Litan Yan

activity

20072023

most citedThe Bouleau-Yor identity for a bi-fractional Brownian motion

8 citations · 24 across the 11 of their papers we have counts for

collaborators

11 papers

math.PR2023

Derivative of self-intersection local time for multidimensional fractional Brownian motion

Qian Yu, Xianye Yu

The existence condition $H < 1/ d$ for first-order derivative of self-intersection local time for $d \geq 3$ dimensional fractional Brownian motion can be obtained in Yu (2021). In this…

math.OC2020★ 2 cited

Delay-dependent Asymptotic Stability of Highly Nonlinear Stochastic Differential Delay Equations Driven by $G$ -Brownian Motion

Chen Fei, Weiyin Fei, Xuerong Mao +1

Based on the classical probability, the stability criteria for stochastic differential delay equations (SDDEs) where their coefficients are either linear or nonlinear but bounded b…

math.PR2016

The quadratic covariation for a weighted fractional Brownian motion

XIchao Sun, Litan Yan, Qinghua Zhang

Let $B^{a, b}$ be a weighted fractional Brownian motion with indices $a, b$ satisfying $a > - 1, - 1 < b < 0, ∣ b ∣ < 1 + a$ . In this paper, motivated by the asymptotic property $$ E[(B^{a,b}_{s+\va…

math.PR2016★ 2 cited

Quadratic covariations for the solution to a stochastic heat equation

Xichao Sun, Litan Yan, Xianye Yu

Let $u (t, x)$ be the solution to a stochastic heat equation $$ \frac{\partial}{\partial t}u=\frac12\frac{\partial^2}{\partial x^2}u+\frac{\partial^2}{\partial t\partial x}X(t,x),\qu…

math.PR2016

An integral functional driven by fractional Brownian motion

Xichao Sun, Litan Yan, Xianye Yu

Let $B^{H}$ be a fractional Brownian motion with Hurst index $0 < H < 1$ and the weighted local time $L^{H} (\cdot, t)$ . In this paper, we consider the integral functional $$ {\ma…

math.PR2014★ 7 cited

Derivative for the intersection local time of fractional Brownian Motions