Edit Profile (opens in new tab) Hu, Yaozhong Compute Distance To: Compute Author ID: hu.yaozhong Published as: Hu, Yaozhong; Hu, Y.; Hu, Yao-Zhong; Hu, Y. Z.; Hu, YaoZhong; Hu, Y.-Z. more...less Homepage: https://sites.ualberta.ca/~yaozhong/ External Links: MGP · IdRef · theses.fr Documents Indexed: 170 Publications since 1986, including 4 Books 1 Contribution as Editor Co-Authors: 81 Co-Authors with 127 Joint Publications 2,065 Co-Co-Authors all top 5 Co-Authors 43 single-authored 44 Nualart, David 20 Øksendal, Bernt Karsten 11 Song, Jian 8 Le, Khoa 8 Tindel, Samy 7 Huang, Jingyu 6 Zhang, Tusheng S. 5 Chen, Le 5 Long, Hongwei 4 Lee, Chihoon 4 Liu, Yanghui 4 Lu, Fei 4 Song, Xiaoming 4 Sulem, Agnès 3 Biagini, Francesca 3 Chen, Xia 3 Kallianpur, Gopinath 3 Meyer, Paul-André 3 Xi, Yuejuan 2 Albeverio, Sergio A. 2 Han, Zheng 2 Hu, Guannan 2 Huang, Chengming 2 Mohammed, Salah-Eldin A. 2 Sun, Xiaobin 2 Ustunel, Ali Suleyman 2 Wang, Xiong 2 Wang, Zhi 2 Xu, Fangjun 2 Zhou, Hongjuan 2 Zhou, Xianyin 1 Agram, Nacira 1 Arriojas, Mercedes 1 Cambanis, Stamatis 1 Chen, Zhen-Qing 1 Cheng, Yiying 1 de Figueiredo, Rui José Pacheco 1 Decreusefond, Laurent 1 Driver, Bruce K. 1 Duncan, Tyrone E. 1 Feng, Jin 1 Guo, Jingjun 1 Han, Yuecai 1 Haress, El Mehdi 1 Holden, Helge 1 Jolis, Maria 1 Kalbasi, Kamran 1 Lee, Myung Hee 1 Lindstrøm, Tom L. 1 Liu, Shuhui 1 Meyer-Brandis, Thilo 1 Mytnik, Leonid 1 Nualart, Eulalia 1 Ocone, Daniel L. 1 Pap, Gyula 1 Pasik-Duncan, Bozenna 1 Pei, Wenyi 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, Wei-Lin 1 Xiao, Yanping 1 Xie, Yingchao 1 Xiong, Jie 1 Yan, Feng 1 Yan, Jia-An 1 Yan, Litan 1 Yang, Changli 1 Yi, Yulian 1 Zakai, Moshe 1 Zhang, Weiguo 1 Zhao, Jingjun 1 Zheng, Weian all top 5 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 all top 5 Fields 158 Probability theory and stochastic processes (60-XX) 21 Partial differential equations (35-XX) 19 Statistics (62-XX) 16 Numerical analysis (65-XX) 16 Systems theory; control (93-XX) 15 Game theory, economics, finance, and other social and behavioral sciences (91-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) 4 Measure and integration (28-XX) 4 Calculus of variations and optimal control; optimization (49-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Integral equations (45-XX) 1 General and overarching topics; collections (00-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 130 Publications have been cited 2,291 times in 1,430 Documents Cited by ▼ Year ▼ Stochastic calculus for fractional Brownian motion. I: Theory. Zbl 0947.60061Duncan, Tyrone E.; Hu, Yaozhong; Pasik-Duncan, Bozenna 221 2000 Stochastic calculus for fractional Brownian motion and applications. Zbl 1157.60002Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng 176 2008 Fractional white noise calculus and applications to finance. Zbl 1045.60072Hu, Yaozhong; Øksendal, Bernt 152 2003 Parameter estimation for fractional Ornstein-Uhlenbeck processes. Zbl 1187.62137Hu, Yaozhong; Nualart, David 113 2010 Stochastic heat equation driven by fractional noise and local time. Zbl 1152.60331Hu, Yaozhong; Nualart, David 71 2009 Integral transformations and anticipative calculus for fractional Brownian motions. Zbl 1072.60044Hu, Yaozhong 69 2005 Heat equations with fractional white noise potentials. Zbl 0993.60065Hu, Y. 68 2001 Renormalized self-intersection local time for fractional Brownian motion. Zbl 1093.60017Hu, Yaozhong; Nualart, David 56 2005 A delayed Black and Scholes formula. Zbl 1119.60059Arriojas, Mercedes; Hu, Yaozhong; Mohammed, Salah-Eldin; Pap, Gyula 52 2007 Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions. Zbl 1171.62045Hu, Yaozhong; Long, Hongwei 51 2009 Discrete-time approximations of stochastic delay equations: the Milstein scheme. Zbl 