Edit Profile Hu, Yaozhong Compute Distance To: Compute Author ID: hu.yaozhong Published as: Hu, Y.; Hu, Y. Z.; Hu, Y.-Z.; Hu, Yao-Zhong; Hu, YaoZhong; Hu, Yaozhong Homepage: http://people.ku.edu/~jfu/huvita16.pdf External Links: MGP Documents Indexed: 162 Publications since 1986, including 4 Books all top 5 Co-Authors 40 single-authored 41 Nualart, David 19 Øksendal, Bernt Karsten 11 Song, Jian 7 Huang, Jingyu 7 Tindel, Samy 6 Le, Khoa N. 6 Zhang, Tusheng S. 5 Long, Hongwei 4 Chen, Le 4 Lu, Fei 4 Song, Xiaoming 4 Sulem, Agnès 3 Biagini, Francesca 3 Chen, Xia 3 Kallianpur, Gopinath 3 Lee, Chihoon 2 Albeverio, Sergio A. 2 Hu, Guannan 2 Liu, Yanghui 2 Mohammed, Salah-Eldin A. 2 Sun, Xiaobin 2 Ustunel, Ali Suleyman 2 Wang, Zhi 2 Xiao, Wei-Lin 2 Xu, Fangjun 2 Zhou, Xianyin 1 Arriojas, Mercedes 1 Cambanis, Stamatis 1 Chen, Yong 1 Chen, Yong 1 Chen, Zhen-Qing 1 Cheng, Yiying 1 de Figueiredo, Rui José Pacheco 1 Decreusefond, Laurent 1 Ding, Yiming 1 Driver, Bruce K. 1 Duncan, Tyrone E. 1 Feng, Jin 1 Guo, Jingjun 1 Han, Yuecai 1 Han, Zheng 1 Holden, Helge 1 Huang, Chengming 1 Jolis, Maria 1 Kalbasi, Kamran 1 Lee, Myung Hee 1 Li, Min 1 Lindstrøm, Tom L. 1 Meyer-Brandis, Thilo 1 Mytnik, Leonid 1 Nualart, Eulalia 1 Ocone, Daniel L. 1 Pap, Gyula 1 Pasik-Duncan, Bozenna 1 Peng, Shige 1 Pérez-Abreu Carrión, Víctor M. 1 Qian, Zhongmin M. 1 Rang, Guanglin 1 Röckner, Michael 1 Salopek, Donna Mary 1 Ubøe, Jan 1 Viens, Frederi G. 1 Wang, Baobin 1 Watanabe, Shinzo 1 Xia, Panqiu 1 Xiao, Yanping 1 Xie, Yingchao 1 Xing, Fei 1 Xiong, Jie 1 Yan, Feng 1 Yan, Jia-An 1 Yan, Litan 1 Yang, Changli 1 Zakai, Moshe 1 Zhang, Weiguo 1 Zheng, Weian 1 Zhou, Hongjuan 1 Zhou, Xunyu all top 5 Serials 8 The Annals of Probability 8 Stochastic Processes and their Applications 7 Acta Mathematica Scientia 6 Applied Mathematics and Optimization 5 Statistics & Probability Letters 5 Journal of Theoretical Probability 5 Acta Mathematica Scientia. Series B. (English Edition) 4 Journal of Functional Analysis 4 SIAM Journal on Control and Optimization 4 Stochastic Analysis and Applications 4 Electronic Journal of Probability 4 Electronic Communications in Probability 3 Probability Theory and Related Fields 3 Stochastics and Stochastics Reports 3 Statistical Inference for Stochastic Processes 2 Journal of Applied Probability 2 Journal of Mathematics of Kyoto University 2 Transactions of the American Mathematical Society 2 The Annals of Applied Probability 2 Communications in Partial Differential Equations 2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 2 Potential Analysis 2 Bernoulli 2 Abstract and Applied Analysis 2 Infinite Dimensional Analysis, Quantum Probability and Related Topics 2 Discrete and Continuous Dynamical Systems. Series B 2 Stochastics 1 Journal of the Mathematical Society of Japan 1 Memoirs of the American Mathematical Society 1 Acta Mathematicae Applicatae Sinica. English Series 1 Applied Mathematics Letters 1 Publicacions Matemàtiques 1 Comptes Rendus de l’Académie des Sciences. Série I 1 Boletín de la Sociedad Matemática Mexicana. Third Series 1 Finance and Stochastics 1 Acta Mathematica Scientia. Series B. (English Edition) 1 Quantitative Finance 1 Journal of Systems Science and Complexity 1 Communications in Information and Systems 1 ALEA. Latin American Journal of Probability and Mathematical Statistics 1 Mathematics and Financial Economics 1 Communications on Stochastic Analysis 1 Science China. Mathematics 1 Springer Proceedings in Mathematics & Statistics 1 Stochastic and Partial Differential Equations. Analysis and Computations 1 Mathematics 1 Probability and its Applications all top 5 Fields 138 Probability theory and stochastic processes (60-XX) 15 Partial differential equations (35-XX) 15 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 14 Statistics (62-XX) 14 Numerical analysis (65-XX) 14 Systems theory; control (93-XX) 8 Real functions (26-XX) 6 Functional analysis (46-XX) 5 Ordinary differential equations (34-XX) 5 Operator theory (47-XX) 5 Quantum theory (81-XX) 3 Measure and integration (28-XX) 3 Calculus of variations and optimal control; optimization (49-XX) 2 General and overarching topics; collections (00-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Integral equations (45-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Potential theory (31-XX) 1 Approximations and expansions (41-XX) 1 Integral