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Author ID: hu.yaozhong Recent zbMATH articles by "Hu, Yaozhong"
Published as: Hu, Yaozhong; Hu, Y.; Hu, Yao-Zhong; Hu, Y. Z.; Hu, YaoZhong; Hu, Y.-Z.
Homepage: https://sites.ualberta.ca/~yaozhong/
External Links: MGP · IdRef · theses.fr
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Serials

8 The Annals of Probability
8 Stochastic Processes and their Applications
8 Acta Mathematica Scientia. Series B. (English Edition)
7 Acta Mathematica Scientia
6 Applied Mathematics and Optimization
6 Statistics & Probability Letters
5 Journal of Theoretical Probability
4 Journal of Functional Analysis
4 SIAM Journal on Control and Optimization
4 Stochastic Analysis and Applications
4 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
4 Electronic Journal of Probability
4 Electronic Communications in Probability
4 Statistical Inference for Stochastic Processes
4 Stochastics
3 Probability Theory and Related Fields
3 The Annals of Applied Probability
3 Stochastics and Stochastics Reports
2 Journal of Applied Probability
2 Journal of Mathematics of Kyoto University
2 Memoirs of the American Mathematical Society
2 Transactions of the American Mathematical Society
2 Systems & Control Letters
2 Communications in Partial Differential Equations
2 Potential Analysis
2 Bernoulli
2 Infinite Dimensional Analysis, Quantum Probability and Related Topics
2 Quantitative Finance
2 Discrete and Continuous Dynamical Systems. Series B
1 IMA Journal of Numerical Analysis
1 Journal of Computational and Applied Mathematics
1 Journal of Differential Equations
1 Journal of the Mathematical Society of Japan
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 Theory of Probability and Mathematical Statistics
1 Boletín de la Sociedad Matemática Mexicana. Third Series
1 Finance and Stochastics
1 Abstract and Applied Analysis
1 Acta Mathematica Scientia. Series B. (English Edition)
1 Communications in Nonlinear Science and Numerical Simulation
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

Publications by Year

Citations contained in zbMATH Open

130 Publications have been cited 2,291 times in 1,430 Documents Cited by Year
Stochastic calculus for fractional Brownian motion. I: Theory. Zbl 0947.60061
Duncan, Tyrone E.; Hu, Yaozhong; Pasik-Duncan, Bozenna
221
2000
Stochastic calculus for fractional Brownian motion and applications. Zbl 1157.60002
Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
176
2008
Fractional white noise calculus and applications to finance. Zbl 1045.60072
Hu, Yaozhong; Øksendal, Bernt
152
2003
Parameter estimation for fractional Ornstein-Uhlenbeck processes. Zbl 1187.62137
Hu, Yaozhong; Nualart, David
113
2010
Stochastic heat equation driven by fractional noise and local time. Zbl 1152.60331
Hu, Yaozhong; Nualart, David
71
2009
Integral transformations and anticipative calculus for fractional Brownian motions. Zbl 1072.60044
Hu, Yaozhong
69
2005
Heat equations with fractional white noise potentials. Zbl 0993.60065
Hu, Y.
68
2001
Renormalized self-intersection local time for fractional Brownian motion. Zbl 1093.60017
Hu, Yaozhong; Nualart, David
56
2005
A delayed Black and Scholes formula. Zbl 1119.60059
Arriojas, Mercedes; Hu, Yaozhong; Mohammed, Salah-Eldin; Pap, Gyula
52
2007
Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions. Zbl 1171.62045
Hu, Yaozhong; Long, Hongwei
51
2009
Discrete-time approximations of stochastic delay equations: the Milstein scheme. Zbl 1062.60065
Hu, Yaozhong; Mohammed, Salah-Eldin A.; Yan, Feng
49
2004
Semi-implicit Euler-Maruyama scheme for stiff stochastic equations. Zbl 0848.60057
Hu, Yaozhong
48
1996
Stochastic heat equations with general multiplicative Gaussian noises: Hölder continuity and intermittency. Zbl 1322.60113
Hu, Yaozhong; Huang, Jingyu; Nualart, David; Tindel, Samy
48
2015
Differential equations driven by Hölder continuous functions of order greater than \(1/2\). Zbl 1144.34038
Hu, Yaozhong; Nualart, David
45
2007
Feynman-Kac formula for heat equation driven by fractional white noise. Zbl 1210.60056
Hu, Yaozhong; Nualart, David; Song, Jian
42
2011
Rough path analysis via fractional calculus. Zbl 1175.60061
Hu, Yaozhong; Nualart, David
38
2009
A stochastic maximum principle for processes driven by fractional Brownian motion. Zbl 1064.93048
Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès
29
2002
Backward stochastic differential equation driven by fractional Brownian motion. Zbl 1284.60117
Hu, Yaozhong; Peng, Shige
29
2009
Self-intersection local time of fractional Brownian motions – via chaos expansion. Zbl 1008.60091
Hu, Yaozhong
29
2001
Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter. Zbl 1419.62211
Hu, Yaozhong; Nualart, David; Zhou, Hongjuan
28
2019
Malliavin calculus for backward stochastic differential equations and application to numerical solutions. Zbl 1246.60081
Hu, Yaozhong; Nualart, David; Song, Xiaoming
26
2011
