# zbMATH — the first resource for mathematics

## Hu, Yaozhong

Compute Distance To:
 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)

#### 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 0947.60061
Duncan, Tyrone E.; Hu, Yaozhong; Pasik-Duncan, Bozenna
2000
Stochastic calculus for fractional Brownian motion and applications. Zbl 1157.60002
Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
2008
Fractional white noise calculus and applications to finance. Zbl 1045.60072
Hu, Yaozhong; Øksendal, Bernt
2003
Parameter estimation for fractional Ornstein-Uhlenbeck processes. Zbl 1187.62137
Hu, Yaozhong; Nualart, David
2010
Heat equations with fractional white noise potentials. Zbl 0993.60065
Hu, Y.
2001
Stochastic heat equation driven by fractional noise and local time. Zbl 1152.60331
Hu, Yaozhong; Nualart, David
2009
Integral transformations and anticipative calculus for fractional Brownian motions. Zbl 1072.60044
Hu, Yaozhong
2005
Renormalized self-intersection local time for fractional Brownian motion. Zbl 1093.60017
Hu, Yaozhong; Nualart, David
2005
A delayed Black and Scholes formula. Zbl 1119.60059
Arriojas, Mercedes; Hu, Yaozhong; Mohammed, Salah-Eldin; Pap, Gyula
2007
Discrete-time approximations of stochastic delay equations: the Milstein scheme. Zbl 1062.60065
Hu, Yaozhong; Mohammed, Salah-Eldin A.; Yan, Feng
2004
Differential equations driven by Hölder continuous functions of order greater than $$1/2$$. Zbl 1144.34038
Hu, Yaozhong; Nualart, David
2007
Semi-implicit Euler-Maruyama scheme for stiff stochastic equations. Zbl 0848.60057
Hu, Yaozhong
1996
Least squares estimator for Ornstein-Uhlenbeck processes driven by $$\alpha$$-stable motions. Zbl 1171.62045
Hu, Yaozhong; Long, Hongwei
2009
Feynman-Kac formula for heat equation driven by fractional white noise. Zbl 1210.60056
Hu, Yaozhong; Nualart, David; Song, Jian
2011
Rough path analysis via fractional calculus. Zbl 1175.60061
Hu, Yaozhong; Nualart, David
2009
A stochastic maximum principle for processes driven by fractional Brownian motion. Zbl 1064.93048
Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès
2002
Stochastic heat equations with general multiplicative Gaussian noises: Hölder continuity and intermittency. Zbl 1322.60113
Hu, Yaozhong; Huang, Jingyu; Nualart, David; Tindel, Samy
2015
Backward stochastic differential equation driven by fractional Brownian motion. Zbl 1284.60117
Hu, Yaozhong; Peng, Shige
2009
Self-intersection local time of fractional Brownian motions – via chaos expansion. Zbl 1008.60091
Hu, Yaozhong
2001
Stochastic control for linear systems driven by fractional noises. Zbl 1116.93055
Hu, Yaozhong; Zhou, Xun Yu
2005
Stochastic partial differential equations driven by multiparameter fractional white noise. Zbl 0982.60054
Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
2000
Parameter estimation for Ornstein-Uhlenbeck processes driven by $$\alpha$$-stable Lévy motions. Zbl 1328.62505
Hu, Yaozhong; Long, Hongwei
2007
Optimal time to invest when the price processes are geometric Brownian motions. Zbl 0904.60030
Hu, Yaozhong; Øksendal, Bernt
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
2012
Malliavin calculus for backward stochastic differential equations and application to numerical solutions. Zbl 1246.60081
Hu, Yaozhong; Nualart, David; Song, Xiaoming
2011
Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observation. Zbl 1245.62099
Hu, Yaozhong; Nualart, David; Xiao, Weilin; Zhang, Weiguo
2011
Partial information linear quadratic control for jump diffusions. Zbl 1165.93037