transforms, operational calculus (44-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Fluid mechanics (76-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 119 Publications have been cited 1,927 times in 1,220 Documents Cited by ▼ Year ▼ Stochastic calculus for fractional Brownian motion. I: Theory. Zbl 0947.60061Duncan, Tyrone E.; Hu, Yaozhong; Pasik-Duncan, Bozenna 202 2000 Stochastic calculus for fractional Brownian motion and applications. Zbl 1157.60002Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng 194 2008 Fractional white noise calculus and applications to finance. Zbl 1045.60072Hu, Yaozhong; Øksendal, Bernt 127 2003 Parameter estimation for fractional Ornstein-Uhlenbeck processes. Zbl 1187.62137Hu, Yaozhong; Nualart, David 83 2010 Heat equations with fractional white noise potentials. Zbl 0993.60065Hu, Y. 62 2001 Stochastic heat equation driven by fractional noise and local time. Zbl 1152.60331Hu, Yaozhong; Nualart, David 61 2009 Integral transformations and anticipative calculus for fractional Brownian motions. Zbl 1072.60044Hu, Yaozhong 61 2005 Renormalized self-intersection local time for fractional Brownian motion. Zbl 1093.60017Hu, Yaozhong; Nualart, David 50 2005 A delayed Black and Scholes formula. Zbl 1119.60059Arriojas, Mercedes; Hu, Yaozhong; Mohammed, Salah-Eldin; Pap, Gyula 49 2007 Discrete-time approximations of stochastic delay equations: the Milstein scheme. Zbl 1062.60065Hu, Yaozhong; Mohammed, Salah-Eldin A.; Yan, Feng 47 2004 Differential equations driven by Hölder continuous functions of order greater than \(1/2\). Zbl 1144.34038Hu, Yaozhong; Nualart, David 42 2007 Semi-implicit Euler-Maruyama scheme for stiff stochastic equations. Zbl 0848.60057Hu, Yaozhong 39 1996 Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions. Zbl 1171.62045Hu, Yaozhong; Long, Hongwei 37 2009 Feynman-Kac formula for heat equation driven by fractional white noise. Zbl 1210.60056Hu, Yaozhong; Nualart, David; Song, Jian 34 2011 Rough path analysis via fractional calculus. Zbl 1175.60061Hu, Yaozhong; Nualart, David 33 2009 A stochastic maximum principle for processes driven by fractional Brownian motion. Zbl 1064.93048Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès 29 2002 Stochastic heat equations with general multiplicative Gaussian noises: Hölder continuity and intermittency. Zbl 1322.60113Hu, Yaozhong; Huang, Jingyu; Nualart, David; Tindel, Samy 28 2015 Backward stochastic differential equation driven by fractional Brownian motion. Zbl 1284.60117Hu, Yaozhong; Peng, Shige 26 2009 Self-intersection local time of fractional Brownian motions – via chaos expansion. Zbl 1008.60091Hu, Yaozhong 25 2001 Stochastic control for linear systems driven by fractional noises. Zbl 1116.93055Hu, Yaozhong; Zhou, Xun Yu 24 2005 Stochastic partial differential equations driven by multiparameter fractional white noise. Zbl 0982.60054Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng 24 2000 Parameter estimation for Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy motions. Zbl 1328.62505Hu, Yaozhong; Long, Hongwei 23 2007 Optimal time to invest when the price processes are geometric Brownian motions. Zbl 0904.60030Hu, Yaozhong; Øksendal, Bernt 22 1998 Feynman-Kac formula for the heat equation driven by fractional noise with Hurst parameter \(H < 1/2\). Zbl 1253.60074Hu, Yaozhong; Lu, Fei; Nualart, David 19 2012 Malliavin calculus for backward stochastic differential equations and application to numerical solutions. Zbl 1246.60081Hu, Yaozhong; Nualart, David; Song, Xiaoming 19 2011 Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observation. Zbl 1245.62099Hu, Yaozhong; Nualart, David; Xiao, Weilin; Zhang, Weiguo 18 2011 Partial information linear quadratic control for jump diffusions. Zbl 1165.93037Hu, Yaozhong; Øksendal, Bernt 17 2008 Optimal consumption and portfolio in a Black–Scholes market driven by fractional Brownian motion. Zbl 1180.91266Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnés 17 2003 Stochastic heat equation with rough dependence in space. Zbl 1393.60066Hu, Yaozhong; Huang, Jingyu; Lê, Khoa; Nualart, David; Tindel, Samy 16 2017 Itô-Wiener chaos expansion with exact residual and correlation, variance inequalities. Zbl 0891.60060Hu, Yaozhong 16 1997 Exponential asymptotics for time-space Hamiltonians. Zbl 1337.60201Chen, Xia; Hu, Yaozhong; Song, Jian; Xing, Fei 15 2015 Chaos expansion