Liu, Yanghui
- Backward Euler method for stochastic differential equations with non-Lipschitz coefficients
2022/05/26 by Zhou, Hao, Hu, Yaozhong, Liu, Yanghui · 3 citations
#FOS: Mathematics #Numerical Analysis (math.NA)
- LAN property for stochastic differential equations with additive fractional noise and continuous time observation
2015/08/31 by Yanghui Liu, Liu, Yanghui, Eulàlia Nualart +3 · 2 citations
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Financial Risk and Volatility Modeling #Statistical Methods and Inference
- On the necessary and sufficient conditions to solve a heat equation with general additive Gaussian noise
2018/03/21 by Yaozhong Hu, Yanghui Liu, Hu, Yaozhong +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #60G15 #60H07 #60H15 #FOS: Mathematics #Numerical methods in inverse problems #Probability (math.PR) #Statistical Mechanics and Entropy #Stochastic processes and financial applications
- Convergence of trapezoid rule to rough integrals
2020/05/13 by Yanghui Liu, Liu, Yanghui, Zachary Selk +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Statistical Distribution Estimation and Applications #Stochastic processes and financial applications
- Euler scheme for SDEs driven by fractional Brownian motions: integrability and convergence in law
2023/07/13 by Jorge A. Leòn, Yanghui Liu, León, Jorge +3 · 1 citation
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Financial Risk and Volatility Modeling #Financial Markets and Investment Strategies
- Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions
2017/09/05 by Yaozhong Hu, Hu, Yaozhong, Yanghui Liu +3 · 1 citation
Economics, Econometrics and Finance · Social Sciences · #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications