Mi, Chao BSDEs generated by fractional space-time noise and related SPDEs. (English) Zbl 07701066 Appl. Math. Comput. 450, Article ID 127979, 30 p. (2023). MSC: 60Hxx 60Gxx 35Rxx PDFBibTeX XMLCite \textit{Y. Hu} et al., Appl. Math. Comput. 450, Article ID 127979, 30 p. (2023; Zbl 07701066) Full Text: DOI arXiv
Liu, Shuhui; Hu, Yaozhong; Wang, Xiong Stochastic wave equation with additive fractional noise: solvability and global Hölder continuity. arXiv:2305.02425 Preprint, arXiv:2305.02425 [math.PR] (2023). MSC: 60H15 60H05 60G15 60G22 BibTeX Cite \textit{S. Liu} et al., ``Stochastic wave equation with additive fractional noise: solvability and global H\"older continuity'', Preprint, arXiv:2305.02425 [math.PR] (2023) Full Text: arXiv OA License
Liu, Shuhui; Hu, Yaozhong; Wang, Xiong Nonlinear stochastic wave equation driven by rough noise. (English) Zbl 1489.60116 J. Differ. Equations 331, 99-161 (2022). MSC: 60H15 60H07 60G15 60G22 PDFBibTeX XMLCite \textit{S. Liu} et al., J. Differ. Equations 331, 99--161 (2022; Zbl 1489.60116) Full Text: DOI arXiv
Hu, Yaozhong; Xi, Yuejuan Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations. (English) Zbl 1486.62236 J. Comput. Appl. Math. 411, Article ID 114264, 17 p. (2022). MSC: 62M05 62F12 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{Y. Xi}, J. Comput. Appl. Math. 411, Article ID 114264, 17 p. (2022; Zbl 1486.62236) Full Text: DOI arXiv
Hu, Yaozhong; Wang, Xiong Stochastic heat equation with general rough noise. (English) Zbl 1483.60094 Ann. Inst. Henri Poincaré, Probab. Stat. 58, No. 1, 379-423 (2022). MSC: 60H15 35K08 60G15 60G22 60H05 60H07 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{X. Wang}, Ann. Inst. Henri Poincaré, Probab. Stat. 58, No. 1, 379--423 (2022; Zbl 1483.60094) Full Text: DOI
Hu, Yaozhong; Lê, Khoa Asymptotics of the density of parabolic Anderson random fields. (English) Zbl 1484.60068 Ann. Inst. Henri Poincaré, Probab. Stat. 58, No. 1, 105-133 (2022). Reviewer: Adrián Hinojosa-Calleja (Barcelona) MSC: 60H15 35K60 60G15 60G17 60H05 60H07 60H30 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{K. Lê}, Ann. Inst. Henri Poincaré, Probab. Stat. 58, No. 1, 105--133 (2022; Zbl 1484.60068) Full Text: DOI arXiv
Hu, Yaozhong; Xi, Yuejuan Estimation of all parameters in the reflected Ornstein-Uhlenbeck process from discrete observations. (English) Zbl 1474.62297 Stat. Probab. Lett. 174, Article ID 109099, 8 p. (2021). MSC: 62M05 62F12 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{Y. Xi}, Stat. Probab. Lett. 174, Article ID 109099, 8 p. (2021; Zbl 1474.62297) Full Text: DOI arXiv
Pei, Wenyi; Xi, Yuejuan; Hu, Yaozhong; Yan, Litan Active disturbance rejection control approach to output-feedback stabilization of nonlinear system with Lévy noises. (English) Zbl 1478.93507 Syst. Control Lett. 150, Article ID 104898, 7 p. (2021). MSC: 93D15 93C10 93E03 60G51 PDFBibTeX XMLCite \textit{W. Pei} et al., Syst. Control Lett. 150, Article ID 104898, 7 p. (2021; Zbl 1478.93507) Full Text: DOI
Hu, Yaozhong; Liu, Yanghui; Nualart, David Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions. (English) Zbl 1476.60075 Ann. Appl. Probab. 31, No. 1, 39-83 (2021). MSC: 60G22 60H10 60H35 65C30 PDFBibTeX XMLCite \textit{Y. Hu} et al., Ann. Appl. Probab. 31, No. 1, 39--83 (2021; Zbl 1476.60075) Full Text: arXiv Link
Haress, El Mehdi; Hu, Yaozhong Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations. (English) Zbl 1471.62452 Stat. Inference Stoch. Process. 24, No. 2, 327-351 (2021). MSC: 62M09 60F05 60G10 60G22 60H10 60H30 PDFBibTeX XMLCite \textit{E. M. Haress} and \textit{Y. Hu}, Stat. Inference Stoch. Process. 24, No. 2, 327--351 (2021; Zbl 1471.62452) Full Text: DOI arXiv
Cheng, Yiying; Hu, Yaozhong; Long, Hongwei Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations. (English) Zbl 1436.62084 Stat. Inference Stoch. Process. 23, No. 1, 53-81 (2020). Reviewer: Pavel Stoynov (Sofia) MSC: 62F12 62M05 60G52 60G65 60H10 PDFBibTeX XMLCite \textit{Y. Cheng} et al., Stat. Inference Stoch. Process. 23, No. 1, 53--81 (2020; Zbl 1436.62084) Full Text: DOI
Hu, Yaozhong; Nualart, David; Zhou, Hongjuan Drift parameter estimation for nonlinear stochastic differential equations driven by fractional Brownian motion. (English) Zbl 1498.62164 Stochastics 91, No. 8, 1067-1091 (2019). MSC: 62M09 60G22 60H10 60H30 PDFBibTeX XMLCite \textit{Y. Hu} et al., Stochastics 91, No. 8, 1067--1091 (2019; Zbl 1498.62164) Full Text: DOI arXiv