of heat equations with white noise potentials. Zbl 0993.60063Hu, Yaozhong 14 2002 Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design. Zbl 0868.60048Cambanis, Stamatis; Hu, Yaozhong 14 1996 Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations. Zbl 1268.62100Hu, Yaozhong; Song, Jian 13 2013 General fractional multiparameter white noise theory and stochastic partial differential equations. Zbl 1067.35161Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng 13 2004 Chaos expansion of local time of fractional Brownian motions. Zbl 1011.60016Hu, Yaozhong; Øksendal, Bernt 13 2002 Space-time fractional diffusions in Gaussian noisy environment. Zbl 1379.60065Chen, Le; Hu, Guannan; Hu, Yaozhong; Huang, Jingyu 12 2017 Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions. Zbl 1339.60095Hu, Yaozhong; Liu, Yanghui; Nualart, David 12 2016 Fractional martingales and characterization of the fractional Brownian motion. Zbl 1196.60075Hu, Yaozhong; Nualart, David; Song, Jian 12 2009 Schrödinger equations with fractional Laplacians. Zbl 1002.60048Hu, Y.; Kallianpur, G. 12 2000 Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter. Zbl 1419.62211Hu, Yaozhong; Nualart, David; Zhou, Hongjuan 11 2019 Convergence of densities of some functionals of Gaussian processes. Zbl 1290.60045Hu, Yaozhong; Lu, Fei; Nualart, David 11 2014 On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions. Zbl 1212.60086Hu, Yaozhong; Long, Hongwei 11 2009 Weighted local time for fractional Brownian motion and applications to finance. Zbl 1067.60028Hu, Yaozhong; Øksendal, Bernt; Salopek, Donna Mary 10 2005 Exponential integrability and application to stochastic quantization. Zbl 0903.60046Hu, Y.; Kallianpur, G. 10 1998 Integral representation of renormalized self-intersection local times. Zbl 1166.60047Hu, Yaozhong; Nualart, David; Song, Jian 9 2008 Central limit theorem for an additive functional of the fractional Brownian motion. Zbl 1294.60042Hu, Yaozhong; Nualart, David; Xu, Fangjun 8 2014 A multiparameter Garsia-Rodemich-Rumsey inequality and some applications. Zbl 1300.60051Hu, Yaozhong; Le, Khoa 8 2013 Regularity of renormalized self-intersection local time for fractional Brownian motion. Zbl 1143.60310Hu, Yaozhong; Nualart, David 8 2007 A unified approach to several inequalities for Gaussian and diffusion measures. Zbl 0957.60091Hu, Yaozhong 8 2000 Donsker’s delta functions and approximation of heat kernels by the time discretization methods. Zbl 0883.60056Hu, Yaozhong; Watanabe, Shinzo 8 1996 Analysis on Gaussian spaces. Zbl 1386.60005Hu, Yaozhong 7 2017 Maximum principle for general controlled systems driven by fractional Brownian motions. Zbl 1270.49021Han, Yuecai; Hu, Yaozhong; Song, Jian 7 2013 A nonlinear stochastic heat equation: Hölder continuity and smoothness of the density of the solution. Zbl 1272.60043Hu, Yaozhong; Nualart, David; Song, Jian 7 2013 Wick calculus for nonlinear Gaussian functionals. Zbl 1186.60034Hu, Yaozhong; Yan, Jiaan 7 2009 Some processes associated with fractional Bessel processes. Zbl 1074.60050Hu, Y.; Nualart, D. 7 2005 An approximation for the Zakai equation. Zbl 1001.60044Hu, Y.; Kallianpur, G.; Xiong, J. 7 2002 Stability and approximations of symmetric diffusion semigroups and kernels. Zbl 0907.47036Chen, Zhen-Qing; Qian, Zhongmin; Hu, Yaozhong; Zheng, Weian 7 1998 Wick approximation of quasilinear stochastic differential equations. Zbl 0845.60058Hu, Yaozhong; Øksendal, Bernt 7 1996 Parabolic Anderson model with rough dependence in space. Zbl 1408.60050Hu, Yaozhong; Huang, Jingyu; Lê, Khoa; Nualart, David; Tindel, Samy 6 2018 Temporal asymptotics for fractional parabolic Anderson model. Zbl 1390.60101Chen, Xia; Hu, Yaozhong; Song, Jian; Song, Xiaoming 6 2018 Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations. Zbl 1327.62451Hu, Yaozhong; Lee, Chihoon; Lee, Myung Hee; Song, Jian 6 2015 Fractional diffusion in Gaussian noisy environment. Zbl 1321.60135Hu, Guannan; Hu, Yaozhong 6 2015 On Hölder continuity of the solution of stochastic wave equations in dimension three. Zbl 1310.60096Hu, Yaozhong; Huang, Jingyu; Nualart, David 6 2014 Some results on backward stochastic differential equations driven by fractional Brownian motions. Zbl 1276.60062Hu, Yaozhong; Ocone, Daniel; Song, Jian 6 2012 A singular stochastic differential equation driven by fractional Brownian motion. Zbl 