Hu, Yaozhong; Øksendal, Bernt
2008
Optimal consumption and portfolio in a Black–Scholes market driven by fractional Brownian motion. Zbl 1180.91266
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnés
2003
Stochastic heat equation with rough dependence in space. Zbl 1393.60066
Hu, Yaozhong; Huang, Jingyu; Lê, Khoa; Nualart, David; Tindel, Samy
2017
Itô-Wiener chaos expansion with exact residual and correlation, variance inequalities. Zbl 0891.60060
Hu, Yaozhong
1997
Exponential asymptotics for time-space Hamiltonians. Zbl 1337.60201
Chen, Xia; Hu, Yaozhong; Song, Jian; Xing, Fei
2015
Chaos expansion of heat equations with white noise potentials. Zbl 0993.60063
Hu, Yaozhong
2002
Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design. Zbl 0868.60048
Cambanis, Stamatis; Hu, Yaozhong
1996
Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations. Zbl 1268.62100
Hu, Yaozhong; Song, Jian
2013
General fractional multiparameter white noise theory and stochastic partial differential equations. Zbl 1067.35161
Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
2004
Chaos expansion of local time of fractional Brownian motions. Zbl 1011.60016
Hu, Yaozhong; Øksendal, Bernt
2002
Space-time fractional diffusions in Gaussian noisy environment. Zbl 1379.60065
Chen, Le; Hu, Guannan; Hu, Yaozhong; Huang, Jingyu
2017
Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions. Zbl 1339.60095
Hu, Yaozhong; Liu, Yanghui; Nualart, David
2016
Fractional martingales and characterization of the fractional Brownian motion. Zbl 1196.60075
Hu, Yaozhong; Nualart, David; Song, Jian
2009
Schrödinger equations with fractional Laplacians. Zbl 1002.60048
Hu, Y.; Kallianpur, G.
2000
Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter. Zbl 1419.62211
Hu, Yaozhong; Nualart, David; Zhou, Hongjuan
2019
Convergence of densities of some functionals of Gaussian processes. Zbl 1290.60045
Hu, Yaozhong; Lu, Fei; Nualart, David
2014
On the singularity of least squares estimator for mean-reverting $$\alpha$$-stable motions. Zbl 1212.60086
Hu, Yaozhong; Long, Hongwei
2009
Weighted local time for fractional Brownian motion and applications to finance. Zbl 1067.60028
Hu, Yaozhong; Øksendal, Bernt; Salopek, Donna Mary
2005
Exponential integrability and application to stochastic quantization. Zbl 0903.60046
Hu, Y.; Kallianpur, G.
1998
Integral representation of renormalized self-intersection local times. Zbl 1166.60047
Hu, Yaozhong; Nualart, David; Song, Jian
2008
Central limit theorem for an additive functional of the fractional Brownian motion. Zbl 1294.60042
Hu, Yaozhong; Nualart, David; Xu, Fangjun
2014
A multiparameter Garsia-Rodemich-Rumsey inequality and some applications. Zbl 1300.60051
Hu, Yaozhong; Le, Khoa
2013
Regularity of renormalized self-intersection local time for fractional Brownian motion. Zbl 1143.60310
Hu, Yaozhong; Nualart, David
2007
A unified approach to several inequalities for Gaussian and diffusion measures. Zbl 0957.60091
Hu, Yaozhong
2000
Donsker’s delta functions and approximation of heat kernels by the time discretization methods. Zbl 0883.60056
Hu, Yaozhong; Watanabe, Shinzo
1996
Analysis on Gaussian spaces. Zbl 1386.60005
Hu, Yaozhong
2017
Maximum principle for general controlled systems driven by fractional Brownian motions. Zbl 1270.49021
Han, Yuecai; Hu, Yaozhong; Song, Jian
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
2013
Wick calculus for nonlinear Gaussian functionals. Zbl 1186.60034
Hu, Yaozhong; Yan, Jiaan
2009
Some processes associated with fractional Bessel processes. Zbl 1074.60050
Hu, Y.; Nualart, D.