1062.60065Hu, Yaozhong; Mohammed, Salah-Eldin A.; Yan, Feng 49 2004 Semi-implicit Euler-Maruyama scheme for stiff stochastic equations. Zbl 0848.60057Hu, Yaozhong 48 1996 Stochastic heat equations with general multiplicative Gaussian noises: Hölder continuity and intermittency. Zbl 1322.60113Hu, Yaozhong; Huang, Jingyu; Nualart, David; Tindel, Samy 48 2015 Differential equations driven by Hölder continuous functions of order greater than \(1/2\). Zbl 1144.34038Hu, Yaozhong; Nualart, David 45 2007 Feynman-Kac formula for heat equation driven by fractional white noise. Zbl 1210.60056Hu, Yaozhong; Nualart, David; Song, Jian 42 2011 Rough path analysis via fractional calculus. Zbl 1175.60061Hu, Yaozhong; Nualart, David 38 2009 A stochastic maximum principle for processes driven by fractional Brownian motion. Zbl 1064.93048Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès 29 2002 Backward stochastic differential equation driven by fractional Brownian motion. Zbl 1284.60117Hu, Yaozhong; Peng, Shige 29 2009 Self-intersection local time of fractional Brownian motions – via chaos expansion. Zbl 1008.60091Hu, Yaozhong 29 2001 Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter. Zbl 1419.62211Hu, Yaozhong; Nualart, David; Zhou, Hongjuan 28 2019 Malliavin calculus for backward stochastic differential equations and application to numerical solutions. Zbl 1246.60081Hu, Yaozhong; Nualart, David; Song, Xiaoming 26 2011 Parameter estimation for Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy motions. Zbl 1328.62505Hu, Yaozhong; Long, Hongwei 26 2007 Stochastic heat equation with rough dependence in space. Zbl 1393.60066Hu, Yaozhong; Huang, Jingyu; Lê, Khoa; Nualart, David; Tindel, Samy 26 2017 Stochastic control for linear systems driven by fractional noises. Zbl 1116.93055Hu, Yaozhong; Zhou, Xun Yu 25 2005 Optimal time to invest when the price processes are geometric Brownian motions. Zbl 0904.60030Hu, Yaozhong; Øksendal, Bernt 24 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 23 2012 Partial information linear quadratic control for jump diffusions. Zbl 1165.93037Hu, Yaozhong; Øksendal, Bernt 21 2008 Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions. Zbl 1339.60095Hu, Yaozhong; Liu, Yanghui; Nualart, David 20 2016 Exponential asymptotics for time-space Hamiltonians. Zbl 1337.60201Chen, Xia; Hu, Yaozhong; Song, Jian; Xing, Fei 20 2015 Itô-Wiener chaos expansion with exact residual and correlation, variance inequalities. Zbl 0891.60060Hu, Yaozhong 19 1997 Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observation. Zbl 1245.62099Hu, Yaozhong; Nualart, David; Xiao, Weilin; Zhang, Weiguo 19 2011 Optimal consumption and portfolio in a Black–Scholes market driven by fractional Brownian motion. Zbl 1180.91266Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnés 18 2003 Schrödinger equations with fractional Laplacians. Zbl 1002.60048Hu, Y.; Kallianpur, G. 18 2000 Chaos expansion of local time of fractional Brownian motions. Zbl 1011.60016Hu, Yaozhong; Øksendal, Bernt 16 2002 Chaos expansion of heat equations with white noise potentials. Zbl 0993.60063Hu, Yaozhong 16 2002 Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design. Zbl 0868.60048Cambanis, Stamatis; Hu, Yaozhong 16 1996 Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations. Zbl 1268.62100Hu, Yaozhong; Song, Jian 16 2013 General fractional multiparameter white noise theory and stochastic partial differential equations. Zbl 1067.35161Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng 15 2004 Analysis on Gaussian spaces. Zbl 1386.60005Hu, Yaozhong 15 2017 Fractional martingales and characterization of the fractional Brownian motion. Zbl 1196.60075Hu, Yaozhong; Nualart, David; Song, Jian 14 2009 A multiparameter Garsia-Rodemich-Rumsey inequality