Parameter estimation for Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy motions. Zbl 1328.62505
Hu, Yaozhong; Long, Hongwei
26
2007
Stochastic heat equation with rough dependence in space. Zbl 1393.60066
Hu, Yaozhong; Huang, Jingyu; Lê, Khoa; Nualart, David; Tindel, Samy
26
2017
Stochastic control for linear systems driven by fractional noises. Zbl 1116.93055
Hu, Yaozhong; Zhou, Xun Yu
25
2005
Optimal time to invest when the price processes are geometric Brownian motions. Zbl 0904.60030
Hu, Yaozhong; Øksendal, Bernt
24
1998
Feynman-Kac formula for the heat equation driven by fractional noise with Hurst parameter \(H < 1/2\). Zbl 1253.60074
Hu, Yaozhong; Lu, Fei; Nualart, David
23
2012
Partial information linear quadratic control for jump diffusions. Zbl 1165.93037
Hu, Yaozhong; Øksendal, Bernt
21
2008
Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions. Zbl 1339.60095
Hu, Yaozhong; Liu, Yanghui; Nualart, David
20
2016
Exponential asymptotics for time-space Hamiltonians. Zbl 1337.60201
Chen, Xia; Hu, Yaozhong; Song, Jian; Xing, Fei
20
2015
Itô-Wiener chaos expansion with exact residual and correlation, variance inequalities. Zbl 0891.60060
Hu, Yaozhong
19
1997
Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observation. Zbl 1245.62099
Hu, Yaozhong; Nualart, David; Xiao, Weilin; Zhang, Weiguo
19
2011
Optimal consumption and portfolio in a Black–Scholes market driven by fractional Brownian motion. Zbl 1180.91266
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnés
18
2003
Schrödinger equations with fractional Laplacians. Zbl 1002.60048
Hu, Y.; Kallianpur, G.
18
2000
Chaos expansion of local time of fractional Brownian motions. Zbl 1011.60016
Hu, Yaozhong; Øksendal, Bernt
16
2002
Chaos expansion of heat equations with white noise potentials. Zbl 0993.60063
Hu, Yaozhong
16
2002
Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design. Zbl 0868.60048
Cambanis, Stamatis; Hu, Yaozhong
16
1996
Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations. Zbl 1268.62100
Hu, Yaozhong; Song, Jian
16
2013
General fractional multiparameter white noise theory and stochastic partial differential equations. Zbl 1067.35161
Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
15
2004
Analysis on Gaussian spaces. Zbl 1386.60005
Hu, Yaozhong
15
2017
Fractional martingales and characterization of the fractional Brownian motion. Zbl 1196.60075
Hu, Yaozhong; Nualart, David; Song, Jian
14
2009
A multiparameter Garsia-Rodemich-Rumsey inequality and some applications. Zbl 1300.60051
Hu, Yaozhong; Le, Khoa
13
2013
On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions. Zbl 1212.60086
Hu, Yaozhong; Long, Hongwei
12
2009
Space-time fractional diffusions in Gaussian noisy environment. Zbl 1379.60065
Chen, Le; Hu, Guannan; Hu, Yaozhong; Huang, Jingyu
12
2017
Convergence of densities of some functionals of Gaussian processes. Zbl 1290.60045
Hu, Yaozhong; Lu, Fei; Nualart, David
12
2014
Linear Volterra backward stochastic integral equations. Zbl 1405.60074
Hu, Yaozhong; Øksendal, Bernt
12
2019
Wick calculus for nonlinear Gaussian functionals. Zbl 1186.60034
Hu, Yaozhong; Yan, Jiaan
11
2009
An approximation for the Zakai equation. Zbl 1001.60044
Hu, Y.; Kallianpur, G.; Xiong, J.
11
2002
Donsker’s delta functions and approximation of heat kernels by the time discretization methods. Zbl 0883.60056
Hu, Yaozhong; Watanabe, Shinzo
11
1996
Spatial asymptotics for the parabolic Anderson model driven by a Gaussian rough noise. Zbl 1386.60135
Chen, Xia; Hu, Yaozhong; Nualart, David; Tindel, Samy
11
2017
On Hölder continuity of the solution of stochastic wave equations in dimension three. Zbl 1310.60096
Hu, Yaozhong; Huang, Jingyu; Nualart, David
11
2014
Central limit theorem for an additive functional of the fractional Brownian motion. Zbl 1294.60042
Hu, Yaozhong; Nualart, David; Xu, Fangjun
11
2014
Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations. Zbl 1327.62451
Hu, Yaozhong; Lee, Chihoon; Lee, Myung Hee; Song, Jian
11
2015
On Stratonovich and Skorohod stochastic calculus for Gaussian processes. Zbl 1274.60219
Hu, Yaozhong; Jolis, Maria; Tindel, Samy
11
2013
Stochastic partial differential equations driven by multiparameter fractional white noise. Zbl 0982.60054
Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
10
2000
Weighted local time for fractional Brownian motion and applications to finance. Zbl 1067.60028
Hu, Yaozhong; Øksendal, Bernt; Salopek, Donna Mary
10
2005
A singular stochastic differential equation driven by fractional Brownian motion. Zbl 1283.60089
Hu, Yaozhong; Nualart, David; Song, Xiaoming
10
2008
Integral representation of renormalized self-intersection local times. Zbl 1166.60047
Hu, Yaozhong; Nualart, David; Song, Jian
10
2008
Regularity of renormalized self-intersection local time for fractional Brownian motion. Zbl 1143.60310
Hu, Yaozhong; Nualart, David
10
2007
Exponential integrability and application to stochastic quantization. Zbl 0903.60046
Hu, Y.; Kallianpur, G.
10
1998
Intermittency for the stochastic heat equation driven by a rough time fractional Gaussian noise. Zbl 1391.60153
Chen, Le; Hu, Yaozhong; Kalbasi, Kamran; Nualart, David
10
2018
Parabolic Anderson model with rough dependence in space. Zbl 1408.60050
Hu, Yaozhong; Huang, Jingyu; Lê, Khoa; Nualart, David; Tindel, Samy
10
2018
Maximum principle for general controlled systems driven by fractional Brownian motions. Zbl 1270.49021
Han, Yuecai; Hu, Yaozhong; Song, Jian
9
2013
A nonlinear stochastic heat equation: Hölder continuity and smoothness of the density of the solution. Zbl 1272.60043
Hu, Yaozhong; Nualart, David; Song, Jian
9
2013
Wick approximation of quasilinear stochastic differential equations. Zbl 0845.60058
Hu, Yaozhong; Øksendal, Bernt
8
1996
A unified approach to several inequalities for Gaussian and diffusion measures. Zbl 0957.60091
Hu, Yaozhong
8
2000
A remark on non-smoothness of the self-intersection local time of planar Brownian motion. Zbl 0878.60053
Albeverio, Sergio; Hu, Yaozhong; Zhou, Xian Yin
8
1997
Some results on backward stochastic differential equations driven by fractional Brownian motions. Zbl 1276.60062
Hu, Yaozhong; Ocone, Daniel; Song, Jian
8
2012
Some processes associated with fractional Bessel processes. Zbl 1074.60050
Hu, Y.; Nualart, D.
7
2005
Stability and approximations of symmetric diffusion semigroups and kernels. Zbl 0907.47036
Chen, Zhen-Qing; Qian, Zhongmin; Hu, Yaozhong; Zheng, Weian
7
1998
Nonlinear Young integrals and differential systems in Hölder media. Zbl 1356.60086
Hu, Yaozhong; Lê, Khoa
7
2017
Drift parameter estimation for a reflected fractional Brownian motion based on its local time. Zbl 1301.60050
Hu, Yaozhong; Lee, Chihoon
7
2013
Nonlinear stochastic time-fractional slow and fast diffusion equations on \(\mathbb{R}^d\). Zbl 1427.60119
Chen, Le; Hu, Yaozhong; Nualart, David
6
2019
Tangent processes on Wiener space. Zbl 1005.60068
Hu, Y.; Üstünel, A. S.; Zakai, M.
6
2002
Strong and weak order of time discretization schemes of stochastic differential equations. Zbl 0856.60062
Hu, Yaozhong
6
1996
On heat kernel logarithmic Sobolev inequalities. Zbl 0918.60039
Driver, Bruce K.; Hu, Yaozhong
6
1996
Temporal asymptotics for fractional parabolic Anderson model. Zbl 1390.60101
Chen, Xia; Hu, Yaozhong; Song, Jian; Song, Xiaoming
6
2018
Smooth density for some nilpotent rough differential equations. Zbl 1277.60101
Hu, Yaozhong; Tindel, Samy
6
2013
Parameter estimation of complex fractional Ornstein-Uhlenbeck processes with fractional noise. Zbl 1375.60098
Chen, Yong; Hu, Yaozhong; Wang, Zhi
6
2017
Fractional diffusion in Gaussian noisy environment. Zbl 1321.60135
Hu, Guannan; Hu, Yaozhong
6
2015
Insider trading equilibrium in a market with memory. Zbl 1262.91156
Biagini, Francesca; Hu, Yaozhong; Meyer-Brandis, Thilo; Øksendal, Bernt
6
2012
Higher-order derivative of intersection local time for two independent fractional Brownian motions. Zbl 1478.60125
Guo, Jingjun; Hu, Yaozhong; Xiao, Yanping
6
2019
Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations. Zbl 1436.62084
Cheng, Yiying; Hu, Yaozhong; Long, Hongwei
5
2020
On the approximation of multiple Stratonovich integrals. Zbl 0798.60057
Hu, Y. Z.; Meyer, P. A.
5
1993
Central limit theorem for the third moment in space of the Brownian local time increments. Zbl 1225.60090
Hu, Yaozhong; Nualart, David
5
2010
Optimal smooth portfolio selection for an insider. Zbl 1136.60047
Hu, Yaozhong; Øksendal, Bernt
5
2007
Stochastic quantization of the two-dimensional polymer measure. Zbl 0945.60080
Albeverio, S.; Hu, Y.-Z.; Röckner, M.; Zhou, X. Y.