2005
An approximation for the Zakai equation. Zbl 1001.60044
Hu, Y.; Kallianpur, G.; Xiong, J.
2002
Stability and approximations of symmetric diffusion semigroups and kernels. Zbl 0907.47036
Chen, Zhen-Qing; Qian, Zhongmin; Hu, Yaozhong; Zheng, Weian
1998
Wick approximation of quasilinear stochastic differential equations. Zbl 0845.60058
Hu, Yaozhong; Øksendal, Bernt
1996
Parabolic Anderson model with rough dependence in space. Zbl 1408.60050
Hu, Yaozhong; Huang, Jingyu; Lê, Khoa; Nualart, David; Tindel, Samy
2018
Temporal asymptotics for fractional parabolic Anderson model. Zbl 1390.60101
Chen, Xia; Hu, Yaozhong; Song, Jian; Song, Xiaoming
2018
Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations. Zbl 1327.62451
Hu, Yaozhong; Lee, Chihoon; Lee, Myung Hee; Song, Jian
2015
Fractional diffusion in Gaussian noisy environment. Zbl 1321.60135
Hu, Guannan; Hu, Yaozhong
2015
On Hölder continuity of the solution of stochastic wave equations in dimension three. Zbl 1310.60096
Hu, Yaozhong; Huang, Jingyu; Nualart, David
2014
Some results on backward stochastic differential equations driven by fractional Brownian motions. Zbl 1276.60062
Hu, Yaozhong; Ocone, Daniel; Song, Jian
2012
A singular stochastic differential equation driven by fractional Brownian motion. Zbl 1283.60089
Hu, Yaozhong; Nualart, David; Song, Xiaoming
2008
Tangent processes on Wiener space. Zbl 1005.60068
Hu, Y.; Üstünel, A. S.; Zakai, M.
2002
On heat kernel logarithmic Sobolev inequalities. Zbl 0918.60039
Driver, Bruce K.; Hu, Yaozhong
1996
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
2018
Spatial asymptotics for the parabolic Anderson model driven by a Gaussian rough noise. Zbl 1386.60135
Chen, Xia; Hu, Yaozhong; Nualart, David; Tindel, Samy
2017
Nonlinear Young integrals and differential systems in Hölder media. Zbl 1356.60086
Hu, Yaozhong; Lê, Khoa
2017
On Stratonovich and Skorohod stochastic calculus for Gaussian processes. Zbl 1274.60219
Hu, Yaozhong; Jolis, Maria; Tindel, Samy
2013
Central limit theorem for the third moment in space of the Brownian local time increments. Zbl 1225.60090
Hu, Yaozhong; Nualart, David
2010
Stochastic integral representation of the $$L^{2}$$ modulus of Brownian local time and a central limit theorem. Zbl 1193.60074
Hu, Yaozhong; Nualart, David
2009
Stochastic quantization of the two-dimensional polymer measure. Zbl 0945.60080
Albeverio, S.; Hu, Y.-Z.; Röckner, M.; Zhou, X. Y.
1999
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
1997
On the self-intersection local time of Brownian motion – via chaos expansion. Zbl 0878.60051
Hu, Yaozhong
1996
Strong and weak order of time discretization schemes of stochastic differential equations. Zbl 0856.60062
Hu, Yaozhong
1996
On the approximation of multiple Stratonovich integrals. Zbl 0798.60057
Hu, Y. Z.; Meyer, P. A.
1993
Sur les intégrales multiples de Stratonovich. (On the multiple Stratonovich integrals). Zbl 0644.60082
Hu, Y. Z.; Meyer, P. A.