1283.60089Hu, Yaozhong; Nualart, David; Song, Xiaoming 6 2008 Tangent processes on Wiener space. Zbl 1005.60068Hu, Y.; Üstünel, A. S.; Zakai, M. 6 2002 On heat kernel logarithmic Sobolev inequalities. Zbl 0918.60039Driver, Bruce K.; Hu, Yaozhong 6 1996 Intermittency for the stochastic heat equation driven by a rough time fractional Gaussian noise. Zbl 1391.60153Chen, Le; Hu, Yaozhong; Kalbasi, Kamran; Nualart, David 5 2018 Spatial asymptotics for the parabolic Anderson model driven by a Gaussian rough noise. Zbl 1386.60135Chen, Xia; Hu, Yaozhong; Nualart, David; Tindel, Samy 5 2017 Nonlinear Young integrals and differential systems in Hölder media. Zbl 1356.60086Hu, Yaozhong; Lê, Khoa 5 2017 On Stratonovich and Skorohod stochastic calculus for Gaussian processes. Zbl 1274.60219Hu, Yaozhong; Jolis, Maria; Tindel, Samy 5 2013 Central limit theorem for the third moment in space of the Brownian local time increments. Zbl 1225.60090Hu, Yaozhong; Nualart, David 5 2010 Stochastic integral representation of the \(L^{2}\) modulus of Brownian local time and a central limit theorem. Zbl 1193.60074Hu, Yaozhong; Nualart, David 5 2009 Stochastic quantization of the two-dimensional polymer measure. Zbl 0945.60080Albeverio, S.; Hu, Y.-Z.; Röckner, M.; Zhou, X. Y. 5 1999 A remark on non-smoothness of the self-intersection local time of planar Brownian motion. Zbl 0878.60053Albeverio, Sergio; Hu, Yaozhong; Zhou, Xian Yin 5 1997 On the self-intersection local time of Brownian motion – via chaos expansion. Zbl 0878.60051Hu, Yaozhong 5 1996 Strong and weak order of time discretization schemes of stochastic differential equations. Zbl 0856.60062Hu, Yaozhong 5 1996 On the approximation of multiple Stratonovich integrals. Zbl 0798.60057Hu, Y. Z.; Meyer, P. A. 5 1993 Sur les intégrales multiples de Stratonovich. (On the multiple Stratonovich integrals). Zbl 0644.60082Hu, Y. Z.; Meyer, P. A. 5 1988 Nonlinear stochastic time-fractional slow and fast diffusion equations on \(\mathbb{R}^d\). Zbl 1427.60119Chen, Le; Hu, Yaozhong; Nualart, David 4 2019 Linear Volterra backward stochastic integral equations. Zbl 1405.60074Hu, Yaozhong; Øksendal, Bernt 4 2019 Smooth density for some nilpotent rough differential equations. Zbl 1277.60101Hu, Yaozhong; Tindel, Samy 4 2013 Drift parameter estimation for a reflected fractional Brownian motion based on its local time. Zbl 1301.60050Hu, Yaozhong; Lee, Chihoon 4 2013 Optimal smooth portfolio selection for an insider. Zbl 1136.60047Hu, Yaozhong; Øksendal, Bernt 4 2007 Finite difference approximation of the pressure equation for fluid flow in a stochastic medium. — a probabilistic approach. Zbl 0859.76045Holden, Helge; Hu, Yaozhong 4 1996 Singular mean-field control games. Zbl 1376.91029Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès 3 2017 Stochastic differential equation for Brox diffusion. Zbl 1378.60081Hu, Yaozhong; Lê, Khoa; Mytnik, Leonid 3 2017 Insider trading equilibrium in a market with memory. Zbl 1262.91156Biagini, Francesca; Hu, Yaozhong; Meyer-Brandis, Thilo; Øksendal, Bernt 3 2012 Exponential integrability of diffusion processes. Zbl 0936.60075Hu, Yaozhong 3 1999 Stochastic Taylor series and Campbell-Hausdorff formula according to Ben Arous. Zbl 0766.60069Hu, Yao-Zhong 3 1992 An implicit numerical scheme for a class of backward doubly stochastic differential equations. Zbl 07194626Hu, Yaozhong; Nualart, David; Song, Xiaoming 2 2020 Higher-order derivative of intersection local time for two independent fractional Brownian motions. Zbl 07081632Guo, Jingjun; Hu, Yaozhong; Xiao, Yanping 2 2019 Taylor schemes for rough differential equations and fractional diffusions. Zbl 1353.60064Nualart, David; Liu, Yanghui; Hu, Yaozhong 2 2016 On the intermittency front of stochastic heat equation driven by colored noises. Zbl 1338.60158Hu, Yaozhong; Huang, Jingyu; Nualart, David 2 2016 Density convergence in the Breuer-Major theorem for Gaussian stationary sequences. Zbl 1344.60025Hu, Yaozhong; Nualart, David; Tindel, Samy; Xu, Fangjun 2 2015 Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions. Zbl 1303.60047Hu, Yaozhong 2 2013 An enlargement of filtration for Brownian motion. Zbl 1249.60156Hu, Yaozhong 2 2011 Probability structure preserving and absolute continuity. Zbl 1002.60046Hu, Yaozhong 2 2002 Optimal portfolio in a fractional Black & Scholes market. Zbl 0974.91024Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès 2 2000 An implicit numerical scheme for a class of backward doubly stochastic differential equations. Zbl 07194626Hu, Yaozhong; Nualart, David; Song, Xiaoming 2 2020 Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations. Zbl 1436.62084Cheng, Yiying; Hu, Yaozhong; Long, Hongwei 1 2020 Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter. Zbl 1419.62211Hu, Yaozhong; Nualart, David; Zhou, Hongjuan 11 2019 Nonlinear stochastic time-fractional slow and fast diffusion equations on \(\mathbb{R}^d\). Zbl 1427.60119Chen, Le; Hu, Yaozhong; Nualart, David 4 2019 Linear Volterra backward stochastic integral equations. Zbl 1405.60074Hu, Yaozhong; Øksendal, Bernt 4 2019 Higher-order derivative of intersection local time for two independent fractional Brownian motions. Zbl 07081632Guo, Jingjun; Hu, Yaozhong; Xiao, Yanping 2 2019 On pricing barrier control in a regime-switching regulated market. Zbl 1420.91105Han, Zheng; Hu, Yaozhong; Lee, Chihoon 1 2019 Parabolic Anderson model with rough dependence in space. Zbl 1408.60050Hu, Yaozhong; Huang, Jingyu; Lê, Khoa; Nualart, David; Tindel, Samy 6 2018 Temporal asymptotics for fractional parabolic Anderson model. Zbl 1390.60101Chen, Xia; Hu, Yaozhong; Song, Jian; Song, Xiaoming 6 2018 Intermittency for the stochastic heat equation driven by a rough time fractional Gaussian noise. Zbl 1391.60153Chen, Le; Hu, Yaozhong; Kalbasi, Kamran; Nualart, David 5 2018 Large deviations for stochastic heat equation with rough dependence in space. Zbl 1379.60069Hu, Yaozhong; Nualart, David; Zhang, Tusheng 1 2018 Stochastic heat equation with rough dependence in space. Zbl 1393.60066Hu, Yaozhong; Huang, Jingyu; Lê, Khoa; Nualart, David; Tindel, Samy 16 2017 Space-time fractional diffusions in Gaussian noisy environment. Zbl 1379.60065Chen, Le; Hu, Guannan; Hu, Yaozhong; Huang, Jingyu 12 2017 Analysis on Gaussian spaces. Zbl 1386.60005Hu, Yaozhong 7 2017 Spatial asymptotics for the parabolic Anderson model driven by a Gaussian rough noise. Zbl 1386.60135Chen, Xia; Hu, Yaozhong; Nualart, David; Tindel, Samy 5 2017 Nonlinear Young integrals and differential systems in Hölder media. Zbl 1356.60086Hu, Yaozhong; Lê, Khoa 5 2017 Singular mean-field control games. Zbl 1376.91029Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès 3 2017 Stochastic differential equation for Brox diffusion. Zbl 1378.60081Hu, Yaozhong; Lê, Khoa; Mytnik, Leonid 3 2017 Two-point correlation function and Feynman-Kac formula for the stochastic heat equation. Zbl 1367.60079Chen, Le; Hu, Yaozhong; Nualart, David 1 2017 Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions. Zbl 1339.60095Hu, Yaozhong; Liu, Yanghui; Nualart, David 12 2016 Taylor schemes for rough differential equations and fractional diffusions. Zbl 1353.60064Nualart, David; Liu, Yanghui; Hu, Yaozhong 2 2016 On the intermittency front of stochastic heat equation driven by colored noises. Zbl 1338.60158Hu, Yaozhong; Huang, Jingyu; Nualart, David 2 2016 Nonlinear Young integrals via fractional calculus. Zbl 1338.60175Hu, Yaozhong; Lê, Khoa N. 1 2016 Stochastic heat equations with general multiplicative Gaussian noises: Hölder continuity and intermittency. Zbl 1322.60113Hu, Yaozhong; Huang, Jingyu; Nualart, David; Tindel, Samy 28 2015 Exponential asymptotics for time-space Hamiltonians. Zbl 1337.60201Chen, Xia; Hu, Yaozhong; Song, Jian; Xing, Fei 15 2015 Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations. Zbl 1327.62451Hu, Yaozhong; Lee, Chihoon; Lee, Myung Hee; Song, Jian 6 2015 Fractional diffusion in Gaussian noisy environment. Zbl 1321.60135Hu, Guannan; Hu, Yaozhong 6 2015 Density convergence in the Breuer-Major theorem for Gaussian stationary sequences. Zbl 1344.60025Hu, Yaozhong; Nualart, David; Tindel, Samy; Xu, Fangjun 2 2015 Convergence of densities of some functionals of Gaussian processes. Zbl 1290.60045Hu, Yaozhong; Lu, Fei; Nualart, David 11 2014 Central limit theorem for an additive functional of the fractional Brownian motion. Zbl 1294.60042Hu, Yaozhong; Nualart, David; Xu, Fangjun 8 2014 On Hölder continuity of the solution of stochastic wave equations in dimension three. Zbl 1310.60096Hu, Yaozhong; Huang, Jingyu; Nualart, David 6 2014 Long-memory processes and applications. Zbl 07022276Ding, Yiming (ed.); Hu, Yaozhong (ed.); Xiao, Weilin (ed.); Yan, Litan (ed.) 1 2014 The \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processes. Zbl 