and some applications. Zbl 1300.60051Hu, Yaozhong; Le, Khoa 13 2013 On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions. Zbl 1212.60086Hu, Yaozhong; Long, Hongwei 12 2009 Space-time fractional diffusions in Gaussian noisy environment. Zbl 1379.60065Chen, Le; Hu, Guannan; Hu, Yaozhong; Huang, Jingyu 12 2017 Convergence of densities of some functionals of Gaussian processes. Zbl 1290.60045Hu, Yaozhong; Lu, Fei; Nualart, David 12 2014 Linear Volterra backward stochastic integral equations. Zbl 1405.60074Hu, Yaozhong; Øksendal, Bernt 12 2019 Wick calculus for nonlinear Gaussian functionals. Zbl 1186.60034Hu, Yaozhong; Yan, Jiaan 11 2009 An approximation for the Zakai equation. Zbl 1001.60044Hu, Y.; Kallianpur, G.; Xiong, J. 11 2002 Donsker’s delta functions and approximation of heat kernels by the time discretization methods. Zbl 0883.60056Hu, Yaozhong; Watanabe, Shinzo 11 1996 Spatial asymptotics for the parabolic Anderson model driven by a Gaussian rough noise. Zbl 1386.60135Chen, Xia; Hu, Yaozhong; Nualart, David; Tindel, Samy 11 2017 On Hölder continuity of the solution of stochastic wave equations in dimension three. Zbl 1310.60096Hu, Yaozhong; Huang, Jingyu; Nualart, David 11 2014 Central limit theorem for an additive functional of the fractional Brownian motion. Zbl 1294.60042Hu, Yaozhong; Nualart, David; Xu, Fangjun 11 2014 Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations. Zbl 1327.62451Hu, Yaozhong; Lee, Chihoon; Lee, Myung Hee; Song, Jian 11 2015 On Stratonovich and Skorohod stochastic calculus for Gaussian processes. Zbl 1274.60219Hu, Yaozhong; Jolis, Maria; Tindel, Samy 11 2013 Stochastic partial differential equations driven by multiparameter fractional white noise. Zbl 0982.60054Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng 10 2000 Weighted local time for fractional Brownian motion and applications to finance. Zbl 1067.60028Hu, Yaozhong; Øksendal, Bernt; Salopek, Donna Mary 10 2005 A singular stochastic differential equation driven by fractional Brownian motion. Zbl 1283.60089Hu, Yaozhong; Nualart, David; Song, Xiaoming 10 2008 Integral representation of renormalized self-intersection local times. Zbl 1166.60047Hu, Yaozhong; Nualart, David; Song, Jian 10 2008 Regularity of renormalized self-intersection local time for fractional Brownian motion. Zbl 1143.60310Hu, Yaozhong; Nualart, David 10 2007 Exponential integrability and application to stochastic quantization. Zbl 0903.60046Hu, Y.; Kallianpur, G. 10 1998 Intermittency for the stochastic heat equation driven by a rough time fractional Gaussian noise. Zbl 1391.60153Chen, Le; Hu, Yaozhong; Kalbasi, Kamran; Nualart, David 10 2018 Parabolic Anderson model with rough dependence in space. Zbl 1408.60050Hu, Yaozhong; Huang, Jingyu; Lê, Khoa; Nualart, David; Tindel, Samy 10 2018 Maximum principle for general controlled systems driven by fractional Brownian motions. Zbl 1270.49021Han, Yuecai; Hu, Yaozhong; Song, Jian 9 2013 A nonlinear stochastic heat equation: Hölder continuity and smoothness of the density of the solution. Zbl 1272.60043Hu, Yaozhong; Nualart, David; Song, Jian 9 2013 Wick approximation of quasilinear stochastic differential equations. Zbl 0845.60058Hu, Yaozhong; Øksendal, Bernt 8 1996 A unified approach to several inequalities for Gaussian and diffusion measures. Zbl 0957.60091Hu, Yaozhong 8 2000 A remark on non-smoothness of the self-intersection local time of planar Brownian motion. Zbl 0878.60053Albeverio, Sergio; Hu, Yaozhong; Zhou, Xian Yin 8 1997 Some results on backward stochastic differential equations driven by fractional Brownian motions. Zbl 1276.60062Hu, Yaozhong; Ocone, Daniel; Song, Jian 8 2012 Some processes associated with fractional Bessel processes. Zbl 1074.60050Hu, Y.; Nualart, D. 7 2005 Stability and