5 citations · 10 across the 4 of their papers we have counts for
5 papers
Backward Stochastic Differential Equations in Financial Mathematics
Weiye Yang
A backward stochastic differential equation (BSDE) is an SDE of the form . The subject of BSDEs has seen extensive attention since the…
Continuous random field solutions to parabolic SPDEs on p.c.f. fractals
Ben Hambly, Weiye Yang
We consider a general class of -valued stochastic processes that arise primarily as solutions of parabolic SPDEs on p.c.f. fractals. Using a Kolmogorov-type continuity theorem…
Degenerate limits for one-parameter families of non-fixed-point diffusions on fractals
Ben Hambly, Weiye Yang
The Sierpinski gasket is known to support an exotic stochastic process called the asymptotically one-dimensional diffusion. This process displays local anisotropy, as there is a pr…
The damped stochastic wave equation on p.c.f. fractals
Ben Hambly, Weiye Yang
A p.c.f. fractal with a regular harmonic structure admits an associated Dirichlet form, which is itself associated with a Laplacian. This Laplacian enables us to give an analogue o…
Existence and space-time regularity for stochastic heat equations on p.c.f. fractals
Ben Hambly, Weiye Yang
We define linear stochastic heat equations (SHE) on p.c.f.s.s. sets equipped with regular harmonic structures. We show that if the spectral dimension of the set is less than two, t…