1306.60113Hu, Yaozhong; Nualart, David; Song, Jian 1 2014 Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations. Zbl 1268.62100Hu, Yaozhong; Song, Jian 13 2013 A multiparameter Garsia-Rodemich-Rumsey inequality and some applications. Zbl 1300.60051Hu, Yaozhong; Le, Khoa 8 2013 Maximum principle for general controlled systems driven by fractional Brownian motions. Zbl 1270.49021Han, Yuecai; Hu, Yaozhong; Song, Jian 7 2013 A nonlinear stochastic heat equation: Hölder continuity and smoothness of the density of the solution. Zbl 1272.60043Hu, Yaozhong; Nualart, David; Song, Jian 7 2013 On Stratonovich and Skorohod stochastic calculus for Gaussian processes. Zbl 1274.60219Hu, Yaozhong; Jolis, Maria; Tindel, Samy 5 2013 Smooth density for some nilpotent rough differential equations. Zbl 1277.60101Hu, Yaozhong; Tindel, Samy 4 2013 Drift parameter estimation for a reflected fractional Brownian motion based on its local time. Zbl 1301.60050Hu, Yaozhong; Lee, Chihoon 4 2013 Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions. Zbl 1303.60047Hu, Yaozhong 2 2013 Hölder continuity of the solutions for a class of nonlinear SPDE’s arising from one dimensional superprocesses. Zbl 1391.60159Hu, Yaozhong; Lu, Fei; Nualart, David 1 2013 Feynman-Kac formula for the heat equation driven by fractional noise with Hurst parameter \(H < 1/2\). Zbl 1253.60074Hu, Yaozhong; Lu, Fei; Nualart, David 19 2012 Some results on backward stochastic differential equations driven by fractional Brownian motions. Zbl 1276.60062Hu, Yaozhong; Ocone, Daniel; Song, Jian 6 2012 Insider trading equilibrium in a market with memory. Zbl 1262.91156Biagini, Francesca; Hu, Yaozhong; Meyer-Brandis, Thilo; Øksendal, Bernt 3 2012 Feynman-Kac formula for heat equation driven by fractional white noise. Zbl 1210.60056Hu, Yaozhong; Nualart, David; Song, Jian 34 2011 Malliavin calculus for backward stochastic differential equations and application to numerical solutions. Zbl 1246.60081Hu, Yaozhong; Nualart, David; Song, Xiaoming 19 2011 Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observation. Zbl 1245.62099Hu, Yaozhong; Nualart, David; Xiao, Weilin; Zhang, Weiguo 18 2011 An enlargement of filtration for Brownian motion. Zbl 1249.60156Hu, Yaozhong 2 2011 A numerical method for the simulation of turbulent mixing and its basis in mathematical theory. Zbl 1312.76018Kaman, T.; Lim, H.; Yu, Y.; Wang, D.; Hu, Y.; Kim, J.-D.; Li, Y.; Wu, L.; Glimm, J.; Jiao, X.; Li, X.-L.; Samulyak, R. 1 2011 Entanglement and decoherence of coupled superconductor qubits in contact with a common environment. Zbl 1245.81010Ji, Y. H.; Hu, Y.; Yu, Y. X. 1 2011 Controlling on entangled decoherence by the interaction model between qubit and environment. Zbl 1225.81013Ji, Y. H.; Lai, H. F.; Hu, Y. 1 2011 Parameter estimation for fractional Ornstein-Uhlenbeck processes. Zbl 1187.62137Hu, Yaozhong; Nualart, David 83 2010 Central limit theorem for the third moment in space of the Brownian local time increments. Zbl 1225.60090Hu, Yaozhong; Nualart, David 5 2010 Stochastic heat equation driven by fractional noise and local time. Zbl 1152.60331Hu, Yaozhong; Nualart, David 61 2009 Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions. Zbl 1171.62045Hu, Yaozhong; Long, Hongwei 37 2009 Rough path analysis via fractional calculus. Zbl 1175.60061Hu, Yaozhong; Nualart, David 33 2009 Backward stochastic differential equation driven by fractional Brownian motion. Zbl 1284.60117Hu, Yaozhong; Peng, Shige 26 2009 Fractional martingales and characterization of the fractional Brownian motion. Zbl 1196.60075Hu, Yaozhong; Nualart, David; Song, Jian 12 2009 On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions. Zbl 1212.60086Hu, Yaozhong; Long, Hongwei 11 2009 Wick calculus for nonlinear Gaussian functionals. Zbl 1186.60034Hu, Yaozhong; Yan, Jiaan 7 2009 Stochastic integral representation of the \(L^{2}\) modulus of Brownian local time and a central limit theorem. Zbl 1193.60074Hu, Yaozhong; Nualart, David 5 2009 Stochastic calculus for fractional Brownian motion and applications. Zbl 1157.60002Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng 194 2008 Partial information linear quadratic control for jump diffusions. Zbl 1165.93037Hu, Yaozhong; Øksendal, Bernt 17 2008 Integral representation of renormalized self-intersection local times. Zbl 1166.60047Hu, Yaozhong; Nualart, David; Song, Jian 