5
1999
On the self-intersection local time of Brownian motion – via chaos expansion. Zbl 0878.60051
Hu, Yaozhong
5
1996
Singular mean-field control games. Zbl 1376.91029
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès
5
2017
Stochastic integral representation of the \(L^{2}\) modulus of Brownian local time and a central limit theorem. Zbl 1193.60074
Hu, Yaozhong; Nualart, David
5
2009
Finite difference approximation of the pressure equation for fluid flow in a stochastic medium. — a probabilistic approach. Zbl 0859.76045
Holden, Helge; Hu, Yaozhong
4
1996
Two-point correlation function and Feynman-Kac formula for the stochastic heat equation. Zbl 1367.60079
Chen, Le; Hu, Yaozhong; Nualart, David
4
2017
Stochastic differential equation for Brox diffusion. Zbl 1378.60081
Hu, Yaozhong; Lê, Khoa; Mytnik, Leonid
4
2017
Regularity and strict positivity of densities for the nonlinear stochastic heat equation. Zbl 07492806
Chen, Le; Hu, Yaozhong; Nualart, David
3
2021
Sur les intégrales multiples de Stratonovich. (On the multiple Stratonovich integrals). Zbl 0644.60082
Hu, Y. Z.; Meyer, P. A.
3
1988
Stochastic Taylor series and Campbell-Hausdorff formula according to Ben Arous. (Série de Taylor stochastique et formule de Campbell-Hausdorff, d’après Ben Arous.) Zbl 0766.60069
Hu, Yao-Zhong
3
1992
Exponential integrability of diffusion processes. Zbl 0936.60075
Hu, Yaozhong
3
1999
An enlargement of filtration for Brownian motion. Zbl 1249.60156
Hu, Yaozhong
3
2011
Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions. Zbl 1303.60047
Hu, Yaozhong
3
2013
Taylor schemes for rough differential equations and fractional diffusions. Zbl 1353.60064
Nualart, David; Liu, Yanghui; Hu, Yaozhong
3
2016
Density convergence in the Breuer-Major theorem for Gaussian stationary sequences. Zbl 1344.60025
Hu, Yaozhong; Nualart, David; Tindel, Samy; Xu, Fangjun
3
2015
Asymptotics of the density of parabolic Anderson random fields. Zbl 1484.60068
Hu, Yaozhong; Lê, Khoa
1
2022
Stochastic heat equation with general rough noise. Zbl 1483.60094
Hu, Yaozhong; Wang, Xiong
1
2022
Regularity and strict positivity of densities for the nonlinear stochastic heat equation. Zbl 07492806
Chen, Le; Hu, Yaozhong; Nualart, David
3
2021
Asymptotic separation for stochastic Volterra integral equations with doubly singular kernels. Zbl 1460.45005
Li, Min; Huang, Chengming; Hu, Yaozhong
2
2021
Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions. Zbl 1476.60075
Hu, Yaozhong; Liu, Yanghui; Nualart, David
1
2021
Estimation of all parameters in the reflected Ornstein-Uhlenbeck process from discrete observations. Zbl 1474.62297
Hu, Yaozhong; Xi, Yuejuan
1
2021
Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations. Zbl 1471.62452
Haress, El Mehdi; Hu, Yaozhong
1
2021
Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations. Zbl 1436.62084
Cheng, Yiying; Hu, Yaozhong; Long, Hongwei
5
2020
An implicit numerical scheme for a class of backward doubly stochastic differential equations. Zbl 1467.60040
Hu, Yaozhong; Nualart, David; Song, Xiaoming
2
2020
Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter. Zbl 1419.62211
Hu, Yaozhong; Nualart, David; Zhou, Hongjuan
28
2019
Linear Volterra backward stochastic integral equations. Zbl 1405.60074
Hu, Yaozhong; Øksendal, Bernt
12
2019
Nonlinear stochastic time-fractional slow and fast diffusion equations on \(\mathbb{R}^d\). Zbl 1427.60119
Chen, Le; Hu, Yaozhong; Nualart, David
6
2019
Higher-order derivative of intersection local time for two independent fractional Brownian motions. Zbl 1478.60125
Guo, Jingjun; Hu, Yaozhong; Xiao, Yanping
6
2019
Schrödinger equation with Gaussian potential. Zbl 07096679
Hu, Y.
