461 citations · 1.6k across the 119 of their papers we have counts for
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Smoothness of the joint density for spatially homogeneous SPDEs
Yaozhong Hu, Jingyu Huang, David Nualart +1
In this paper we consider a general class of second order stochastic partial differential equations on driven by a Gaussian noise which is white in time and it has a…
Smoothness of density for stochastic differential equations with Markovian switching
Yaozhong Hu, David Nualart, Xiaobin Sun +1
This paper is concerned with a class of stochastic differential equations with Markovian switching. The Malliavin calculus is used to study the smoothness of the density of the sol…
Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
Yaozhong Hu, Yanghui Liu, David Nualart
For a stochastic differential equation(SDE) driven by a fractional Brownian motion(fBm) with Hurst parameter , it is known that the existing (naive) Euler scheme has…
On optimal mean-field type control problems of stochastic systems with jump processes under partial information
Yaozhong Hu, David Nualart, Qing Zhou
This paper considers the problem of partially observed optimal control for forward stochastic systems which are driven by Brownian motions and an independent Poisson random measure…
Density convergence in the Breuer-Major theorem for Gaussian stationary sequences
Yaozhong Hu, David Nualart, Samy Tindel +1
Consider a Gaussian stationary sequence with unit variance . Assume that the central limit theorem holds for a weighted sum of the form $V_n=n…
The determinant of the iterated Malliavin matrix and the density of a couple of multiple integrals
David Nualart, Ciprian Tudor
The aim of this paper is to show an estimate for the determinant of the covariance of a two-dimensional vector of multiple stochastic integrals of the same order in terms of a line…