Hu, Yaozhong; Liu, Yanghui; Tindel, Samy On the necessary and sufficient conditions to solve a heat equation with general additive Gaussian noise. (English) Zbl 1499.60222 Acta Math. Sci., Ser. B, Engl. Ed. 39, No. 3, 669-690 (2019). MSC: 60H15 60G15 60H07 PDFBibTeX XMLCite \textit{Y. Hu} et al., Acta Math. Sci., Ser. B, Engl. Ed. 39, No. 3, 669--690 (2019; Zbl 1499.60222) Full Text: DOI arXiv
Hu, Y. Schrödinger equation with Gaussian potential. (English) Zbl 1488.60084 Theory Probab. Math. Stat. 98, 115-126 (2019) and Teor. Jmovirn. Mat. Stat. 98, 109-120 (2018). MSC: 60G15 60G22 35J10 PDFBibTeX XMLCite \textit{Y. Hu}, Theory Probab. Math. Stat. 98, 115--126 (2019; Zbl 1488.60084) Full Text: DOI
Guo, Jingjun; Hu, Yaozhong; Xiao, Yanping Higher-order derivative of intersection local time for two independent fractional Brownian motions. (English) Zbl 1478.60125 J. Theor. Probab. 32, No. 3, 1190-1201 (2019). MSC: 60G22 60J55 PDFBibTeX XMLCite \textit{J. Guo} et al., J. Theor. Probab. 32, No. 3, 1190--1201 (2019; Zbl 1478.60125) Full Text: DOI arXiv
Hu, Yaozhong; Nualart, David; Zhou, Hongjuan Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter. (English) Zbl 1419.62211 Stat. Inference Stoch. Process. 22, No. 1, 111-142 (2019). Reviewer: Claudia Simionescu-Badea (Wien) MSC: 62M05 60F05 60H10 60G22 60H07 62F12 PDFBibTeX XMLCite \textit{Y. Hu} et al., Stat. Inference Stoch. Process. 22, No. 1, 111--142 (2019; Zbl 1419.62211) Full Text: DOI arXiv
Hu, Yaozhong Itô type stochastic differential equations driven by fractional Brownian motions of Hurst parameter \(H>1/2\). (English) Zbl 1498.60215 Stochastics 90, No. 5, 720-761 (2018). MSC: 60H10 60G22 60H07 PDFBibTeX XMLCite \textit{Y. Hu}, Stochastics 90, No. 5, 720--761 (2018; Zbl 1498.60215) Full Text: DOI arXiv
Chen, Yong; Hu, Yaozhong; Wang, Zhi Gradient and stability estimates of heat kernels for fractional powers of elliptic operator. (English) Zbl 1406.60111 Stat. Probab. Lett. 142, 44-49 (2018). MSC: 60J35 47D07 PDFBibTeX XMLCite \textit{Y. Chen} et al., Stat. Probab. Lett. 142, 44--49 (2018; Zbl 1406.60111) Full Text: DOI arXiv
Chen, Xia; Hu, Yaozhong; Song, Jian; Song, Xiaoming Temporal asymptotics for fractional parabolic Anderson model. (English) Zbl 1390.60101 Electron. J. Probab. 23, Paper No. 14, 39 p. (2018). MSC: 60F10 60H15 60G15 60G52 PDFBibTeX XMLCite \textit{X. Chen} et al., Electron. J. Probab. 23, Paper No. 14, 39 p. (2018; Zbl 1390.60101) Full Text: DOI arXiv Euclid
Hu, Yaozhong; Nualart, David; Zhang, Tusheng Large deviations for stochastic heat equation with rough dependence in space. (English) Zbl 1379.60069 Bernoulli 24, No. 1, 354-385 (2018). MSC: 60H15 60F10 60G22 PDFBibTeX XMLCite \textit{Y. Hu} et al., Bernoulli 24, No. 1, 354--385 (2018; Zbl 1379.60069) Full Text: DOI Euclid
Hu, Yaozhong; Huang, Jingyu; Lê, Khoa; Nualart, David; Tindel, Samy Stochastic heat equation with rough dependence in space. (English) Zbl 1393.60066 Ann. Probab. 45, No. 6B, 4561-4616 (2017). Reviewer: Carles Rovira (Barcelona) MSC: 60H15 60G15 60H07 65C30 PDFBibTeX XMLCite \textit{Y. Hu} et al., Ann. Probab. 45, No. 6B, 4561--4616 (2017; Zbl 1393.60066) Full Text: DOI arXiv Euclid
Chen, Xia; Hu, Yaozhong; Nualart, David; Tindel, Samy Spatial asymptotics for the parabolic Anderson model driven by a Gaussian rough noise. (English) Zbl 1386.60135 Electron. J. Probab. 22, Paper No. 65, 38 p. (2017). MSC: 60G15 60H07 60H10 65C30 PDFBibTeX XMLCite \textit{X. Chen} et al., Electron. J. Probab. 22, Paper No. 65, 38 p. (2017; Zbl 1386.60135) Full Text: DOI arXiv Euclid
Chen, Yong; Hu, Yaozhong; Wang, Zhi Parameter estimation of complex fractional Ornstein-Uhlenbeck processes with fractional noise. (English) Zbl 1375.60098 ALEA, Lat. Am. J. Probab. Math. Stat. 14, No. 1, 613-629 (2017). MSC: 60H07 60F05 62M09 PDFBibTeX XMLCite \textit{Y. Chen} et al., ALEA, Lat. Am. J. Probab. Math. Stat. 14, No. 1, 613--629 (2017; Zbl 1375.60098) Full Text: arXiv Link
Hu, Yaozhong; Lê, Khoa; Mytnik, Leonid Stochastic differential equation for Brox diffusion. (English) Zbl 1378.60081 Stochastic Processes Appl. 127, No. 7, 2281-2315 (2017). MSC: 60H10 35D35 60J60 60J55 PDFBibTeX XMLCite \textit{Y. Hu} et al., Stochastic Processes Appl. 127, No. 7, 2281--2315 (2017; Zbl 1378.60081) Full Text: DOI arXiv
Chen, Le; Hu, Guannan; Hu, Yaozhong; Huang, Jingyu Space-time fractional diffusions in Gaussian noisy environment. (English) Zbl 1379.60065 Stochastics 89, No. 1, 171-206 (2017). MSC: 60H15 60G22 PDFBibTeX XMLCite \textit{L. Chen} et al., Stochastics 89, No. 1, 171--206 (2017; Zbl 1379.60065) Full Text: DOI arXiv
Hu, Yaozhong; Lê, Khoa Nonlinear Young integrals and differential systems in Hölder media. (English) Zbl 1356.60086 Trans. Am. Math. Soc. 369, No. 3, 1935-2002 (2017). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H05 60H15 60H10 60H30 60H07 60G60 60G15 60G17 60J60 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{K. Lê}, Trans. Am. Math. Soc. 369, No. 3, 1935--2002 (2017; Zbl 1356.60086) Full Text: DOI arXiv
Hu, Yaozhong Analysis on Gaussian spaces. (English) Zbl 1386.60005 Hackensack, NJ: World Scientific (ISBN 978-981-3142-17-6/hbk; 978-981-3142-19-0/ebook). xi, 470 p. (2017). Reviewer: René L. Schilling (Dresden) MSC: 60-02 28C20 46E35 46N30 60G15 60H07 60H10 60H35 65C30 PDFBibTeX XMLCite \textit{Y. Hu}, Analysis on Gaussian spaces. Hackensack, NJ: World Scientific (2017; Zbl 1386.60005) Full Text: DOI
Han, Zheng; Hu, Yaozhong; Lee, Chihoon Optimal pricing barriers in a regulated market using reflected diffusion processes. (English) Zbl 1469.62362 Quant. Finance 16, No. 4, 639-647 (2016). MSC: 62P05 62M10 62M05 62L12 60H15 60J60 PDFBibTeX XMLCite \textit{Z. Han} et al., Quant. Finance 16, No. 4, 639--647 (2016; Zbl 1469.62362) Full Text: DOI
Nualart, David; Liu, Yanghui; Hu, Yaozhong Taylor schemes for rough differential equations and fractional diffusions. (English) Zbl 1353.60064 Discrete Contin. Dyn. Syst., Ser. B 21, No. 9, 3115-3162 (2016). MSC: 60H35 60H10 60F15 60F25 60G22 60H05 60H07 65C30 65L20 PDFBibTeX XMLCite \textit{D. Nualart} et al., Discrete Contin. Dyn. Syst., Ser. B 21, No. 9, 3115--3162 (2016; Zbl 1353.60064) Full Text: DOI arXiv
Hu, Yaozhong; Liu, Yanghui; Nualart, David Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions. (English) Zbl 1339.60095 Ann. Appl. Probab. 26, No. 2, 1147-1207 (2016). MSC: 60H35 60H10 60G22 60F25 60F05 60H07 65C30 26A33 PDFBibTeX XMLCite \textit{Y. Hu} et al., Ann. Appl. Probab. 26, No. 2, 1147--1207 (2016; Zbl 1339.60095) Full Text: DOI arXiv Euclid
Chen, Xia; Hu, Yaozhong; Song, Jian; Xing, Fei Exponential asymptotics for time-space Hamiltonians. (English. French summary) Zbl 1337.60201 Ann. Inst. Henri Poincaré, Probab. Stat. 51, No. 4, 1529-1561 (2015). MSC: 60J65 60F10 60K37 60K40 60G55 PDFBibTeX XMLCite \textit{X. Chen} et al., Ann. Inst. Henri Poincaré, Probab. Stat. 51, No. 4, 1529--1561 (2015; Zbl 1337.60201) Full Text: DOI Euclid
Hu, Yaozhong; Nualart, David; Tindel, Samy; Xu, Fangjun Density convergence in the Breuer-Major theorem for Gaussian stationary sequences. (English) Zbl 1344.60025 Bernoulli 21, No. 4, 2336-2350 (2015). Reviewer: Anatoli Mogulskij (Novosibirsk) MSC: 60F05 60G15 60G10 60H07 PDFBibTeX XMLCite \textit{Y. Hu} et al., Bernoulli 21, No. 4, 2336--2350 (2015; Zbl 1344.60025) Full Text: DOI arXiv Euclid
Hu, Yaozhong; Lee, Chihoon; Lee, Myung Hee; Song, Jian Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations. (English) Zbl 1327.62451 Stat. Inference Stoch. Process. 18, No. 3, 279-291 (2015). MSC: 62M05 62F12 PDFBibTeX XMLCite \textit{Y. Hu} et al., Stat. Inference Stoch. Process. 18, No. 3, 279--291 (2015; Zbl 1327.62451) Full Text: DOI
Hu, Yaozhong; Huang, Jingyu; Nualart, David; Tindel, Samy Stochastic heat equations with general multiplicative Gaussian noises: Hölder continuity and intermittency. (English) Zbl 1322.60113 Electron. J. Probab. 20, Paper No. 55, 50 p. (2015). MSC: 60H15 60G15 60H07 60H05 60G22 60H10 PDFBibTeX XMLCite \textit{Y. Hu} et al., Electron. J. Probab. 20, Paper No. 55, 50 p. (2015; Zbl 1322.60113) Full Text: DOI arXiv
Hu, Guannan; Hu, Yaozhong Fractional diffusion in Gaussian noisy environment. (English) Zbl 1321.60135 Mathematics 3, No. 2, 131-152 (2015). MSC: 60H15 60G22 60G15 60H05 35R60 35K40 26A33 PDFBibTeX XMLCite \textit{G. Hu} and \textit{Y. Hu}, Mathematics 3, No. 2, 131--152 (2015; Zbl 1321.60135) Full Text: DOI arXiv
Hu, Yaozhong; Rang, Guanglin Identification of the point sources in some stochastic wave equations. (English) Zbl 1470.60183 Abstr. Appl. Anal. 2014, Article ID 219876, 11 p. (2014). MSC: 60H15 35R30 35R60 62H12 62M09 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{G. Rang}, Abstr. Appl. Anal. 2014, Article ID 219876, 11 p. (2014; Zbl 1470.60183) Full Text: DOI