1
2019
On pricing barrier control in a regime-switching regulated market. Zbl 1420.91105
Han, Zheng; Hu, Yaozhong; Lee, Chihoon
1
2019
Some recent progress on stochastic heat equations. Zbl 07552184
Hu, Yaozhong
1
2019
Intermittency for the stochastic heat equation driven by a rough time fractional Gaussian noise. Zbl 1391.60153
Chen, Le; Hu, Yaozhong; Kalbasi, Kamran; Nualart, David
10
2018
Parabolic Anderson model with rough dependence in space. Zbl 1408.60050
Hu, Yaozhong; Huang, Jingyu; Lê, Khoa; Nualart, David; Tindel, Samy
10
2018
Temporal asymptotics for fractional parabolic Anderson model. Zbl 1390.60101
Chen, Xia; Hu, Yaozhong; Song, Jian; Song, Xiaoming
6
2018
Large deviations for stochastic heat equation with rough dependence in space. Zbl 1379.60069
Hu, Yaozhong; Nualart, David; Zhang, Tusheng
2
2018
Stochastic heat equation with rough dependence in space. Zbl 1393.60066
Hu, Yaozhong; Huang, Jingyu; Lê, Khoa; Nualart, David; Tindel, Samy
26
2017
Analysis on Gaussian spaces. Zbl 1386.60005
Hu, Yaozhong
15
2017
Space-time fractional diffusions in Gaussian noisy environment. Zbl 1379.60065
Chen, Le; Hu, Guannan; Hu, Yaozhong; Huang, Jingyu
12
2017
Spatial asymptotics for the parabolic Anderson model driven by a Gaussian rough noise. Zbl 1386.60135
Chen, Xia; Hu, Yaozhong; Nualart, David; Tindel, Samy
11
2017
Nonlinear Young integrals and differential systems in Hölder media. Zbl 1356.60086
Hu, Yaozhong; Lê, Khoa
7
2017
Parameter estimation of complex fractional Ornstein-Uhlenbeck processes with fractional noise. Zbl 1375.60098
Chen, Yong; Hu, Yaozhong; Wang, Zhi
6
2017
Singular mean-field control games. Zbl 1376.91029
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès
5
2017
Two-point correlation function and Feynman-Kac formula for the stochastic heat equation. Zbl 1367.60079
Chen, Le; Hu, Yaozhong; Nualart, David
4
2017
Stochastic differential equation for Brox diffusion. Zbl 1378.60081
Hu, Yaozhong; Lê, Khoa; Mytnik, Leonid
4
2017
Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions. Zbl 1339.60095
Hu, Yaozhong; Liu, Yanghui; Nualart, David
20
2016
Taylor schemes for rough differential equations and fractional diffusions. Zbl 1353.60064
Nualart, David; Liu, Yanghui; Hu, Yaozhong
3
2016
On the intermittency front of stochastic heat equation driven by colored noises. Zbl 1338.60158
Hu, Yaozhong; Huang, Jingyu; Nualart, David
2
2016
Optimal pricing barriers in a regulated market using reflected diffusion processes. Zbl 1469.62362
Han, Zheng; Hu, Yaozhong; Lee, Chihoon
1
2016
Nonlinear Young integrals via fractional calculus. Zbl 1338.60175
Hu, Yaozhong; Lê, Khoa N.
1
2016
Stochastic heat equations with general multiplicative Gaussian noises: Hölder continuity and intermittency. Zbl 1322.60113
Hu, Yaozhong; Huang, Jingyu; Nualart, David; Tindel, Samy
48
2015
Exponential asymptotics for time-space Hamiltonians. Zbl 1337.60201
Chen, Xia; Hu, Yaozhong; Song, Jian; Xing, Fei
20
2015
Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations. Zbl 1327.62451
Hu, Yaozhong; Lee, Chihoon; Lee, Myung Hee; Song, Jian
11
2015
Fractional diffusion in Gaussian noisy environment. Zbl 1321.60135
Hu, Guannan; Hu, Yaozhong
6
2015
Density convergence in the Breuer-Major theorem for Gaussian stationary sequences. Zbl 1344.60025
Hu, Yaozhong; Nualart, David; Tindel, Samy; Xu, Fangjun
3
2015
Smoothness of the joint density for spatially homogeneous SPDEs. Zbl 1334.60111
Hu, Yaozhong; Huang, Jingyu; Nualart, David; Sun, Xiaobin
2
2015
Convergence of densities of some functionals of Gaussian processes. Zbl 1290.60045
Hu, Yaozhong; Lu, Fei; Nualart, David
12
2014
On Hölder continuity of the solution of stochastic wave equations in dimension three. Zbl 1310.60096
Hu, Yaozhong; Huang, Jingyu; Nualart, David
11
2014
Central limit theorem for an additive functional of the fractional Brownian motion. Zbl 1294.60042
Hu, Yaozhong; Nualart, David; Xu, Fangjun
11
2014
The \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processes. Zbl 1306.60113
Hu, Yaozhong; Nualart, David; Song, Jian
1
2014
Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations. Zbl 1268.62100
Hu, Yaozhong; Song, Jian
16
2013
A multiparameter Garsia-Rodemich-Rumsey inequality and some applications. Zbl 1300.60051
Hu, Yaozhong; Le, Khoa
13
2013
On Stratonovich and Skorohod stochastic calculus for Gaussian processes. Zbl 1274.60219
Hu, Yaozhong; Jolis, Maria; Tindel, Samy
11
2013
Maximum principle for general controlled systems driven by fractional Brownian motions. Zbl 1270.49021
Han, Yuecai; Hu, Yaozhong; Song, Jian
9
2013
A nonlinear stochastic heat equation: Hölder continuity and smoothness of the density of the solution. Zbl 1272.60043
Hu, Yaozhong; Nualart, David; Song, Jian
9
2013
