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Currently displaying 1 – 4 of 4

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Probability structure preserving and absolute continuity

Yaozhong Hu — 2002

Annales de l'I.H.P. Probabilités et statistiques

On the self-intersection local time of Brownian motion via chaos expansion.

Yaozhong Hu — 1996

Publicacions Matemàtiques

Optimal stopping with advanced information flow: selected examples

Yaozhong Hu; Bernt Øksendal — 2008

Banach Center Publications

We study optimal stopping problems for some functionals of Brownian motion in the case when the decision whether or not to stop before (or at) time t is allowed to be based on the δ-advanced information $ℱ_{t + δ}$ , where $ℱ_{s}$ is the σ-algebra generated by Brownian motion up to time s, s ≥ -δ, δ > 0 being a fixed constant. Our approach involves the forward integral and the Malliavin calculus for Brownian motion.

Stochastic integral representation of the $L^{2}$ modulus of Brownian local time and a central limit theorem.

Hu, Yaozhong; Nualart, David — 2009

Electronic Communications in Probability [electronic only]

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