Hu, Yaozhong; Huang, Jingyu; Nualart, David On Hölder continuity of the solution of stochastic wave equations in dimension three. (English) Zbl 1310.60096 Stoch. Partial Differ. Equ., Anal. Comput. 2, No. 3, 353-407 (2014). MSC: 60H15 60G17 60G22 PDFBibTeX XMLCite \textit{Y. Hu} et al., Stoch. Partial Differ. Equ., Anal. Comput. 2, No. 3, 353--407 (2014; Zbl 1310.60096) Full Text: DOI arXiv
Hu, Yaozhong; Nualart, David; Song, Jian The \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processes. (English) Zbl 1306.60113 J. Theor. Probab. 27, No. 3, 789-825 (2014). Reviewer: Oleg K. Zakusilo (Kyïv) MSC: 60J65 60J55 60G22 60A10 PDFBibTeX XMLCite \textit{Y. Hu} et al., J. Theor. Probab. 27, No. 3, 789--825 (2014; Zbl 1306.60113) Full Text: DOI arXiv
Hu, Yaozhong; Lu, Fei; Nualart, David Convergence of densities of some functionals of Gaussian processes. (English) Zbl 1290.60045 J. Funct. Anal. 266, No. 2, 814-875 (2014). MSC: 60G15 62F10 PDFBibTeX XMLCite \textit{Y. Hu} et al., J. Funct. Anal. 266, No. 2, 814--875 (2014; Zbl 1290.60045) Full Text: DOI arXiv
Hu, Yaozhong; Nualart, David; Xu, Fangjun Central limit theorem for an additive functional of the fractional Brownian motion. (English) Zbl 1294.60042 Ann. Probab. 42, No. 1, 168-203 (2014). Reviewer: Peter Parczewski (Mannheim) MSC: 60F05 60G22 60J55 PDFBibTeX XMLCite \textit{Y. Hu} et al., Ann. Probab. 42, No. 1, 168--203 (2014; Zbl 1294.60042) Full Text: DOI arXiv Euclid
Hu, Yaozhong; Nualart, David; Zhou, Qing On optimal mean-field type control problems of stochastic systems with jump processes under partial information. arXiv:1403.4377 Preprint, arXiv:1403.4377 [math.PR] (2014). MSC: 60H10 60Hxx 60H07 60J75 BibTeX Cite \textit{Y. Hu} et al., ``On optimal mean-field type control problems of stochastic systems with jump processes under partial information'', Preprint, arXiv:1403.4377 [math.PR] (2014) Full Text: arXiv OA License
Hu, Yaozhong; Lu, Fei; Nualart, David Non-degeneracy of some Sobolev pseudo-norms of fractional Brownian motion. (English) Zbl 1329.60105 Electron. Commun. Probab. 18, Paper No. 84, 8 p. (2013). MSC: 60G22 60H07 PDFBibTeX XMLCite \textit{Y. Hu} et al., Electron. Commun. Probab. 18, Paper No. 84, 8 p. (2013; Zbl 1329.60105) Full Text: DOI arXiv
Hu, Yaozhong; Le, Khoa A multiparameter Garsia-Rodemich-Rumsey inequality and some applications. (English) Zbl 1300.60051 Stochastic Processes Appl. 123, No. 9, 3359-3377 (2013). MSC: 60G17 26A16 60G60 60G15 60H15 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{K. Le}, Stochastic Processes Appl. 123, No. 9, 3359--3377 (2013; Zbl 1300.60051) Full Text: DOI arXiv
Hu, Yaozhong Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions. (English) Zbl 1303.60047 Stochastics 85, No. 5, 859-916 (2013). Reviewer: Alexandra Rodkina (Kingston/Jamaica) MSC: 60H10 60H05 60G22 26A33 60H07 26A42 34A34 34G20 41A58 60H30 93C15 PDFBibTeX XMLCite \textit{Y. Hu}, Stochastics 85, No. 5, 859--916 (2013; Zbl 1303.60047) Full Text: DOI
Hu, Yaozhong; Jolis, Maria; Tindel, Samy On Stratonovich and Skorohod stochastic calculus for Gaussian processes. (English) Zbl 1274.60219 Ann. Probab. 41, No. 3A, 1656-1693 (2013). MSC: 60H35 60H07 60H10 65C30 PDFBibTeX XMLCite \textit{Y. Hu} et al., Ann. Probab. 41, No. 3A, 1656--1693 (2013; Zbl 1274.60219) Full Text: DOI arXiv Euclid
Hu, Yaozhong; Song, Jian Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations. (English) Zbl 1268.62100 Viens, Frederi (ed.) et al., Malliavin calculus and stochastic analysis. A Festschrift in honor of David Nualart. New York, NY: Springer (ISBN 978-1-4614-5905-7/hbk; 978-1-4614-5906-4/ebook). Springer Proceedings in Mathematics & Statistics 34, 427-442 (2013). MSC: 62M05 62F12 60H30 60F05 60G22 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{J. Song}, Springer Proc. Math. Stat. 34, 427--442 (2013; Zbl 1268.62100) Full Text: DOI
Hu, Yaozhong; Lee, Chihoon Drift parameter estimation for a reflected fractional Brownian motion based on its local time. (English) Zbl 1301.60050 J. Appl. Probab. 50, No. 2, 592-597 (2013). MSC: 60G22 60K25 62M09 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{C. Lee}, J. Appl. Probab. 50, No. 2, 592--597 (2013; Zbl 1301.60050) Full Text: DOI Euclid