1988
Nonlinear stochastic time-fractional slow and fast diffusion equations on $$\mathbb{R}^d$$. Zbl 1427.60119
Chen, Le; Hu, Yaozhong; Nualart, David
2019
Linear Volterra backward stochastic integral equations. Zbl 1405.60074
Hu, Yaozhong; Øksendal, Bernt
2019
Smooth density for some nilpotent rough differential equations. Zbl 1277.60101
Hu, Yaozhong; Tindel, Samy
2013
Drift parameter estimation for a reflected fractional Brownian motion based on its local time. Zbl 1301.60050
Hu, Yaozhong; Lee, Chihoon
2013
Optimal smooth portfolio selection for an insider. Zbl 1136.60047
Hu, Yaozhong; Øksendal, Bernt
2007
Finite difference approximation of the pressure equation for fluid flow in a stochastic medium. — a probabilistic approach. Zbl 0859.76045
Holden, Helge; Hu, Yaozhong
1996
Singular mean-field control games. Zbl 1376.91029
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès
2017
Stochastic differential equation for Brox diffusion. Zbl 1378.60081
Hu, Yaozhong; Lê, Khoa; Mytnik, Leonid
2017
Insider trading equilibrium in a market with memory. Zbl 1262.91156
Biagini, Francesca; Hu, Yaozhong; Meyer-Brandis, Thilo; Øksendal, Bernt
2012
Exponential integrability of diffusion processes. Zbl 0936.60075
Hu, Yaozhong
1999
Stochastic Taylor series and Campbell-Hausdorff formula according to Ben Arous. Zbl 0766.60069
Hu, Yao-Zhong
1992
An implicit numerical scheme for a class of backward doubly stochastic differential equations. Zbl 07194626
Hu, Yaozhong; Nualart, David; Song, Xiaoming
2020
Higher-order derivative of intersection local time for two independent fractional Brownian motions. Zbl 07081632
Guo, Jingjun; Hu, Yaozhong; Xiao, Yanping
2019
Taylor schemes for rough differential equations and fractional diffusions. Zbl 1353.60064
Nualart, David; Liu, Yanghui; Hu, Yaozhong
2016
On the intermittency front of stochastic heat equation driven by colored noises. Zbl 1338.60158
Hu, Yaozhong; Huang, Jingyu; Nualart, David
2016
Density convergence in the Breuer-Major theorem for Gaussian stationary sequences. Zbl 1344.60025
Hu, Yaozhong; Nualart, David; Tindel, Samy; Xu, Fangjun
2015
Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions. Zbl 1303.60047
Hu, Yaozhong
2013
An enlargement of filtration for Brownian motion. Zbl 1249.60156
Hu, Yaozhong
2011
Probability structure preserving and absolute continuity. Zbl 1002.60046
Hu, Yaozhong
2002
Optimal portfolio in a fractional Black & Scholes market. Zbl 0974.91024
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès
2000
An implicit numerical scheme for a class of backward doubly stochastic differential equations. Zbl 07194626
Hu, Yaozhong; Nualart, David; Song, Xiaoming
2020
Generalized moment estimators for $$\alpha$$-stable Ornstein-Uhlenbeck motions from discrete observations. Zbl 1436.62084
Cheng, Yiying; Hu, Yaozhong; Long, Hongwei
2020
Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter. Zbl 1419.62211
Hu, Yaozhong; Nualart, David; Zhou, Hongjuan
2019
Nonlinear stochastic time-fractional slow and fast diffusion equations on $$\mathbb{R}^d$$. Zbl 1427.60119
Chen, Le; Hu, Yaozhong; Nualart, David
2019
Linear Volterra backward stochastic integral equations. Zbl 1405.60074
Hu, Yaozhong; Øksendal, Bernt
2019
Higher-order derivative of intersection local time for two independent fractional Brownian motions. Zbl 07081632
