71 citations · 100 across the 13 of their papers we have counts for
14 papers
Limit theorems for compensated weighted sums and application to numerical approximations
Yanghui Liu
In this paper, we consider a "compensated" random sum that arises from numerical approximation of stochastic integrations and differential equations. We show that the compensated s…
Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions
Yanghui Liu, Xiaohua Wang
In this paper we establish limit theorems for power variations of stochastic processes controlled by fractional Brownian motions with Hurst parameter . We show that the…
Euler scheme for SDEs driven by fractional Brownian motions: integrability and convergence in law
Jorge León, Yanghui Liu, Samy Tindel
In this note we consider stochastic differential equations driven by fractional Brownian motions (fBm) with Hurst parameter . We prove that the corresponding modified Euler…
Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates
Jorge A. León, Yanghui Liu, Samy Tindel
The Malliavin differentiability of a SDE plays a crucial role in the study of density smoothness and ergodicity among others. For Gaussian driven SDEs the differentiability propert…
Statistical inference for rough volatility: Central limit theorems
Carsten Chong, Marc Hoffmann, Yanghui Liu +2
In recent years, there has been a substantive interest in rough volatility models. In this class of models, the local behavior of stochastic volatility is much more irregular than…
Statistical inference for rough volatility: Minimax Theory
Carsten Chong, Marc Hoffmann, Yanghui Liu +2
Rough volatility models have gained considerable interest in the quantitative finance community in recent years. In this paradigm, the volatility of the asset price is driven by a…
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…
Taylor schemes for rough differential equations and fractional diffusions
Yaozhong Hu, Yanghui Liu, David Nualart
In this paper, we study two variations of the time discrete Taylor schemes for rough differential equations and for stochastic differential equations driven by fractional Brownian…
LAN property for stochastic differential equations with additive fractional noise and continuous time observation
Yanghui Liu, Eulalia Nualart, Samy Tindel
We consider a stochastic differential equation with additive fractional noise with Hurst parameter , and a non-linear drift depending on an unknown parameter. We show the Lo…
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…
Modified Euler approximation scheme for stochastic differential equations driven by fractional Brownian motions
Yaozhong Hu, Yanghui Liu, David Nualart
For a stochastic differential equation driven by a fractional Brownian motion with Hurst parameter it is known that the classical Euler scheme has the rate of converge…