Hu, Yaozhong; Ocone, Daniel; Song, Jian Some results on backward stochastic differential equations driven by fractional Brownian motions. (English) Zbl 1276.60062 Zhang, Tusheng (ed.) et al., Stochastic analysis and applications to finance. Essays in honour of Jia-an Yan on the occasion of his 70th years birthday. Hackensack, NJ: World Scientific (ISBN 978-981-4383-57-8/hbk). Interdisciplinary Mathematical Sciences 13, 225-242 (2012). MSC: 60H10 60G22 PDFBibTeX XMLCite \textit{Y. Hu} et al., Interdiscip. Math. Sci. 13, 225--242 (2012; Zbl 1276.60062)
Biagini, Francesca; Hu, Yaozhong; Meyer-Brandis, Thilo; Øksendal, Bernt Insider trading equilibrium in a market with memory. (English) Zbl 1262.91156 Math. Financ. Econ. 6, No. 3, 229-247 (2012). MSC: 91G80 60G22 60G35 PDFBibTeX XMLCite \textit{F. Biagini} et al., Math. Financ. Econ. 6, No. 3, 229--247 (2012; Zbl 1262.91156) Full Text: DOI Link
Hu, Yaozhong; Lu, Fei; Nualart, David Feynman-Kac formula for the heat equation driven by fractional noise with Hurst parameter \(H < 1/2\). (English) Zbl 1253.60074 Ann. Probab. 40, No. 3, 1041-1068 (2012). Reviewer: Raouf Ghomrasni (Muizenberg) MSC: 60H15 60G22 60H05 60H30 35R60 PDFBibTeX XMLCite \textit{Y. Hu} et al., Ann. Probab. 40, No. 3, 1041--1068 (2012; Zbl 1253.60074) Full Text: DOI arXiv Euclid
Hu, Yaozhong; Nualart, David; Xiao, Weilin; Zhang, Weiguo Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observation. (English) Zbl 1245.62099 Acta Math. Sci., Ser. B, Engl. Ed. 31, No. 5, 1851-1859 (2011). MSC: 62M05 60G22 60F05 60H07 PDFBibTeX XMLCite \textit{Y. Hu} et al., Acta Math. Sci., Ser. B, Engl. Ed. 31, No. 5, 1851--1859 (2011; Zbl 1245.62099) Full Text: DOI
Hu, Yaozhong An enlargement of filtration for Brownian motion. (English) Zbl 1249.60156 Acta Math. Sci., Ser. B, Engl. Ed. 31, No. 5, 1671-1678 (2011). MSC: 60H40 60H05 60G15 60J65 62B10 PDFBibTeX XMLCite \textit{Y. Hu}, Acta Math. Sci., Ser. B, Engl. Ed. 31, No. 5, 1671--1678 (2011; Zbl 1249.60156) Full Text: DOI
Hu, Yaozhong; Nualart, David; Song, Jian Feynman-Kac formula for heat equation driven by fractional white noise. (English) Zbl 1210.60056 Ann. Probab. 39, No. 1, 291-326 (2011). Reviewer: Carles Rovira (Barcelona) MSC: 60H07 60H15 60G17 60G22 60G30 35K20 35R60 PDFBibTeX XMLCite \textit{Y. Hu} et al., Ann. Probab. 39, No. 1, 291--326 (2011; Zbl 1210.60056) Full Text: DOI arXiv
Hu, Yaozhong A random transport-diffusion equation. (English) Zbl 1240.60109 Acta Math. Sci., Ser. B, Engl. Ed. 30, No. 6, 2033-2050 (2010). MSC: 60G15 60H15 60H10 PDFBibTeX XMLCite \textit{Y. Hu}, Acta Math. Sci., Ser. B, Engl. Ed. 30, No. 6, 2033--2050 (2010; Zbl 1240.60109) Full Text: DOI
Hu, Yaozhong; Wang, Baobin Convergence rate of an approximation to multiple integral of FBM. (English) Zbl 1240.60224 Acta Math. Sci., Ser. B, Engl. Ed. 30, No. 3, 975-992 (2010). MSC: 60J65 60H05 60G22 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{B. Wang}, Acta Math. Sci., Ser. B, Engl. Ed. 30, No. 3, 975--992 (2010; Zbl 1240.60224) Full Text: DOI
Hu, Yaozhong; Nualart, David Parameter estimation for fractional Ornstein-Uhlenbeck processes. (English) Zbl 1187.62137 Stat. Probab. Lett. 80, No. 11-12, 1030-1038 (2010). MSC: 62M05 62F12 60F05 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{D. Nualart}, Stat. Probab. Lett. 80, No. 11--12, 1030--1038 (2010; Zbl 1187.62137) Full Text: DOI arXiv
Hu, Yaozhong; Long, Hongwei On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions. (English) Zbl 1212.60086 Acta Math. Sci., Ser. B, Engl. Ed. 29, No. 3, 599-608 (2009). MSC: 60G52 62M05 65C30 93E24 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{H. Long}, Acta Math. Sci., Ser. B, Engl. Ed. 29, No. 3, 599--608 (2009; Zbl 1212.60086) Full Text: DOI
Hu, Yaozhong; Peng, Shige Backward stochastic differential equation driven by fractional Brownian motion. (English) Zbl 1284.60117 SIAM J. Control Optim. 48, No. 3, 1675-1700 (2009). MSC: 60H10 60G22 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{S. Peng}, SIAM J. Control Optim. 48, No. 3, 1675--1700 (2009; Zbl 1284.60117) Full Text: DOI
Hu, Yaozhong; Nualart, David; Song, Jian Fractional martingales and characterization of the fractional Brownian motion. (English) Zbl 1196.60075 Ann. Probab. 37, No. 6, 2404-2430 (2009). Reviewer: Neville Weber (Sydney) MSC: 60G44 60J65 60G22 26A45 PDFBibTeX XMLCite \textit{Y. Hu} et al., Ann. Probab. 37, No. 6, 2404--2430 (2009; Zbl 1196.60075) Full Text: DOI arXiv