Guo, Jingjun; Hu, Yaozhong; Xiao, Yanping
2019
On pricing barrier control in a regime-switching regulated market. Zbl 1420.91105
Han, Zheng; Hu, Yaozhong; Lee, Chihoon
2019
Parabolic Anderson model with rough dependence in space. Zbl 1408.60050
Hu, Yaozhong; Huang, Jingyu; Lê, Khoa; Nualart, David; Tindel, Samy
2018
Temporal asymptotics for fractional parabolic Anderson model. Zbl 1390.60101
Chen, Xia; Hu, Yaozhong; Song, Jian; Song, Xiaoming
2018
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
2018
Large deviations for stochastic heat equation with rough dependence in space. Zbl 1379.60069
Hu, Yaozhong; Nualart, David; Zhang, Tusheng
2018
Stochastic heat equation with rough dependence in space. Zbl 1393.60066
Hu, Yaozhong; Huang, Jingyu; Lê, Khoa; Nualart, David; Tindel, Samy
2017
Space-time fractional diffusions in Gaussian noisy environment. Zbl 1379.60065
Chen, Le; Hu, Guannan; Hu, Yaozhong; Huang, Jingyu
2017
Analysis on Gaussian spaces. Zbl 1386.60005
Hu, Yaozhong
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
2017
Nonlinear Young integrals and differential systems in Hölder media. Zbl 1356.60086
Hu, Yaozhong; Lê, Khoa
2017
Singular mean-field control games. Zbl 1376.91029
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès
2017
Stochastic differential equation for Brox diffusion. Zbl 1378.60081
Hu, Yaozhong; Lê, Khoa; Mytnik, Leonid
2017
Two-point correlation function and Feynman-Kac formula for the stochastic heat equation. Zbl 1367.60079
Chen, Le; Hu, Yaozhong; Nualart, David
2017
Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions. Zbl 1339.60095
Hu, Yaozhong; Liu, Yanghui; Nualart, David
2016
Taylor schemes for rough differential equations and fractional diffusions. Zbl 1353.60064
Nualart, David; Liu, Yanghui; Hu, Yaozhong
2016
On the intermittency front of stochastic heat equation driven by colored noises. Zbl 1338.60158
Hu, Yaozhong; Huang, Jingyu; Nualart, David
2016
Nonlinear Young integrals via fractional calculus. Zbl 1338.60175
Hu, Yaozhong; Lê, Khoa N.
2016
Stochastic heat equations with general multiplicative Gaussian noises: Hölder continuity and intermittency. Zbl 1322.60113
Hu, Yaozhong; Huang, Jingyu; Nualart, David; Tindel, Samy
2015
Exponential asymptotics for time-space Hamiltonians. Zbl 1337.60201
Chen, Xia; Hu, Yaozhong; Song, Jian; Xing, Fei
2015
Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations. Zbl 1327.62451
Hu, Yaozhong; Lee, Chihoon; Lee, Myung Hee; Song, Jian
2015
Fractional diffusion in Gaussian noisy environment. Zbl 1321.60135
Hu, Guannan; Hu, Yaozhong
2015
Density convergence in the Breuer-Major theorem for Gaussian stationary sequences. Zbl 1344.60025
Hu, Yaozhong; Nualart, David; Tindel, Samy; Xu, Fangjun
2015
Convergence of densities of some functionals of Gaussian processes. Zbl 1290.60045
Hu, Yaozhong; Lu, Fei; Nualart, David
2014
Central limit theorem for an additive functional of the fractional Brownian motion. Zbl 1294.60042
Hu, Yaozhong; Nualart, David; Xu, Fangjun
2014
On Hölder continuity of the solution of stochastic wave equations in dimension three. Zbl 1310.60096
Hu, Yaozhong; Huang, Jingyu; Nualart, David
2014
Long-memory processes and applications. Zbl 07022276
Ding, Yiming (ed.); Hu, Yaozhong (ed.); Xiao, Weilin (ed.); Yan, Litan (ed.)
