Mathematics Scholarly Works: Recent submissions

Now showing items 281-283 of 283

    • Chaos expansion of local time of fractional Brownian motions 

      Hu, Yaozhong; Oksendal, Bernt (MARCEL DEKKER INC, 2002-07)
      We find the chaos expansion of local time l(T)((H))(x, (.)) of fractional Brownian motion with Hurst coefficient H is an element of (0, 1) at a point x is an element of R-d. As an application we show that when H(0)d < 1 ...

    • Ito-Wiener chaos expansion with exact residual and correlation, variance inequalities 

      Hu, Yaozhong (1997-10)
      We give a formula of expanding the solution of a stochastic differential equation (abbreviated as SDE) into a finite Ito-Wiener chaos with explicit residual. And then we apply this formula to obtain several inequalities ...

    • Stochastic calculus for fractional Brownian motion - I. Theory 

      Duncan, Tyrone E.; Hu, Yaozhong; Pasik-Duncan, Bozenna (SIAM PUBLICATIONS, 2000-02-02)
      In this paper a stochastic calculus is given for the fractional Brownian motions that have the Hurst parameter in (1/2, 1). A stochastic integral of Ito type is defined for a family of integrands so that the integral has ...