Hu, Yaozhong; Yan, Jiaan Wick calculus for nonlinear Gaussian functionals. (English) Zbl 1186.60034 Acta Math. Appl. Sin., Engl. Ser. 25, No. 3, 399-414 (2009). MSC: 60G15 60H05 60H07 60H40 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{J. Yan}, Acta Math. Appl. Sin., Engl. Ser. 25, No. 3, 399--414 (2009; Zbl 1186.60034) Full Text: DOI arXiv
Hu, Yaozhong; Long, Hongwei Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions. (English) Zbl 1171.62045 Stochastic Processes Appl. 119, No. 8, 2465-2480 (2009). MSC: 62M05 60G52 62F12 93E24 65C60 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{H. Long}, Stochastic Processes Appl. 119, No. 8, 2465--2480 (2009; Zbl 1171.62045) Full Text: DOI
Hu, Yaozhong; Øksendal, Bernt Partial information linear quadratic control for jump diffusions. (English) Zbl 1165.93037 SIAM J. Control Optim. 47, No. 4, 1744-1761 (2008). MSC: 93E20 60H05 60G51 91G80 49N10 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{B. Øksendal}, SIAM J. Control Optim. 47, No. 4, 1744--1761 (2008; Zbl 1165.93037) Full Text: DOI Link
Hu, Yaozhong; Nualart, David; Song, Jian Integral representation of renormalized self-intersection local times. (English) Zbl 1166.60047 J. Funct. Anal. 255, No. 9, 2507-2532 (2008). Reviewer: Bo Markussen (Kopenhagen) MSC: 60J55 60G15 60G17 60G18 60H07 60J65 PDFBibTeX XMLCite \textit{Y. Hu} et al., J. Funct. Anal. 255, No. 9, 2507--2532 (2008; Zbl 1166.60047) Full Text: DOI arXiv
Hu, Yaozhong; Øksendal, Bernt Optimal stopping with advanced information flow: selected examples. (English) Zbl 1151.93033 Stettner, Łukasz (ed.), Advances in mathematics of finance. Contributed papers of the 2nd general AMaMeF (advanced mathematical methods of finance) conference and Banach Center conference on advances in mathematics of finance, Bȩdlewo, Poland, April 30–May 5, 2007. Warsaw: Polish Academy of Sciences, Institute of Mathematics. Banach Center Publications 83, 107-116 (2008). MSC: 93E20 60H05 60G51 91G80 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{B. Øksendal}, Banach Cent. Publ. 83, 107--116 (2008; Zbl 1151.93033)
Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng Stochastic calculus for fractional Brownian motion and applications. (English) Zbl 1157.60002 Probability and its Applications. London: Springer (ISBN 978-1-85233-996-8/hbk; 978-1-84996-994-9/pbk; 978-1-84628-797-8/ebook). xii, 329 p. (2008). Reviewer: Michael Högele (Berlin) MSC: 60-02 60H05 60H07 60H10 60H30 60H40 60G22 PDFBibTeX XMLCite \textit{F. Biagini} et al., Stochastic calculus for fractional Brownian motion and applications. London: Springer (2008; Zbl 1157.60002) Full Text: DOI
Hu, Yaozhong; Long, Hongwei Parameter estimation for Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy motions. (English) Zbl 1328.62505 Commun. Stoch. Anal. 1, No. 2, 175-192 (2007). MSC: 62M05 62F12 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{H. Long}, Commun. Stoch. Anal. 1, No. 2, 175--192 (2007; Zbl 1328.62505)
Hu, Yaozhong; Nualart, David Regularity of renormalized self-intersection local time for fractional Brownian motion. (English) Zbl 1143.60310 Commun. Inf. Syst. 7, No. 1, 21-30 (2007). MSC: 60G15 60J65 60J55 60H07 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{D. Nualart}, Commun. Inf. Syst. 7, No. 1, 21--30 (2007; Zbl 1143.60310) Full Text: DOI Euclid
Hu, Yaozhong; Øksendal, Bernt Optimal smooth portfolio selection for an insider. (English) Zbl 1136.60047 J. Appl. Probab. 44, No. 3, 742-752 (2007). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 60H30 60H05 60G15 91G10 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{B. Øksendal}, J. Appl. Probab. 44, No. 3, 742--752 (2007; Zbl 1136.60047) Full Text: DOI
Hu, Yaozhong Integral transformations and anticipative calculus for fractional Brownian motions. (English) Zbl 1072.60044 Mem. Am. Math. Soc. 825, 127 p. (2005). Reviewer: Kun Soo Chang (Seoul) MSC: 60H05 60H07 60G30 60G15 26A33 44A05 PDFBibTeX XMLCite \textit{Y. Hu}, Integral transformations and anticipative calculus for fractional Brownian motions. Providence, RI: American Mathematical Society (AMS) (2005; Zbl 1072.60044) Full Text: DOI