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
2014
Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations. Zbl 1268.62100
Hu, Yaozhong; Song, Jian
2013
A multiparameter Garsia-Rodemich-Rumsey inequality and some applications. Zbl 1300.60051
Hu, Yaozhong; Le, Khoa
2013
Maximum principle for general controlled systems driven by fractional Brownian motions. Zbl 1270.49021
Han, Yuecai; Hu, Yaozhong; Song, Jian
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
2013
On Stratonovich and Skorohod stochastic calculus for Gaussian processes. Zbl 1274.60219
Hu, Yaozhong; Jolis, Maria; Tindel, Samy
2013
Smooth density for some nilpotent rough differential equations. Zbl 1277.60101
Hu, Yaozhong; Tindel, Samy
2013
Drift parameter estimation for a reflected fractional Brownian motion based on its local time. Zbl 1301.60050
Hu, Yaozhong; Lee, Chihoon
2013
Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions. Zbl 1303.60047
Hu, Yaozhong
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
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
2012
Some results on backward stochastic differential equations driven by fractional Brownian motions. Zbl 1276.60062
Hu, Yaozhong; Ocone, Daniel; Song, Jian
2012
Insider trading equilibrium in a market with memory. Zbl 1262.91156
Biagini, Francesca; Hu, Yaozhong; Meyer-Brandis, Thilo; Øksendal, Bernt
2012
Feynman-Kac formula for heat equation driven by fractional white noise. Zbl 1210.60056
Hu, Yaozhong; Nualart, David; Song, Jian
2011
Malliavin calculus for backward stochastic differential equations and application to numerical solutions. Zbl 1246.60081
Hu, Yaozhong; Nualart, David; Song, Xiaoming
2011
Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observation. Zbl 1245.62099
Hu, Yaozhong; Nualart, David; Xiao, Weilin; Zhang, Weiguo
2011
An enlargement of filtration for Brownian motion. Zbl 1249.60156
Hu, Yaozhong
2011
A numerical method for the simulation of turbulent mixing and its basis in mathematical theory. Zbl 1312.76018
Kaman, 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.
2011
Entanglement and decoherence of coupled superconductor qubits in contact with a common environment. Zbl 1245.81010
Ji, Y. H.; Hu, Y.; Yu, Y. X.
2011
Controlling on entangled decoherence by the interaction model between qubit and environment. Zbl 1225.81013
Ji, Y. H.; Lai, H. F.; Hu, Y.
2011
Parameter estimation for fractional Ornstein-Uhlenbeck processes. Zbl 1187.62137
Hu, Yaozhong; Nualart, David
2010
Central limit theorem for the third moment in space of the Brownian local time increments. Zbl 1225.60090
Hu, Yaozhong; Nualart, David
2010
Stochastic heat equation driven by fractional noise and local time. Zbl 1152.60331
Hu, Yaozhong; Nualart, David
2009
Least squares estimator for Ornstein-Uhlenbeck processes driven by $$\alpha$$-stable motions. Zbl 1171.62045
Hu, Yaozhong; Long, Hongwei
2009
Rough path analysis via fractional calculus. Zbl 1175.60061
Hu, Yaozhong; Nualart, David
2009
Backward stochastic differential equation driven by fractional Brownian motion. Zbl 1284.60117
Hu, Yaozhong; Peng, Shige
2009
Fractional martingales and characterization of the fractional Brownian motion. Zbl 1196.60075
Hu, Yaozhong; Nualart, David; Song, Jian
2009
On the singularity of least squares estimator for mean-reverting $$\alpha$$-stable motions. Zbl 1212.60086
Hu, Yaozhong; Long, Hongwei
2009
Wick calculus for nonlinear Gaussian functionals. Zbl 1186.60034
Hu, Yaozhong; Yan, Jiaan
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
2009
Stochastic calculus for fractional Brownian motion and applications. Zbl 1157.60002
Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
2008
Partial information linear quadratic control for jump diffusions. Zbl 1165.93037
Hu, Yaozhong; Øksendal, Bernt
2008
Integral representation of renormalized self-intersection local times. Zbl 1166.60047
Hu, Yaozhong; Nualart, David; Song, Jian
2008
A singular stochastic differential equation driven by fractional Brownian motion. Zbl 1283.60089
