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Mathematics

D-Index
41
Citations
8729
World Ranking
1884
National Ranking
68

Overview

Yaozhong Hu is affiliated with the University of Alberta in Canada and has contributed extensively to research in mathematics and economics, econometrics, and finance. Their work primarily addresses stochastic processes and their applications across various fields including finance, statistical mechanics, and numerical methods.

Their publication record features a range of topics such as stochastic processes and financial applications, stochastic processes and statistical mechanics, financial risk and volatility modeling, advanced mathematical modeling in engineering, insurance, mortality, demography, risk management, differential equations and numerical methods, and Bayesian methods and mixture models.

Yaozhong Hu has published frequently in a variety of venues, with a notable number of papers appearing in:

  • arXiv (Cornell University)
  • Journal of Computational and Applied Mathematics
  • Applied Mathematics Letters
  • Electronic Journal of Probability
  • Systems & Control Letters

Some of the recent research outputs include:

  • Numerical methods for stochastic Volterra integral equations with weakly singular kernels (2021) published in IMA Journal of Numerical Analysis
  • Regularity and Strict Positivity of Densities for the Nonlinear Stochastic Heat Equation (2021) published in Memoirs of the American Mathematical Society
  • Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations (2021) published in Communications in Nonlinear Science and Numerical Simulation
  • Mean-field backward stochastic differential equations and applications (2022) published in Systems & Control Letters
  • Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions (2021) published in The Annals of Applied Probability

Their collaborative work often involves several frequent co-authors, including:

  • Xiong Wang
  • Yuejuan Xi
  • Junxi Zhang
  • Chengming Huang
  • Jiayu Zheng

The scope of Yaozhong Hu's research intersects multiple subfields such as finance, mathematical physics, computational theory and mathematics, statistics and probability, and management science and operations research. This multidisciplinary approach supports the development of mathematical tools and computational techniques aimed at modeling complex stochastic systems, especially within financial contexts.

Best Publications

  • Stochastic Calculus for Fractional Brownian Motion and Applications

    Francesca Biagini;Yaozhong Hu;Bernt Karsten Øksendal;Tusheng Zhang

  • Stochastic Calculus for Fractional Brownian Motion I. Theory

    Tyrone E. Duncan;Yaozhong Hu;Bozenna Pasik-Duncan

  • FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE

    Yaozhong Hu;Bernt Øksendal;Bernt Øksendal

  • Parameter estimation for fractional Ornstein–Uhlenbeck processes

    Yaozhong Hu;David Nualart

  • Integral Transformations and Anticipative Calculus for Fractional Brownian Motions

    Yaozhong Hu

  • A Delayed Black and Scholes Formula

    Mercedes Arriojas;Yaozhong Hu;Salah-Eldin Mohammed;Gyula Pap

  • Stochastic heat equation driven by fractional noise and local time

    Yaozhong Hu;David Nualart

  • Discrete-time approximations of stochastic delay equations: The Milstein scheme

    Yaozhong Hu;Salah-Eldin A. Mohammed;Feng Yan

  • Renormalized self-intersection local time for fractional Brownian motion

    Yaozhong Hu;David Nualart

  • Differential Equations Driven by Hölder Continuous Functions of Order Greater than 1/2

    Yaozhong Hu;David Nualart

  • Stochastic heat equations with general multiplicative Gaussian noises: Hölder continuity and intermittency

    Yaozhong Hu;Jingyu Huang;David Nualart;Samy Tindel

  • Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter

    Yaozhong Hu;David Nualart;Hongjuan Zhou

  • Heat Equations with Fractional White Noise Potentials

    Y. Hu

  • Feynman–Kac formula for heat equation driven by fractional white noise

    Yaozhong Hu;David Nualart;Jian Song

  • Semi-Implicit Euler-Maruyama Scheme for Stiff Stochastic Equations

    Yaozhong Hu

  • Least squares estimator for Ornstein―Uhlenbeck processes driven by α-stable motions

    Yaozhong Hu;Hongwei Long

  • Optimal time to invest when the price processes are geometric Brownian motions

    Yaozhong Hu;Bernt Øksendal

  • Analysis On Gaussian Spaces

    Yaozhong Hu

  • Rough path analysis via fractional calculus

    Yaozhong Hu;David Nualart

  • Malliavin calculus for backward stochastic differential equations and application to numerical solutions

    Yaozhong Hu;David Nualart;Xiaoming Song

  • Stochastic heat equations with general multiplicative Gaussian noises: H"older continuity and intermittency

    Yaozhong Hu;Jingyu Huang;David Nualart;Samy Tindel

  • A Delayed Black and Scholes Formula II

    Mercedes Arriojas;Yaozhong Hu;Salah-Eldin Mohammed;Gyula Pap

Frequent Co-Authors

David Nualart
David Nualart University of Kansas
Bernt Øksendal
Bernt Øksendal University of Oslo
Tusheng Zhang
Tusheng Zhang University of Manchester
Moshe Zakai
Moshe Zakai Technion – Israel Institute of Technology
Xun Yu Zhou
Xun Yu Zhou Columbia University
Michael Röckner
Michael Röckner Bielefeld University
Zhen-Qing Chen
Zhen-Qing Chen University of Washington
Sergio Albeverio
Sergio Albeverio University of Bonn

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