23 citations · 99 across the 56 of their papers we have counts for
5 papers · 2 filters
Optimal probabilities and controls for reflecting diffusion processes
Zhongmin Qian, Xingcheng Xu
A solution to the optimal problem for determining vector fields which maximize (resp. minimize) the transition probabilities from one location to another for a class of reflecting…
Fine properties of fractional Brownian motions on Wiener space
Jiawei Li, Zhongmin Qian
We study several important fine properties for the family of fractional Brownian motions with Hurst parameter under the -capacity on classical Wiener space introduced by…
Large deviation principle for fractional Brownian motion with respect to capacity
Jiawei Li, Zhongmin Qian
We show that fractional Brownian motion(fBM) defined via Volterra integral representation with Hurst parameter is a quasi-surely defined Wiener functional on cla…
Lévy Area Analysis and Parameter Estimation for fOU Processes via Non-Geometric Rough Path Theory
Zhongmin Qian, Xingcheng Xu
This paper addresses the estimation problem of an unknown drift parameter matrix for a fractional Ornstein-Uhlenbeck process in a multi-dimensional setting. To tackle this problem,…
Rough Path Renormalization from Stratonovich to Itô for Fractional Brownian Motion
Zhongmin Qian, Xingcheng Xu
This paper develops an Itô-type fractional pathwise integration theory for fractional Brownian motion with Hurst parameters \( H \in (\frac{1}{3}, \frac{1}{2}] \), using the Lyons'…