Hu, Yaozhong; Nualart, David; Song, Xiaoming
2008
A delayed Black and Scholes formula. Zbl 1119.60059
Arriojas, Mercedes; Hu, Yaozhong; Mohammed, Salah-Eldin; Pap, Gyula
2007
Differential equations driven by Hölder continuous functions of order greater than $$1/2$$. Zbl 1144.34038
Hu, Yaozhong; Nualart, David
2007
Parameter estimation for Ornstein-Uhlenbeck processes driven by $$\alpha$$-stable Lévy motions. Zbl 1328.62505
Hu, Yaozhong; Long, Hongwei
2007
Regularity of renormalized self-intersection local time for fractional Brownian motion. Zbl 1143.60310
Hu, Yaozhong; Nualart, David
2007
Optimal smooth portfolio selection for an insider. Zbl 1136.60047
Hu, Yaozhong; Øksendal, Bernt
2007
Integral transformations and anticipative calculus for fractional Brownian motions. Zbl 1072.60044
Hu, Yaozhong
2005
Renormalized self-intersection local time for fractional Brownian motion. Zbl 1093.60017
Hu, Yaozhong; Nualart, David
2005
Stochastic control for linear systems driven by fractional noises. Zbl 1116.93055
Hu, Yaozhong; Zhou, Xun Yu
2005
Weighted local time for fractional Brownian motion and applications to finance. Zbl 1067.60028
Hu, Yaozhong; Øksendal, Bernt; Salopek, Donna Mary
2005
Some processes associated with fractional Bessel processes. Zbl 1074.60050
Hu, Y.; Nualart, D.
2005
Discrete-time approximations of stochastic delay equations: the Milstein scheme. Zbl 1062.60065
Hu, Yaozhong; Mohammed, Salah-Eldin A.; Yan, Feng
2004
General fractional multiparameter white noise theory and stochastic partial differential equations. Zbl 1067.35161
Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
2004
Fractional white noise calculus and applications to finance. Zbl 1045.60072
Hu, Yaozhong; Øksendal, Bernt
2003
Optimal consumption and portfolio in a Black–Scholes market driven by fractional Brownian motion. Zbl 1180.91266
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnés
2003
A stochastic maximum principle for processes driven by fractional Brownian motion. Zbl 1064.93048
Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès
2002
Chaos expansion of heat equations with white noise potentials. Zbl 0993.60063
Hu, Yaozhong
2002
Chaos expansion of local time of fractional Brownian motions. Zbl 1011.60016
Hu, Yaozhong; Øksendal, Bernt
2002
An approximation for the Zakai equation. Zbl 1001.60044
Hu, Y.; Kallianpur, G.; Xiong, J.
2002
Tangent processes on Wiener space. Zbl 1005.60068
Hu, Y.; Üstünel, A. S.; Zakai, M.
2002
Probability structure preserving and absolute continuity. Zbl 1002.60046
Hu, Yaozhong
2002
Option pricing in a market where the volatility is driven by fractional Brownian motions. Zbl 1036.91024
Hu, Yaozhong
2002
Heat equations with fractional white noise potentials. Zbl 0993.60065
Hu, Y.
2001
Self-intersection local time of fractional Brownian motions – via chaos expansion. Zbl 1008.60091
Hu, Yaozhong
2001
Stochastic calculus for fractional Brownian motion. I: Theory. Zbl 0947.60061
Duncan, Tyrone E.; Hu, Yaozhong; Pasik-Duncan, Bozenna
2000
Stochastic partial differential equations driven by multiparameter fractional white noise. Zbl 0982.60054
Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng
2000
Schrödinger equations with fractional Laplacians. Zbl 1002.60048
Hu, Y.; Kallianpur, G.
2000
A unified approach to several inequalities for Gaussian and diffusion measures. Zbl 0957.60091
Hu, Yaozhong
2000
Optimal portfolio in a fractional Black & Scholes market. Zbl 0974.91024
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès
2000
Prediction and translation of fractional Brownian motions. Zbl 0973.60059
Hu, Yaozhong
2000
Multi-dimensional geometric Brownian motions, Onsager-Machlup functions, and applications to mathematical finance. Zbl 0968.60054
Hu, Yaozhong
2000
Optimal times to observe in the Kalman-Bucy models. Zbl 0956.60061
Hu, Yaozhong
2000
Adhesion of smoothly flat-ended wedges. Zbl 0969.74046
Leng, Y. S.; Hu, Y. Z.; Zheng, L. Q.