approximations of symmetric diffusion semigroups and kernels. Zbl 0907.47036Chen, Zhen-Qing; Qian, Zhongmin; Hu, Yaozhong; Zheng, Weian 7 1998 Nonlinear Young integrals and differential systems in Hölder media. Zbl 1356.60086Hu, Yaozhong; Lê, Khoa 7 2017 Drift parameter estimation for a reflected fractional Brownian motion based on its local time. Zbl 1301.60050Hu, Yaozhong; Lee, Chihoon 7 2013 Nonlinear stochastic time-fractional slow and fast diffusion equations on \(\mathbb{R}^d\). Zbl 1427.60119Chen, Le; Hu, Yaozhong; Nualart, David 6 2019 Tangent processes on Wiener space. Zbl 1005.60068Hu, Y.; Üstünel, A. S.; Zakai, M. 6 2002 Strong and weak order of time discretization schemes of stochastic differential equations. Zbl 0856.60062Hu, Yaozhong 6 1996 On heat kernel logarithmic Sobolev inequalities. Zbl 0918.60039Driver, Bruce K.; Hu, Yaozhong 6 1996 Temporal asymptotics for fractional parabolic Anderson model. Zbl 1390.60101Chen, Xia; Hu, Yaozhong; Song, Jian; Song, Xiaoming 6 2018 Smooth density for some nilpotent rough differential equations. Zbl 1277.60101Hu, Yaozhong; Tindel, Samy 6 2013 Parameter estimation of complex fractional Ornstein-Uhlenbeck processes with fractional noise. Zbl 1375.60098Chen, Yong; Hu, Yaozhong; Wang, Zhi 6 2017 Fractional diffusion in Gaussian noisy environment. Zbl 1321.60135Hu, Guannan; Hu, Yaozhong 6 2015 Insider trading equilibrium in a market with memory. Zbl 1262.91156Biagini, Francesca; Hu, Yaozhong; Meyer-Brandis, Thilo; Øksendal, Bernt 6 2012 Higher-order derivative of intersection local time for two independent fractional Brownian motions. Zbl 1478.60125Guo, Jingjun; Hu, Yaozhong; Xiao, Yanping 6 2019 Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations. Zbl 1436.62084Cheng, Yiying; Hu, Yaozhong; Long, Hongwei 5 2020 On the approximation of multiple Stratonovich integrals. Zbl 0798.60057Hu, Y. Z.; Meyer, P. A. 5 1993 Central limit theorem for the third moment in space of the Brownian local time increments. Zbl 1225.60090Hu, Yaozhong; Nualart, David 5 2010 Optimal smooth portfolio selection for an insider. Zbl 1136.60047Hu, Yaozhong; Øksendal, Bernt 5 2007 Stochastic quantization of the two-dimensional polymer measure. Zbl 0945.60080Albeverio, S.; Hu, Y.-Z.; Röckner, M.; Zhou, X. Y. 5 1999 On the self-intersection local time of Brownian motion – via chaos expansion. Zbl 0878.60051Hu, Yaozhong 5 1996 Singular mean-field control games. Zbl 1376.91029Hu, 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 1193.60074Hu, Yaozhong; Nualart, David 5 2009 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 Two-point correlation function and Feynman-Kac formula for the stochastic heat equation. Zbl 1367.60079Chen, Le; Hu, Yaozhong; Nualart, David 4 2017 Stochastic differential equation for Brox diffusion. Zbl 1378.60081Hu, Yaozhong; Lê, Khoa; Mytnik, Leonid 4 2017 Regularity and strict positivity of densities for the nonlinear stochastic heat equation. Zbl 07492806Chen, Le; Hu, Yaozhong; Nualart, David 3 2021 Sur les intégrales multiples de Stratonovich. (On the multiple Stratonovich integrals). Zbl 0644.60082Hu, 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 0766.60069Hu, Yao-Zhong 3 1992 Exponential integrability of diffusion processes. Zbl 0936.60075Hu, Yaozhong 3 1999 An enlargement of filtration for Brownian motion. Zbl 1249.60156Hu, Yaozhong 3 2011 Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions. Zbl 1303.60047Hu, Yaozhong 3 2013 Taylor schemes for rough differential equations and fractional diffusions. Zbl 1353.60064Nualart, David; Liu, Yanghui; Hu, Yaozhong 3 2016 Density convergence in the Breuer-Major theorem for Gaussian stationary sequences. Zbl 1344.60025Hu, Yaozhong; Nualart, David; Tindel, Samy; Xu, Fangjun 3 2015 Asymptotics of the density of