Drift parameter estimation for a reflected fractional Brownian motion based on its local time. Zbl 1301.60050
Hu, Yaozhong; Lee, Chihoon
7
2013
Smooth density for some nilpotent rough differential equations. Zbl 1277.60101
Hu, Yaozhong; Tindel, Samy
6
2013
Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions. Zbl 1303.60047
Hu, Yaozhong
3
2013
Hölder continuity of the solutions for a class of nonlinear SPDE’s arising from one dimensional superprocesses. Zbl 1391.60159
Hu, 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 1253.60074
Hu, Yaozhong; Lu, Fei; Nualart, David
23
2012
Some results on backward stochastic differential equations driven by fractional Brownian motions. Zbl 1276.60062
Hu, Yaozhong; Ocone, Daniel; Song, Jian
8
2012
Insider trading equilibrium in a market with memory. Zbl 1262.91156
Biagini, Francesca; Hu, Yaozhong; Meyer-Brandis, Thilo; Øksendal, Bernt
6
2012
Feynman-Kac formula for heat equation driven by fractional white noise. Zbl 1210.60056
Hu, Yaozhong; Nualart, David; Song, Jian
42
2011
Malliavin calculus for backward stochastic differential equations and application to numerical solutions. Zbl 1246.60081
Hu, Yaozhong; Nualart, David; Song, Xiaoming
26
2011
Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observation. Zbl 1245.62099
Hu, Yaozhong; Nualart, David; Xiao, Weilin; Zhang, Weiguo
19
2011
An enlargement of filtration for Brownian motion. Zbl 1249.60156
Hu, Yaozhong
3
2011
Parameter estimation for fractional Ornstein-Uhlenbeck processes. Zbl 1187.62137
Hu, Yaozhong; Nualart, David
113
2010
Central limit theorem for the third moment in space of the Brownian local time increments. Zbl 1225.60090
Hu, Yaozhong; Nualart, David
5
2010
Convergence rate of an approximation to multiple integral of FBM. Zbl 1240.60224
Hu, Yaozhong; Wang, Baobin
1
2010
A random transport-diffusion equation. Zbl 1240.60109
Hu, Yaozhong
1
2010
Stochastic heat equation driven by fractional noise and local time. Zbl 1152.60331
Hu, Yaozhong; Nualart, David
71
2009
Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions. Zbl 1171.62045
Hu, Yaozhong; Long, Hongwei
51
2009
Rough path analysis via fractional calculus. Zbl 1175.60061
Hu, Yaozhong; Nualart, David
38
2009
Backward stochastic differential equation driven by fractional Brownian motion. Zbl 1284.60117
Hu, Yaozhong; Peng, Shige
29
2009
Fractional martingales and characterization of the fractional Brownian motion. Zbl 1196.60075
Hu, Yaozhong; Nualart, David; Song, Jian
14
2009
On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions. Zbl 1212.60086
Hu, Yaozhong; Long, Hongwei
12
2009
Wick calculus for nonlinear Gaussian functionals. Zbl 1186.60034
Hu, Yaozhong; Yan, Jiaan
11
2009
Stochastic integral representation of the \(L^{2}\) modulus of Brownian local time and a central limit theorem. Zbl 1193.60074
Hu, Yaozhong; Nualart, David
5
2009
Stochastic calculus for fractional Brownian motion and applications. Zbl 1157.60002
Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
176
2008
Partial information linear quadratic control for jump diffusions. Zbl 1165.93037
Hu, Yaozhong; Øksendal, Bernt
21
2008
A singular stochastic differential equation driven by fractional Brownian motion. Zbl 1283.60089
Hu, Yaozhong; Nualart, David; Song, Xiaoming
10
2008
Integral representation of renormalized self-intersection local times. Zbl 1166.60047
Hu, Yaozhong; Nualart, David; Song, Jian
10
2008
Optimal stopping with advanced information flow: selected examples. Zbl 1151.93033
Hu, Yaozhong; Øksendal, Bernt
1
2008
A delayed Black and Scholes formula. Zbl 1119.60059
Arriojas, Mercedes; Hu, Yaozhong; Mohammed, Salah-Eldin; Pap, Gyula
52
2007
Differential equations driven by Hölder continuous functions of order greater than \(1/2\). Zbl 1144.34038
Hu, Yaozhong; Nualart, David
45
2007
Parameter estimation for Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy motions. Zbl 1328.62505
Hu, Yaozhong; Long, Hongwei
26
2007
Regularity of renormalized self-intersection local time for fractional Brownian motion. Zbl 1143.60310
Hu, Yaozhong; Nualart, David
10
2007
Optimal smooth portfolio selection for an insider. Zbl 1136.60047
Hu, Yaozhong; Øksendal, Bernt
5
2007
Integral transformations and anticipative calculus for fractional Brownian motions. Zbl 1072.60044
Hu, Yaozhong
69
2005
Renormalized self-intersection local time for fractional Brownian motion. Zbl 1093.60017
Hu, Yaozhong; Nualart, David
56
2005
Stochastic control for linear systems driven by fractional noises. Zbl 1116.93055
Hu, Yaozhong; Zhou, Xun Yu
25
2005
Weighted local time for fractional Brownian motion and applications to finance. Zbl 1067.60028
Hu, Yaozhong; Øksendal, Bernt; Salopek, Donna Mary
10
2005
Some processes associated with fractional Bessel processes. Zbl 1074.60050
Hu, Y.; Nualart, D.