2000
Stochastic quantization of the two-dimensional polymer measure. Zbl 0945.60080
Albeverio, S.; Hu, Y.-Z.; Röckner, M.; Zhou, X. Y.
1999
Exponential integrability of diffusion processes. Zbl 0936.60075
Hu, Yaozhong
1999
...and 19 more Documents
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. Probabilités et Statistiques 13 Applied Numerical Mathematics 13 The Annals of Applied Probability 13 Infinite Dimensional Analysis, Quantum Probability and Related Topics 12 Probability Theory and Related Fields 12 Potential Analysis 11 Applied Mathematics and Optimization 11 Journal of Differential Equations 11 Discrete and Continuous Dynamical Systems. Series B 11 Science China. Mathematics 10 Mathematical Problems in Engineering 10 Journal of Systems Science and Complexity 9 Computers & Mathematics with Applications 9 Chaos, Solitons and Fractals 9 Journal of Applied Probability 9 Insurance Mathematics & Economics 9 Fractional Calculus & Applied Analysis 9 Quantitative Finance 9 Electronic Journal of Statistics 8 Journal of Statistical Planning and Inference 8 Frontiers of Mathematics in China 7 Journal of Mathematical Physics 7 Discrete Dynamics in Nature and Society 7 Journal of the Korean Statistical Society 7 Stochastic and Partial Differential Equations. Analysis and Computations 6 Transactions of the American Mathematical Society 6 Chinese Annals of Mathematics. Series B 6 Random Operators and Stochastic Equations 6 Electronic Journal of Probability 6 Chaos 6 International Journal of Theoretical and Applied Finance 6 Acta Mathematica Sinica. English Series 6 Brazilian Journal of Probability and Statistics 5 International Journal of Control 5 Journal of Statistical Physics 5 Physica A 5 BIT 5 Proceedings of the American Mathematical Society 5 Systems & Control Letters 5 Acta Applicandae Mathematicae 5 Journal of Complexity 5 Journal of Scientific Computing 5 Theory of Probability and Mathematical Statistics 5 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 5 Nonlinear Dynamics 5 Communications in Nonlinear Science and Numerical Simulation 5 Journal of Applied Mathematics and Computing 5 International Journal of Stochastic Analysis 5 Afrika Matematika 5 Journal of Function Spaces 4 Advances in Applied Probability 4 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 4 Acta Mathematicae Applicatae Sinica. English Series 4 Statistics 4 Journal of Economic Dynamics & Control 4 Mathematical and Computer Modelling 4 Numerical Algorithms 4 Bulletin des Sciences Mathématiques 4 Electronic Communications in Probability 4 Methodology and Computing in Applied Probability 4 Stochastic Models 4 Comptes Rendus. Mathématique. Académie des Sciences, Paris 4 Mediterranean Journal of Mathematics 4 SIAM Journal on Financial Mathematics 3 Reports on Mathematical Physics 3 Mathematics of Computation 3 The Annals of Statistics 3 Automatica 3 Czechoslovak Mathematical Journal 3 Journal of Econometrics 3 Journal of the Mathematical Society of Japan 3 Numerische Mathematik 3 SIAM Journal on Control and Optimization 3 Applied Mathematical Modelling 3 Communications in Statistics. Theory and Methods 3 SIAM Journal on Mathematical Analysis 3 Journal of Dynamics and Differential Equations 3 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI 3 NoDEA. Nonlinear Differential Equations and Applications 3 The Journal of Fourier Analysis and Applications 3 Finance and Stochastics 3 Journal of Inequalities and Applications 3 Econometric Theory 3 Differential Equations 3 Nonlinear Analysis. 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)