Hu, Yaozhong; Nualart, David Renormalized self-intersection local time for fractional Brownian motion. (English) Zbl 1093.60017 Ann. Probab. 33, No. 3, 948-983 (2005). Reviewer: Alexander Gushchin (Moskva) MSC: 60G15 60F05 60F25 60G18 60H30 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{D. Nualart}, Ann. Probab. 33, No. 3, 948--983 (2005; Zbl 1093.60017) Full Text: DOI arXiv
Hu, Y.; Nualart, D. Some processes associated with fractional Bessel processes. (English) Zbl 1074.60050 J. Theor. Probab. 18, No. 2, 377-397 (2005). Reviewer: Nijole Kalinauskaitė (Vilnius) MSC: 60G18 60H07 60G15 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{D. Nualart}, J. Theor. Probab. 18, No. 2, 377--397 (2005; Zbl 1074.60050) Full Text: DOI arXiv
Hu, Yaozhong Optimization of consumption and portfolio and minimization of volatility. (English) Zbl 1061.60052 Yin, George (ed.) et al., Mathematics of finance. Proceedings of an AMS-IMS-SIAM joint summer research conference on mathematics of finance, June 22–26, 2003, Snowbird, Utah, USA. Providence, RI: American Mathematical Society (AMS) (ISBN 0-8218-3412-6/pbk). Contemporary Mathematics 351, 199-206 (2004). Reviewer: Christian-Oliver Ewald (Bristol) MSC: 60H05 91B28 60G15 PDFBibTeX XMLCite \textit{Y. Hu}, Contemp. Math. 351, 199--206 (2004; Zbl 1061.60052)
Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng General fractional multiparameter white noise theory and stochastic partial differential equations. (English) Zbl 1067.35161 Commun. Partial Differ. Equations 29, No. 1-2, 1-23 (2004). Reviewer: Enrico Priola (Torino) MSC: 35R60 60H40 60H15 60G15 PDFBibTeX XMLCite \textit{Y. Hu} et al., Commun. Partial Differ. Equations 29, No. 1--2, 1--23 (2004; Zbl 1067.35161) Full Text: DOI
Hu, Yaozhong; Øksendal, Bernt Fractional white noise calculus and applications to finance. (English) Zbl 1045.60072 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 6, No. 1, 1-32 (2003). Reviewer: George Stoica (Saint John) MSC: 60H40 60H05 60G15 60G22 91G20 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{B. Øksendal}, Infin. Dimens. Anal. Quantum Probab. Relat. Top. 6, No. 1, 1--32 (2003; Zbl 1045.60072) Full Text: DOI
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnés Optimal consumption and portfolio in a Black–Scholes market driven by fractional Brownian motion. (English) Zbl 1180.91266 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 6, No. 4, 519-536 (2003). MSC: 91G10 91G50 60G15 60H05 PDFBibTeX XMLCite \textit{Y. Hu} et al., Infin. Dimens. Anal. Quantum Probab. Relat. Top. 6, No. 4, 519--536 (2003; Zbl 1180.91266) Full Text: DOI
Hu, Yaozhong; Øksendal, Bernt Chaos expansion of local time of fractional Brownian motions. (English) Zbl 1011.60016 Stochastic Anal. Appl. 20, No. 4, 815-837 (2002). Reviewer: Yuhu Feng (Shanghai) MSC: 60G15 60H40 60G17 60H05 PDFBibTeX XMLCite \textit{Y. Hu} and \textit{B. Øksendal}, Stochastic Anal. Appl. 20, No. 4, 815--837 (2002; Zbl 1011.60016) Full Text: DOI
Hu, Y.; Kallianpur, G.; Xiong, J. An approximation for the Zakai equation. (English) Zbl 1001.60044 Appl. Math. Optimization 45, No. 1, 23-44 (2002). Reviewer: Vjatscheslav Vasiliev (Tomsk) MSC: 60G35 93E11 60F25 60H10 PDFBibTeX XMLCite \textit{Y. Hu} et al., Appl. Math. Optim. 45, No. 1, 23--44 (2002; Zbl 1001.60044) Full Text: DOI
Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng Stochastic fractional potential theory. (English) Zbl 1020.31003 Heinonen, J. (ed.) et al., Papers on analysis: a volume dedicated to Olli Martio on the occasion of his 60th birthday. Jyväskylä: Univ. Jyväskylä, Institut für Mathematik und Statistik. Ber., Univ. Jyväskylä. 83, 169-180 (2001). Reviewer: Volker Metz (Bielefeld) MSC: 31C45 60H05 60G15 35R60 60H40 PDFBibTeX XMLCite \textit{Y. Hu} et al., in: Papers on analysis: a volume dedicated to Olli Martio on the occasion of his 60th birthday. Jyväskylä: Univ. Jyväskylä, Institut für Mathematik und Statistik. 169--180 (2001; Zbl 1020.31003)
Hu, Yaozhong Prediction and translation of fractional Brownian motions. (English) Zbl 0973.60059 Hida, Takeyuki (ed.) et al., Stochastics in finite and infinite dimensions. Conference in honor of Gopinath Kallianpur, Calcutta, India, December 18-23, 2000. Boston: Birkhäuser. 153-171 (2000). Reviewer: Dirk Blömker (Augsburg) MSC: 60H05 60G60 60G25 60H30 60J65 35S15 60G15 PDFBibTeX XMLCite \textit{Y. Hu}, in: Stochastics in finite and infinite dimensions. Conference in honor of Gopinath Kallianpur, Calcutta, India, December 18--23, 2000. Boston: Birkhäuser. 153--171 (2000; Zbl 0973.60059)
