Yaozhong Hu

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Visiting address Ullevål stadion Sognsveien 77 B 0855 OSLO
Postal address Postboks 1053 Blindern 0316 OSLO
Tags: Stochastic analysis and finance and insurance and risk

Publications

  • Hu, Yaozhong; Øksendal, Bernt & Sulem, Agnes Biacobroda (2017). Singular mean-field control games. Stochastic Analysis and Applications.  ISSN 0736-2994.  35(5), s 823- 851 . doi: 10.1080/07362994.2017.1325745 Full text in Research Archive.
  • Meyer-Brandis, Thilo; Hu, Yaozhong; Øksendal, Bernt & Biagini, Francesca (2012). Insider trading equilibrium in a market with memory. Mathematics and Financial Economics.  ISSN 1862-9679.  6, s 229- 247
  • Hu, Yaozhong & Øksendal, Bernt (2008). Optimal stopping with advanced information flow: Selected examples. Banach Center Publications.  ISSN 0137-6934.  83, s 107- 116
  • Hu, Yaozhong & Øksendal, Bernt (2008). Optimal stopping with advanced information flow: Selected examples. Banach Center Publications.  ISSN 0137-6934.  83, s 107- 116
  • Hu, Yaozhong & Øksendal, Bernt (2008). Partial information linear quadratic control for jump diffusions. SIAM Journal of Control and Optimization.  ISSN 0363-0129.  47, s 1744- 1761 . doi: 10.1137/060667566
  • Øksendal, Bernt & Hu, Yaozhong (2008). Partial information linear quadratic control for jump diffusions. SIAM Journal of Control and Optimization.  ISSN 0363-0129.  47(4), s 1744- 1761 Show summary
  • Hu, Yaozhong & Øksendal, Bernt (2007). Optimal smooth portfolio selection for an insider. Journal of Applied Probability.  ISSN 0021-9002.  44, s 742- 752 . doi: 10.1239/jap/1189717542 Show summary
  • Hu, Yaozhong & Øksendal, Bernt (2007). Optimal smooth portfolio selection for an insider. Journal of Applied Probability.  ISSN 0021-9002.  44(3), s 742- 752 Show summary
  • Hu, Yaozhong; Øksendal, Bernt & Salopek, Donna Mary (2005). Weighted Local Time for Fractional Brownian Motion and Applications to Finance. Stochastic Analysis and Applications.  ISSN 0736-2994.  23(1), s 15- 30 Show summary
  • Hu, Yaozhong; Øksendal, Bernt & Zhang, Tusheng (2004). General fractional multiparameter white noise theory and stochastic partial differential equations. Communications in Partial Differential Equations.  ISSN 0360-5302.  29, s 1- 23 Show summary
  • Hu, Yaozhong & Øksendal, Bernt (2003). Fractional white noise calculus and applications to finance. ?.  6(1), s 1- 32
  • Hu, Yaozhong; Øksendal, Bernt & Sulem, Agnès (2003). Optimal consumption and portfolio in a Black-Scholes market driven by fractional Brownian motion. Infinite Dimensional Analysis Quantum Probability and Related Topics.  ISSN 0219-0257.  6(4), s 519- 536

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  • Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt & Zhang, Tusheng (2008). Stochastic Calculus for Fractional Brownian Motion and Applications. Springer.  ISBN 978-1-85233-996-8.  329 s.
  • Biagini, Francesca; Hu, Yaozhong; Øksendal, Bernt & Zhang, Tusheng (2008). Stochastic Calculus for Fractional Brownian Motion and Applications. Springer.  ISBN 9781852339968.  332 s.

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  • Biagini, Francesca; Meyer-Brandis, Thilo; Hu, Yaozhong & Øksendal, Bernt (2011). Insider trading equilibrium in a market with memory. Preprint series (Universitetet i Oslo. Matematisk institutt). 2011/7. Full text in Research Archive.
  • Hu, Yaozhong & Øksendal, Bernt (2007). Optimal Stopping with Advanced Information Flow: Selected Examples.
  • Hu, Yaozhong & Øksendal, Bernt (2006). Partial Information Linear Quadratic Control for Jump Diffusions. Show summary
  • Øksendal, Bernt & Hu, Yaozhong (2006). Optimal stopping for an insider.
  • Øksendal, Bernt & Hu, Yaozhong (2006). Optimal stopping for an insider.
  • Hu, Yaozhong & Øksendal, Bernt (2003). Optimal Smooth Portfolio Selection for An Insider. Show summary
  • Hu, Yaozhong; Øksendal, Bernt & Zhang, Tusheng (2002). General fractional multiparameter white noise theory and stochastic partial differential equations.
  • Hu, Yaozhong; Øksendal, Bernt & Salopek, Donna Mary (2001). Weighted Local Time for Fractional Brownian Motion and Applications to Finance.
  • Hu, Yaozhong; Øksendal, Bernt & Zhang, Tusheng (2001). Stochastic fractional potential theory.
  • Hu, Yaozhong & Øksendal, Bernt (2000). Chaos expansion of local time of fractional Brownian motions.
  • Hu, Yaozhong; Øksendal, Bernt & Sulem, Agnes (2000). A stochastic maximum principle for processes driven by fractional Brownian motion.
  • Hu, Yaozhong; Øksendal, Bernt & Sulem, Agnes (2000). Optimal consumption and portfolio in a Black-Scholes market driven by fractional Brownian motion.
  • Hu, Yaozhong & Øksendal, Bernt (1999). Fractional white noise calculus and applications to finance. Show summary
  • Hu, Yaozhong; Øksendal, Bernt & Sulem, Agnès (1999). Optimal portfolio in a fractional Black & Scholes market.
  • Hu, Yaozhong; Øksendal, Bernt & Zhang, Tusheng (1999). Stochastic partial differential equations driven by multiparameter fractional white noise.
  • Zhang, Tusheng; Øksendal, Bernt & Hu, Yaozhong (1999). Stochastic partial differential equations driven by multiparameter fractional white noise.

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Published Apr. 19, 2016 3:37 PM - Last modified Oct. 5, 2016 10:32 AM