5 citations · 32 across the 30 of their papers we have counts for
8 papers · 1 filter
On weak solutions of stochastic differential equations with sharp drift coefficients
Jinlong Wei, Guangying Lv, Jiang-Lun Wu
We extend Krylov and Röckner's result \cite{KR} to the drift coefficients in critical Lebesgue space, and prove the existence and uniqueness of weak solutions for a class of SDEs.…
Stochastic Navier-Stokes equations with Caputo derivative driven by fractional noises
Guang-an Zou, Guangying Lv, Jiang-Lun Wu
In this paper, we consider the extended stochastic Navier-Stokes equations with Caputo derivative driven by fractional Brownian motion. We firstly derive the pathwise spatial and t…
Matrix-valued SDEs arising from currency exchange markets
Panpan Ren, Jiang-Lun Wu
In this paper, motivated by modelling currency exchange markets with matrix-valued stochastic processes, matrix-valued stochastic differential equations (SDEs) are formulated. This…
Critical link of self-similarity and visualisation for jump-diffusions driven by -stable noise
Jiao Song, Jiang-lun Wu
The purpose of this paper is to derive a critical link of parameters for the self-similar trajectories of jump-diffusions which are described as solutions of stochastic differentia…
On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces
Huijie Qiao, Jianglun Wu
Based on a recent result on characterising the path-independence of the Girsanov transformation for non-Lipschnitz stochastic differential equations (SDEs) with jumps on , in…
Foreign exchange market modelling and an on-line portfolio selection algorithm
Panpan Ren, Jiang-Lun Wu
In this paper, we introduce a matrix-valued time series model for foreign exchange market. We then formulate trading matrices, foreign exchange options and return options (matrices…