parabolic Anderson random fields. Zbl 1484.60068Hu, Yaozhong; Lê, Khoa 1 2022 Stochastic heat equation with general rough noise. Zbl 1483.60094Hu, Yaozhong; Wang, Xiong 1 2022 Regularity and strict positivity of densities for the nonlinear stochastic heat equation. Zbl 07492806Chen, Le; Hu, Yaozhong; Nualart, David 3 2021 Asymptotic separation for stochastic Volterra integral equations with doubly singular kernels. Zbl 1460.45005Li, Min; Huang, Chengming; Hu, Yaozhong 2 2021 Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions. Zbl 1476.60075Hu, Yaozhong; Liu, Yanghui; Nualart, David 1 2021 Estimation of all parameters in the reflected Ornstein-Uhlenbeck process from discrete observations. Zbl 1474.62297Hu, Yaozhong; Xi, Yuejuan 1 2021 Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations. Zbl 1471.62452Haress, El Mehdi; Hu, Yaozhong 1 2021 Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations. Zbl 1436.62084Cheng, Yiying; Hu, Yaozhong; Long, Hongwei 5 2020 An implicit numerical scheme for a class of backward doubly stochastic differential equations. Zbl 1467.60040Hu, Yaozhong; Nualart, David; Song, Xiaoming 2 2020 Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter. Zbl 1419.62211Hu, Yaozhong; Nualart, David; Zhou, Hongjuan 28 2019 Linear Volterra backward stochastic integral equations. Zbl 1405.60074Hu, Yaozhong; Øksendal, Bernt 12 2019 Nonlinear stochastic time-fractional slow and fast diffusion equations on \(\mathbb{R}^d\). Zbl 1427.60119Chen, Le; Hu, Yaozhong; Nualart, David 6 2019 Higher-order derivative of intersection local time for two independent fractional Brownian motions. Zbl 1478.60125Guo, Jingjun; Hu, Yaozhong; Xiao, Yanping 6 2019 Schrödinger equation with Gaussian potential. Zbl 07096679Hu, Y. 1 2019 On pricing barrier control in a regime-switching regulated market. Zbl 1420.91105Han, Zheng; Hu, Yaozhong; Lee, Chihoon 1 2019 Some recent progress on stochastic heat equations. Zbl 07552184Hu, Yaozhong 1 2019 Intermittency for the stochastic heat equation driven by a rough time fractional Gaussian noise. Zbl 1391.60153Chen, Le; Hu, Yaozhong; Kalbasi, Kamran; Nualart, David 10 2018 Parabolic Anderson model with rough dependence in space. Zbl 1408.60050Hu, Yaozhong; Huang, Jingyu; Lê, Khoa; Nualart, David; Tindel, Samy 10 2018 Temporal asymptotics for fractional parabolic Anderson model. Zbl 1390.60101Chen, Xia; Hu, Yaozhong; Song, Jian; Song, Xiaoming 6 2018 Large deviations for stochastic heat equation with rough dependence in space. Zbl 1379.60069Hu, Yaozhong; Nualart, David; Zhang, Tusheng 2 2018 Stochastic heat equation with rough dependence in space. Zbl 1393.60066Hu, Yaozhong; Huang, Jingyu; Lê, Khoa; Nualart, David; Tindel, Samy 26 2017 Analysis on Gaussian spaces. Zbl 1386.60005Hu, Yaozhong 15 2017 Space-time fractional diffusions in Gaussian noisy environment. Zbl 1379.60065Chen, Le; Hu, Guannan; Hu, Yaozhong; Huang, Jingyu 12 2017 Spatial asymptotics for the parabolic Anderson model driven by a Gaussian rough noise. Zbl 1386.60135Chen, Xia; Hu, Yaozhong; Nualart, David; Tindel, Samy 11 2017 Nonlinear Young integrals and differential systems in Hölder media. Zbl 1356.60086Hu, Yaozhong; Lê, Khoa 7 2017 Parameter estimation of complex fractional Ornstein-Uhlenbeck processes with fractional noise. Zbl 1375.60098Chen, Yong; Hu, Yaozhong; Wang, Zhi 6 2017 Singular mean-field control games. Zbl 1376.91029Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès 5 2017 Two-point correlation function and Feynman-Kac formula for the stochastic heat equation. Zbl 1367.60079Chen, Le; Hu, Yaozhong; Nualart, David 4 2017 Stochastic differential equation for Brox diffusion. Zbl 1378.60081Hu, Yaozhong; Lê, Khoa; Mytnik, Leonid 4 2017 Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions. Zbl 