4 citations · 5 across the 3 of their papers we have counts for
4 papers
Convergence of trapezoid rule to rough integrals
Yanghui Liu, Zachary Selk, Samy Tindel
Rough paths techniques give the ability to define solutions of stochastic differential equations driven by signals which are not semimartingales and whose -variation is fini…
On the anticipative nonlinear filtering problem and its stability
Guang Lin, Yanghui Liu, Samy Tindel
In this paper, we consider an anticipative nonlinear filtering problem, in which the observation noise is correlated with the past of the signal. This new signal-observation model…
On the necessary and sufficient conditions to solve a heat equation with general additive Gaussian noise
Yaozhong Hu, Yanghui Liu, Samy Tindel
In this note we consider stochastic heat equation with general additive Gaussian noise. Our aim is to derive some necessary and sufficient conditions on the Gaussian noise in order…
First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case
Yanghui Liu, Samy Tindel
In this article, we consider the so-called modified Euler scheme for stochastic differential equations (SDEs) driven by fractional Brownian motions (fBm) with Hurst parameter $\fra…