9 2008 A singular stochastic differential equation driven by fractional Brownian motion. Zbl 1283.60089Hu, Yaozhong; Nualart, David; Song, Xiaoming 6 2008 A delayed Black and Scholes formula. Zbl 1119.60059Arriojas, Mercedes; Hu, Yaozhong; Mohammed, Salah-Eldin; Pap, Gyula 49 2007 Differential equations driven by Hölder continuous functions of order greater than \(1/2\). Zbl 1144.34038Hu, Yaozhong; Nualart, David 42 2007 Parameter estimation for Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy motions. Zbl 1328.62505Hu, Yaozhong; Long, Hongwei 23 2007 Regularity of renormalized self-intersection local time for fractional Brownian motion. Zbl 1143.60310Hu, Yaozhong; Nualart, David 8 2007 Optimal smooth portfolio selection for an insider. Zbl 1136.60047Hu, Yaozhong; Øksendal, Bernt 4 2007 Integral transformations and anticipative calculus for fractional Brownian motions. Zbl 1072.60044Hu, Yaozhong 61 2005 Renormalized self-intersection local time for fractional Brownian motion. Zbl 1093.60017Hu, Yaozhong; Nualart, David 50 2005 Stochastic control for linear systems driven by fractional noises. Zbl 1116.93055Hu, Yaozhong; Zhou, Xun Yu 24 2005 Weighted local time for fractional Brownian motion and applications to finance. Zbl 1067.60028Hu, Yaozhong; Øksendal, Bernt; Salopek, Donna Mary 10 2005 Some processes associated with fractional Bessel processes. Zbl 1074.60050Hu, Y.; Nualart, D. 7 2005 Discrete-time approximations of stochastic delay equations: the Milstein scheme. Zbl 1062.60065Hu, Yaozhong; Mohammed, Salah-Eldin A.; Yan, Feng 47 2004 General fractional multiparameter white noise theory and stochastic partial differential equations. Zbl 1067.35161Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng 13 2004 Fractional white noise calculus and applications to finance. Zbl 1045.60072Hu, Yaozhong; Øksendal, Bernt 127 2003 Optimal consumption and portfolio in a Black–Scholes market driven by fractional Brownian motion. Zbl 1180.91266Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnés 17 2003 A stochastic maximum principle for processes driven by fractional Brownian motion. Zbl 1064.93048Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès 29 2002 Chaos expansion of heat equations with white noise potentials. Zbl 0993.60063Hu, Yaozhong 14 2002 Chaos expansion of local time of fractional Brownian motions. Zbl 1011.60016Hu, Yaozhong; Øksendal, Bernt 13 2002 An approximation for the Zakai equation. Zbl 1001.60044Hu, Y.; Kallianpur, G.; Xiong, J. 7 2002 Tangent processes on Wiener space. Zbl 1005.60068Hu, Y.; Üstünel, A. S.; Zakai, M. 6 2002 Probability structure preserving and absolute continuity. Zbl 1002.60046Hu, Yaozhong 2 2002 Option pricing in a market where the volatility is driven by fractional Brownian motions. Zbl 1036.91024Hu, Yaozhong 1 2002 Heat equations with fractional white noise potentials. Zbl 0993.60065Hu, Y. 62 2001 Self-intersection local time of fractional Brownian motions – via chaos expansion. Zbl 1008.60091Hu, Yaozhong 25 2001 Stochastic calculus for fractional Brownian motion. I: Theory. Zbl 0947.60061Duncan, Tyrone E.; Hu, Yaozhong; Pasik-Duncan, Bozenna 202 2000 Stochastic partial differential equations driven by multiparameter fractional white noise. Zbl 0982.60054Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng 24 2000 Schrödinger equations with fractional Laplacians. Zbl 1002.60048Hu, Y.; Kallianpur, G. 12 2000 A unified approach to several inequalities for Gaussian and diffusion measures. Zbl 0957.60091Hu, Yaozhong 8 2000 Optimal portfolio in a fractional Black & Scholes market. Zbl 0974.91024Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès 2 2000 Prediction and translation of fractional Brownian motions. Zbl 0973.60059Hu, Yaozhong 2 2000 Multi-dimensional geometric Brownian motions, Onsager-Machlup functions, and applications to mathematical finance. Zbl 0968.60054Hu, Yaozhong 2 2000 Optimal times to observe in the Kalman-Bucy models. Zbl 0956.60061Hu, Yaozhong 2 2000 Adhesion of smoothly flat-ended wedges. Zbl 0969.74046Leng, Y. S.; Hu, Y. Z.; Zheng, L. Q. 1 2000 Stochastic quantization of the two-dimensional polymer measure. Zbl 0945.60080Albeverio, S.; Hu, Y.