1339.60095Hu, Yaozhong; Liu, Yanghui; Nualart, David 20 2016 Taylor schemes for rough differential equations and fractional diffusions. Zbl 1353.60064Nualart, David; Liu, Yanghui; Hu, Yaozhong 3 2016 On the intermittency front of stochastic heat equation driven by colored noises. Zbl 1338.60158Hu, Yaozhong; Huang, Jingyu; Nualart, David 2 2016 Optimal pricing barriers in a regulated market using reflected diffusion processes. Zbl 1469.62362Han, Zheng; Hu, Yaozhong; Lee, Chihoon 1 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 48 2015 Exponential asymptotics for time-space Hamiltonians. Zbl 1337.60201Chen, Xia; Hu, Yaozhong; Song, Jian; Xing, Fei 20 2015 Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations. Zbl 1327.62451Hu, Yaozhong; Lee, Chihoon; Lee, Myung Hee; Song, Jian 11 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 3 2015 Smoothness of the joint density for spatially homogeneous SPDEs. Zbl 1334.60111Hu, Yaozhong; Huang, Jingyu; Nualart, David; Sun, Xiaobin 2 2015 Convergence of densities of some functionals of Gaussian processes. Zbl 1290.60045Hu, Yaozhong; Lu, Fei; Nualart, David 12 2014 On Hölder continuity of the solution of stochastic wave equations in dimension three. Zbl 1310.60096Hu, Yaozhong; Huang, Jingyu; Nualart, David 11 2014 Central limit theorem for an additive functional of the fractional Brownian motion. Zbl 1294.60042Hu, 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 1306.60113Hu, Yaozhong; Nualart, David; Song, Jian 1 2014 Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations. Zbl 1268.62100Hu, Yaozhong; Song, Jian 16 2013 A multiparameter Garsia-Rodemich-Rumsey inequality and some applications. Zbl 1300.60051Hu, Yaozhong; Le, Khoa 13 2013 On Stratonovich and Skorohod stochastic calculus for Gaussian processes. Zbl 1274.60219Hu, Yaozhong; Jolis, Maria; Tindel, Samy 11 2013 Maximum principle for general controlled systems driven by fractional Brownian motions. Zbl 1270.49021Han, Yuecai; Hu, Yaozhong; Song, Jian 9 2013 A nonlinear stochastic heat equation: Hölder continuity and smoothness of the density of the solution. Zbl 1272.60043Hu, Yaozhong; Nualart, David; Song, Jian 9 2013 Drift parameter estimation for a reflected fractional Brownian motion based on its local time. Zbl 1301.60050Hu, Yaozhong; Lee, Chihoon 7 2013 Smooth density for some nilpotent rough differential equations. Zbl 1277.60101Hu, Yaozhong; Tindel, Samy 6 2013 Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions. Zbl 1303.60047Hu, Yaozhong 3 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 23 2012 Some results on backward stochastic differential equations driven by fractional Brownian motions. Zbl 1276.60062Hu, Yaozhong; Ocone, Daniel; Song, Jian 8 2012 Insider trading equilibrium in a market with memory. Zbl 1262.91156Biagini, Francesca; Hu, Yaozhong; Meyer-Brandis, Thilo; Øksendal, Bernt 6 2012 Feynman-Kac formula for heat equation driven by fractional white noise. Zbl 1210.60056Hu, Yaozhong; Nualart, David; Song, Jian 42 2011 Malliavin calculus for backward stochastic differential equations and application to numerical solutions. Zbl 1246.60081Hu, Yaozhong; Nualart, David; Song, Xiaoming 26 2011 Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observation. Zbl 1245.62099Hu, Yaozhong; Nualart, David; Xiao, Weilin; Zhang, Weiguo 19 2011 An enlargement of filtration for Brownian motion. Zbl 1249.60156Hu, Yaozhong 3 2011 Parameter estimation for fractional Ornstein-Uhlenbeck processes. Zbl 1187.62137Hu, Yaozhong; Nualart, David 113 2010 Central limit theorem for the third moment in space of the Brownian local time increments. Zbl 1225.60090Hu, Yaozhong; Nualart, David 5 2010 Convergence rate of an approximation to multiple integral of FBM. Zbl 1240.60224Hu, Yaozhong; Wang, Baobin 