7
2005
Discrete-time approximations of stochastic delay equations: the Milstein scheme. Zbl 1062.60065
Hu, Yaozhong; Mohammed, Salah-Eldin A.; Yan, Feng
49
2004
General fractional multiparameter white noise theory and stochastic partial differential equations. Zbl 1067.35161
Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
15
2004
Fractional white noise calculus and applications to finance. Zbl 1045.60072
Hu, Yaozhong; Øksendal, Bernt
152
2003
Optimal consumption and portfolio in a Black–Scholes market driven by fractional Brownian motion. Zbl 1180.91266
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnés
18
2003
A stochastic maximum principle for processes driven by fractional Brownian motion. Zbl 1064.93048
Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès
29
2002
Chaos expansion of local time of fractional Brownian motions. Zbl 1011.60016
Hu, Yaozhong; Øksendal, Bernt
16
2002
Chaos expansion of heat equations with white noise potentials. Zbl 0993.60063
Hu, Yaozhong
16
2002
An approximation for the Zakai equation. Zbl 1001.60044
Hu, Y.; Kallianpur, G.; Xiong, J.
11
2002
Tangent processes on Wiener space. Zbl 1005.60068
Hu, Y.; Üstünel, A. S.; Zakai, M.
6
2002
Probability structure preserving and absolute continuity. Zbl 1002.60046
Hu, Yaozhong
2
2002
Option pricing in a market where the volatility is driven by fractional Brownian motions. Zbl 1036.91024
Hu, Yaozhong
1
2002
Heat equations with fractional white noise potentials. Zbl 0993.60065
Hu, Y.
68
2001
Self-intersection local time of fractional Brownian motions – via chaos expansion. Zbl 1008.60091
Hu, Yaozhong
29
2001
...and 30 more Documents
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Cited by 1,516 Authors