de Figueiredo, Rui J. P.; Hu, Yaozhong On nonlinear filtering of non-Gaussian processes through Volterra series. (English) Zbl 0961.62082 Corduneanu, C. (ed.) et al., Volterra equations and applications. Proceedings of the Volterra centennial symposium, University of Texas, Arlington, TX, USA, May 23-25, 1996. London: Gordon and Breach Science Publishers. Stab. Control Theory Methods Appl. 10, 197-202 (2000). Reviewer: Kenneth S.Miller (Rye Brook MSC: 62M20 93E11 60G35 PDFBibTeX XMLCite \textit{R. J. P. de Figueiredo} and \textit{Y. Hu}, Stab. Control Theory Methods Appl. 10, 197--202 (2000; Zbl 0961.62082)
Hu, Yaozhong A unified approach to several inequalities for Gaussian and diffusion measures. (English) Zbl 0957.60091 Azéma, J. (ed.) et al., Séminaire de Probabilités XXXIV. Berlin: Springer. Lect. Notes Math. 1729, 329-335 (2000). MSC: 60J60 60E15 PDFBibTeX XMLCite \textit{Y. Hu}, Lect. Notes Math. 1729, 329--335 (2000; Zbl 0957.60091) Full Text: Numdam EuDML
Hu, Yaozhong Optimal times to observe in the Kalman-Bucy models. (English) Zbl 0956.60061 Stochastics Stochastics Rep. 69, No. 1-2, 123-140 (2000). Reviewer: Tomasz Bojdecki (Warszawa) MSC: 60H10 60H05 60G35 93E11 PDFBibTeX XMLCite \textit{Y. Hu}, Stochastics Stochastics Rep. 69, No. 1--2, 123--140 (2000; Zbl 0956.60061) Full Text: DOI
Duncan, Tyrone E.; Hu, Yaozhong; Pasik-Duncan, Bozenna Stochastic calculus for fractional Brownian motion. I: Theory. (English) Zbl 0947.60061 SIAM J. Control Optimization 38, No. 2, 582-612 (2000). MSC: 60H05 60G15 60G18 60H30 PDFBibTeX XMLCite \textit{T. E. Duncan} et al., SIAM J. Control Optim. 38, No. 2, 582--612 (2000; Zbl 0947.60061) Full Text: DOI
Albeverio, S.; Hu, Y.-Z.; Röckner, M.; Zhou, X. Y. Stochastic quantization of the two-dimensional polymer measure. (English) Zbl 0945.60080 Appl. Math. Optimization 40, No. 3, 341-354 (1999). Reviewer: Jan Seidler MSC: 60J65 60J60 60H30 PDFBibTeX XMLCite \textit{S. Albeverio} et al., Appl. Math. Optim. 40, No. 3, 341--354 (1999; Zbl 0945.60080) Full Text: DOI
Hu, Yaozhong Exponential integrability of diffusion processes. (English) Zbl 0936.60075 Hill, Theodore P. (ed.) et al., Advances in stochastic inequalities. AMS special session on Stochastic inequalities and their applications, Georgia Institute of Technology, Atlanta, GA, USA, October 17-19, 1997. Providence, RI: AMS, American Mathematical Society. Contemp. Math. 234, 75-84 (1999). Reviewer: S.Wedrychowicz (Rzeszów) MSC: 60J60 60J45 46E30 PDFBibTeX XMLCite \textit{Y. Hu}, Contemp. Math. 234, 75--84 (1999; Zbl 0936.60075)
Hu, Yaozhong; Lindstrøm, Tom; Øksendal, Bernt; Ubøe, Jan; Zhang, Tusheng Inverse powers of white noise. (English) Zbl 0821.60049 Cranston, Michael C. (ed.) et al., Stochastic analysis. Proceedings of the Summer Research Institute on stochastic analysis, held at Cornell University, Ithaca, NY, USA, July 11-30, 1993. Providence, RI: American Mathematical Society. Proc. Symp. Pure Math. 57, 439-456 (1995). MSC: 60G20 46F25 PDFBibTeX XMLCite \textit{Y. Hu} et al., Proc. Symp. Pure Math. 57, 439--456 (1995; Zbl 0821.60049)
Hu, Yaozhong Calculation of Feynman path integral for certain central forces. (English) Zbl 0838.60095 Lindstrøm, Tom (ed.) et al., Stochastic analysis and related topics. Proceedings of the fourth Oslo-Silivri workshop on stochastic analysis held at the University of Oslo, Oslo, Norway, July 6-10, 1992. Yverdon: Gordon and Breach Science Publishers. Stochastics Monogr. 8, 161-171 (1993). MSC: 60K40 81Q30 PDFBibTeX XMLCite \textit{Y. Hu}, Stochastics Monogr. 8, 161--171 (1993; Zbl 0838.60095)
Hu, Yao-Zhong On a paper of R. Carmona and D. Nualart. (Sur un travail de R. Carmona et D. Nualart.) (French) Zbl 0766.60047 Séminaire de probabilités XXVI, Lect. Notes Math. 1526, 587-594 (1992). Reviewer: Y.-Z.Hu (Wuhan) MSC: 60G20 PDFBibTeX XMLCite \textit{Y.-Z. Hu}, Lect. Notes Math. 1526, 587--594 (1992; Zbl 0766.60047) Full Text: Numdam EuDML
Hu, Yao-Zhong Un nouvel exemple de distribution de Hida. (A new example for the Hida distribution). (French) Zbl 0644.60083 Séminaire de probabilités XXII, Strasbourg/France, Lect. Notes Math. 1321, 82-84 (1988). Reviewer: Y.Z.Hu MSC: 60J65 60G20 PDFBibTeX XML Full Text: Numdam EuDML