1 2010 A random transport-diffusion equation. Zbl 1240.60109Hu, Yaozhong 1 2010 Stochastic heat equation driven by fractional noise and local time. Zbl 1152.60331Hu, Yaozhong; Nualart, David 71 2009 Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions. Zbl 1171.62045Hu, Yaozhong; Long, Hongwei 51 2009 Rough path analysis via fractional calculus. Zbl 1175.60061Hu, Yaozhong; Nualart, David 38 2009 Backward stochastic differential equation driven by fractional Brownian motion. Zbl 1284.60117Hu, Yaozhong; Peng, Shige 29 2009 Fractional martingales and characterization of the fractional Brownian motion. Zbl 1196.60075Hu, Yaozhong; Nualart, David; Song, Jian 14 2009 On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions. Zbl 1212.60086Hu, Yaozhong; Long, Hongwei 12 2009 Wick calculus for nonlinear Gaussian functionals. Zbl 1186.60034Hu, Yaozhong; Yan, Jiaan 11 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 176 2008 Partial information linear quadratic control for jump diffusions. Zbl 1165.93037Hu, Yaozhong; Øksendal, Bernt 21 2008 A singular stochastic differential equation driven by fractional Brownian motion. Zbl 1283.60089Hu, Yaozhong; Nualart, David; Song, Xiaoming 10 2008 Integral representation of renormalized self-intersection local times. Zbl 1166.60047Hu, Yaozhong; Nualart, David; Song, Jian 10 2008 Optimal stopping with advanced information flow: selected examples. Zbl 1151.93033Hu, Yaozhong; Øksendal, Bernt 1 2008 A delayed Black and Scholes formula. Zbl 1119.60059Arriojas, Mercedes; Hu, Yaozhong; Mohammed, Salah-Eldin; Pap, Gyula 52 2007 Differential equations driven by Hölder continuous functions of order greater than \(1/2\). Zbl 1144.34038Hu, Yaozhong; Nualart, David 45 2007 Parameter estimation for Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy motions. Zbl 1328.62505Hu, Yaozhong; Long, Hongwei 26 2007 Regularity of renormalized self-intersection local time for fractional Brownian motion. Zbl 1143.60310Hu, Yaozhong; Nualart, David 10 2007 Optimal smooth portfolio selection for an insider. Zbl 1136.60047Hu, Yaozhong; Øksendal, Bernt 5 2007 Integral transformations and anticipative calculus for fractional Brownian motions. Zbl 1072.60044Hu, Yaozhong 69 2005 Renormalized self-intersection local time for fractional Brownian motion. Zbl 1093.60017Hu, Yaozhong; Nualart, David 56 2005 Stochastic control for linear systems driven by fractional noises. Zbl 1116.93055Hu, Yaozhong; Zhou, Xun Yu 25 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 49 2004 General fractional multiparameter white noise theory and stochastic partial differential equations. Zbl 1067.35161Hu, Yaozhong; Øksendal, Bernt; Zhang, Tusheng 15 2004 Fractional white noise calculus and applications to finance. Zbl 1045.60072Hu, Yaozhong; Øksendal, Bernt 152 2003 Optimal consumption and portfolio in a Black–Scholes market driven by fractional Brownian motion. Zbl 1180.91266Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnés 18 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 local time of fractional Brownian motions. Zbl 1011.60016Hu, Yaozhong; Øksendal, Bernt 16 2002 Chaos expansion of heat equations with white noise potentials. Zbl 0993.60063Hu, Yaozhong 16 2002 An approximation for the Zakai equation. Zbl 1001.60044Hu, Y.; Kallianpur, G.; Xiong, J. 11 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. 68 2001 Self-intersection local time of fractional Brownian motions – via chaos expansion. Zbl 1008.60091Hu, Yaozhong 29 2001 ...and 30 more Documents all cited Publications top 5 cited Publications all top 5 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 all top 5 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 all top 5 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) Citations by Year