-Z.; Röckner, M.; Zhou, X. Y. 5 1999 Exponential integrability of diffusion processes. Zbl 0936.60075Hu, Yaozhong 3 1999 ...and 19 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,384 Authors 64 Nualart, David 54 Hu, Yaozhong 47 Yan, Litan 23 Tindel, Samy 23 Tudor, Ciprian A. 17 Jumarie, Guy M. 16 Shen, Guangjun 15 Liu, Junfeng 15 Mishura, Yuliya Stepanivna 14 Øksendal, Bernt Karsten 12 Nourdin, Ivan 12 Song, Jian 11 Balan, Raluca M. 11 Es-Sebaiy, Khalifa 11 Maslowski, Bohdan 10 Jentzen, Arnulf 10 Jolis, Maria 10 Mao, Xuerong 10 Wu, Zhen 10 Zeng, Caibin 9 Chen, Xia 9 Jiang, Yiming 9 Peccati, Giovanni 9 Shevchenko, Georgiy M. 9 Sun, Xichao 9 Wang, Yongjin 9 Xiao, Wei-Lin 9 Yu, Xianye 8 Chen, Chao 8 da Silva, José Luís 8 Garrido-Atienza, María José 8 Le, Khoa N. 8 Makasu, Cloud 8 Müller-Gronbach, Thomas 8 Neuenkirch, Andreas 8 Ralchenko, Kostiantyn V. 8 Wang, Zhi 8 Xu, Yong 8 Yang, Qigui 7 Alpay, Daniel Aron 7 Baudoin, Fabrice 7 Bender, Christian 7 Friz, Peter Karl 7 Lanconelli, Alberto 7 León, Jorge A. 7 Long, Hongwei 7 Pap, Gyula 7 Pei, Bin 7 Schmalfuß, Björn 7 Taqqu, Murad S. 7 Viitasaari, Lauri 7 Xiao, Yimin 7 Xu, Fangjun 7 Yin, Xiuwei 7 Yuan, Chenggui 6 Deya, Aurélien 6 Duncan, Tyrone E. 6 Fan, Xiliang 6 Hairer, Martin 6 Huang, Chengming 6 Huang, Jingyu 6 Pasik-Duncan, Bozenna 6 Song, Xiaoming 6 Yang, Xiaoyuan 6 Zhang, Weiguo 5 Agram, Nacira 5 Besalú, Mireia 5 Cao, Wanrong 5 Chen, Yangquan 5 Christensen, Soren 5 Corcuera, José Manuel 5 Duan, Jinqiao 5 Hutzenthaler, Martin 5 Inahama, Yuzuru 5 Kloeden, Peter Eris 5 Levanony, David 5 Liu, Yanghui 5 Ohashi, Alberto Masayoshi F. 5 Ouyang, Cheng 5 Rovira, Carles 5 Russo, Francesco 5 Saussereau, Bruno 5 Torres, Soledad 5 Viens, Frederi G. 5 Wang, Xiaojie 5 Wu, Fuke 5 Wu, Jianglun 5 Xia, Dengfeng 5 Zhang, Xili 5 Zhang, Xinsheng 4 Anh, Vo V. 4 Barczy, Mátyás 4 Barndorff-Nielsen, Ole Eiler 4 Biagini, Francesca 4 Bo, Lijun 4 Bock, Wolfgang 4 Caithamer, Peter 4 Cass, Thomas Richard 4 Chen, Le 4 Coutin, Laure ...and 1,284 more Authors all top 5 Cited in 254 Serials 87 Stochastic Processes and their Applications 59 Statistics & Probability Letters 49 Stochastic Analysis and Applications 35 Journal of Computational and Applied Mathematics 34 Journal of Theoretical Probability 33 The Annals of Probability 31 Stochastics and Dynamics 29 Journal of Functional Analysis 26 Bernoulli 24 Stochastics 20 Journal of Mathematical Analysis and Applications 19 Abstract and Applied Analysis 19 Statistical Inference for Stochastic Processes 19 Advances in Difference Equations 16 Applied Mathematics and Computation 14 Annales de l’Institut Henri Poincaré. 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Real World Applications ...and 154 more Serials all top 5 Cited in 45 Fields 1,060 Probability theory and stochastic processes (60-XX) 178 Statistics (62-XX) 171 Numerical analysis (65-XX) 166 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 150 Partial differential equations (35-XX) 118 Ordinary differential equations (34-XX) 106 Systems theory; control (93-XX) 52 Real functions (26-XX) 45 Dynamical systems and ergodic theory (37-XX) 40 Calculus of variations and optimal control; optimization (49-XX) 30 Operator theory (47-XX) 19 Functional analysis (46-XX) 18 Quantum theory (81-XX) 18 Statistical mechanics, structure of matter (82-XX) 16 Global analysis, analysis on manifolds (58-XX) 13 Integral equations (45-XX) 13 Operations research, mathematical programming (90-XX) 11 Measure and integration (28-XX) 11 Biology and other natural sciences (92-XX) 10 Harmonic analysis on Euclidean spaces (42-XX) 10 Fluid mechanics (76-XX) 8 Computer science (68-XX) 6 Functions of a complex variable (30-XX) 6 Mechanics of particles and systems (70-XX) 5 Topological groups, Lie groups (22-XX) 5 Special functions (33-XX) 4 Linear and multilinear algebra; matrix theory (15-XX) 4 Information and communication theory, circuits (94-XX) 3 Approximations and expansions (41-XX) 3 Integral transforms, operational calculus (44-XX) 3 Differential geometry (53-XX) 2 History and biography (01-XX) 2 Combinatorics (05-XX) 2 Potential theory (31-XX) 2 Difference and functional equations (39-XX) 2 Sequences, series, summability (40-XX) 2 Abstract harmonic analysis (43-XX) 2 Geophysics (86-XX) 1 Associative rings and algebras (16-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Convex and discrete geometry (52-XX) 1 Mechanics of deformable solids (74-XX) 1 Optics, electromagnetic theory (78-XX) 1 Relativity and gravitational theory (83-XX) 1 Astronomy and astrophysics (85-XX) Citations by Year