71 Nualart, David
70 Hu, Yaozhong
51 Yan, Litan
29 Tindel, Samy
25 Tudor, Ciprian A.
21 Shen, Guangjun
18 Es-Sebaiy, Khalifa
17 Jumarie, Guy M.
17 Øksendal, Bernt Karsten
16 Nourdin, Ivan
15 Liu, Junfeng
15 Mishura, Yuliya Stepanivna
14 Balan, Raluca M.
12 Maslowski, Bohdan
12 Wu, Zhen
11 Jentzen, Arnulf
11 Jiang, Yiming
11 Song, Jian
10 Jolis, Maria
10 Le, Khoa
10 Mao, Xuerong
10 Peccati, Giovanni
10 Sun, Xichao
10 Wang, Yongjin
10 Yu, Xianye
10 Zeng, Caibin
9 Agram, Nacira
9 Chen, Xia
9 da Silva, José Luís
9 Deya, Aurélien
9 Makasu, Cloud
9 Ralchenko, Kostiantyn V.
9 Shevchenko, Georgiy M.
9 Xiao, Wei-Lin
9 Yu, Qian
8 Bender, Christian
8 Chen, Chao
8 Fan, Xiliang
8 Garrido-Atienza, María José
8 Lanconelli, Alberto
8 Liu, Yanghui
8 Müller-Gronbach, Thomas
8 Viitasaari, Lauri
8 Wang, Zhi
8 Yin, Xiuwei
8 Yuan, Chenggui
7 Baudoin, Fabrice
7 Cao, Wanrong
7 Duncan, Tyrone E.
7 Friz, Peter Karl
7 Inahama, Yuzuru
7 Jiang, Hui
7 Long, Hongwei
7 Neuenkirch, Andreas
7 Ohashi, Alberto Masayoshi F.
7 Ouyang, Cheng
7 Pap, Gyula
7 Pasik-Duncan, Bozenna
7 Pei, Bin
7 Schmalfuß, Björn
7 Torres, Soledad
7 Xiao, Yimin
7 Xu, Yong
7 Yang, Qigui
6 Alpay, Daniel Aron
6 Besalú, Mireia
6 Chen, Le
6 Douissi, Soukaina
6 Hairer, Martin
6 Huang, Chengming
6 Huang, Jingyu
6 Hutzenthaler, Martin
6 León, Jorge A.
6 Rovira, Carles
6 Song, Xiaoming
6 Taqqu, Murad S.
6 Viens, Frederi G.
6 Xiong, Jie
6 Yamada, Toshihiro
6 Yang, Xiaoyuan
6 Zhang, Weiguo
5 Anh, Vo V.
5 Bao, Feng
5 Cass, Thomas Richard
5 Chen, Yangquan
5 Christensen, Soren
5 Corcuera, José Manuel
5 Duan, Jinqiao
5 Gan, Siqing
5 Hong, Jialin
5 Ito, Yu
5 Khoshnevisan, Davar
5 Kim, Yoontae
5 Kloeden, Peter Eris
5 Levanony, David
5 Liu, Mingzhu
5 Marie, Nicolas
5 Quer-Sardanyons, Lluís
5 Tahmasebi, Mahdieh
5 Wang, Caishi
...and 1,416 more Authors
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Cited in 269 Serials

87 Stochastic Processes and their Applications
56 Statistics & Probability Letters
55 Stochastic Analysis and Applications
40 Stochastics and Dynamics
40 Stochastics
39 Journal of Computational and Applied Mathematics
38 Journal of Theoretical Probability
37 The Annals of Probability
31 Journal of Functional Analysis
27 Bernoulli
24 Advances in Difference Equations
23 Journal of Mathematical Analysis and Applications
23 Statistical Inference for Stochastic Processes
20 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
19 Abstract and Applied Analysis
18 Applied Mathematics and Computation
17 Acta Mathematica Scientia. Series B. (English Edition)
16 Applied Mathematics and Optimization
15 Chaos, Solitons and Fractals
15 The Annals of Applied Probability
14 Physica A
14 Applied Numerical Mathematics
14 Probability Theory and Related Fields
14 Communications in Statistics. Theory and Methods
14 Infinite Dimensional Analysis, Quantum Probability and Related Topics
12 Journal of Differential Equations
12 Potential Analysis
12 Electronic Journal of Probability
12 Discrete Dynamics in Nature and Society
12 Electronic Journal of Statistics
11 Quantitative Finance
11 Discrete and Continuous Dynamical Systems. Series B
11 Frontiers of Mathematics in China
11 Science China. Mathematics
11 Stochastic and Partial Differential Equations. Analysis and Computations
10 Computers & Mathematics with Applications
10 Mathematical Problems in Engineering
10 Journal of Systems Science and Complexity
9 Journal of Applied Probability
9 Journal of Statistical Planning and Inference
9 Journal of Scientific Computing
8 Insurance Mathematics & Economics
8 Fractional Calculus & Applied Analysis
8 Communications in Nonlinear Science and Numerical Simulation
7 BIT
7 Numerical Algorithms
7 Theory of Probability and Mathematical Statistics
7 Random Operators and Stochastic Equations
7 Journal of Inequalities and Applications
7 Acta Mathematica Sinica. English Series
7 Journal of the Korean Statistical Society
7 Modern Stochastics. Theory and Applications
6 International Journal of Control
6 Journal of Mathematical Physics
6 Transactions of the American Mathematical Society
6 Chinese Annals of Mathematics. Series B
6 Electronic Communications in Probability
6 Methodology and Computing in Applied Probability
6 Brazilian Journal of Probability and Statistics
6 Journal of Function Spaces
5 Journal of Statistical Physics
5 Proceedings of the American Mathematical Society
5 SIAM Journal on Control and Optimization
5 Systems & Control Letters
5 Acta Applicandae Mathematicae
5 Bulletin des Sciences Mathématiques
5 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
5 Nonlinear Dynamics
5 International Journal of Theoretical and Applied Finance
5 Journal of Applied Mathematics and Computing
5 Mediterranean Journal of Mathematics
5 ALEA. Latin American Journal of Probability and Mathematical Statistics
5 International Journal of Stochastic Analysis
5 Afrika Matematika
5 AIMS Mathematics
4 Advances in Applied Probability
4 Automatica
4 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
4 Acta Mathematicae Applicatae Sinica. English Series
4 Statistics
4 Journal of Complexity
4 Mathematical and Computer Modelling
4 International Journal of Computer Mathematics
4 The Journal of Fourier Analysis and Applications
4 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
4 Differential Equations
4 Stochastic Models
4 Comptes Rendus. Mathématique. Académie des Sciences, Paris
4 Mathematics and Financial Economics
4 SIAM Journal on Financial Mathematics
3 Reports on Mathematical Physics
3 Mathematics of Computation
3 Theory of Probability and its Applications
3 The Annals of Statistics
3 Czechoslovak Mathematical Journal
3 Journal of Econometrics
3 Journal of the Mathematical Society of Japan
3 Journal of Multivariate Analysis
3 Memoirs of the American Mathematical Society
3 Numerische Mathematik
...and 169 more Serials
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Cited in 47 Fields

1,235 Probability theory and stochastic processes (60-XX)
223 Statistics (62-XX)
216 Numerical analysis (65-XX)
188 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
182 Partial differential equations (35-XX)
129 Ordinary differential equations (34-XX)
125 Systems theory; control (93-XX)
59 Real functions (26-XX)
48 Dynamical systems and ergodic theory (37-XX)
48 Calculus of variations and optimal control; optimization (49-XX)
34 Operator theory (47-XX)
27 Statistical mechanics, structure of matter (82-XX)
20 Integral equations (45-XX)
20 Functional analysis (46-XX)
20 Quantum theory (81-XX)
15 Global analysis, analysis on manifolds (58-XX)
14 Operations research, mathematical programming (90-XX)
11 Measure and integration (28-XX)
10 Biology and other natural sciences (92-XX)
9 Harmonic analysis on Euclidean spaces (42-XX)
9 Fluid mechanics (76-XX)
8 Linear and multilinear algebra; matrix theory (15-XX)
7 Computer science (68-XX)
6 Approximations and expansions (41-XX)
6 Mechanics of particles and systems (70-XX)
5 Functions of a complex variable (30-XX)
5 Special functions (33-XX)
5 Information and communication theory, circuits (94-XX)
4 Difference and functional equations (39-XX)
4 Differential geometry (53-XX)
3 Combinatorics (05-XX)
3 Topological groups, Lie groups (22-XX)
3 Integral transforms, operational calculus (44-XX)
2 Potential theory (31-XX)
2 Sequences, series, summability (40-XX)
2 Abstract harmonic analysis (43-XX)
1 History and biography (01-XX)
1 Number theory (11-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)
1 Geophysics (86-XX)
1 Mathematics education (97-XX)

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