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VITA of Yaozhong HU

Last name: Hu
First Name: Yaozhong
Birth Date and Place: December 5, 1961, Jiangxi, CHINA
Nationality: United States of America
Status: Married
Languages: Chinese, English, French
Oce Address:
Department of Mathematics
University of Kansas
405 Snow Hall
Lawrence, Kansas 66045-2142
U.S.A.
telephone: (785) 864-3565 (Oce)
(785) 832-9077 (Home)
e-mail: hu@math.ku.edu
Homepage: www.math.ku.edu/hu
Fax: (785) 864-5255
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Education:
Feb. 1991 Sep. 1992:
Ph.D degree, Department of Mathematics
and Computer Science, Louis Pasteur University,
Strasbourg, France.
Specialty: Mathematics / Probability
Advisor of dissertation: P. A. MEYER, Directeur de CNRS,
Strasbourg, France.
Feb. 1982 Dec. 1984:
Masters degree, Institute of Mathematical Sciences,
Academia Sinica, Wuhan, China.
Advisor: Guoping Li, Academic Member of Chinese Academy
of Science, Wuhan, China.
Specialty: System Sciences.
Feb. 1978 Feb. 1982:
Bachelors degree, Department of Mathematics,
University of Jiangxi, Nan-Chang, China.
Specialty: Computational Mathematics.
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Academic Experiences:
Aug. 2007 Professor, Department
of Mathematics, University of Kansas.
Aug. 2002 Jul. 2007 Associate Professor, Department
of Mathematics, University of Kansas.
Aug. 1997 Jul. 2002: Assistant Professor, Department
of Mathematics, University of Kansas.
Jan. 1996 Jul. 1997: Visiting Assistant Professor, Department
of Mathematics, University of California at Irvine.
Sep. 1994 Dec. 1995: Norwegian Research Council Post-Doctoral
Researcher, Department of Mathematics,
University of Oslo, Norway.
Jul. 1994 Aug. 1994: Alexander von Humboldt Research Fellow,
Ruhr University-Bochum, Germany.
Oct. 1993 Jun. 1994: Researcher Associate, Center for Stochastic
Processes, Department of Statistics, University
of North Carolina at Chapel Hill.
Mar. 1993 Sep. 1993: Norwegian Research Council Post-Doctoral
Researcher, Department of Mathematics,
University of Oslo, Norway.
Oct. 1992 Feb. 1993: Matre de Conferences Invite, Department
of Mathematics and Computer Science,
Louis Pasteur University, France.
Mar. 1988 Feb. 1991: Lecturer, Institute of Mathematical Sciences,
Academia Sinica, Wuhan, China.
Dec. 1984 Feb. 1988: Assistant Lecturer, Institute of Mathematical
Sciences, Academia Sinica, Wuhan, China.
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Research Grants:
1. Nonlinear Functionals of fractional Brownian motion,
National Science Foundation,
7/1/2005 - 6/30/2008.
2. Stochastic Dierential Systems Driven by fractional Brownian motion,
National Science Foundation,
7/15/2002 - 6/30/2005.
3. Keeler University Professorship
08/2003 - 12/2003
4. Probabilistic Methods in Fractal Markets,
General Research Fund, University of Kansas,
7/1/01-6/30/02.
5. Stochastic Calculus for General Gaussian Processes and Applications,
General Research Fund, University of Kansas,
7/1/00-6/30/01.
6. Stochastic Calculus for General Gaussian Processes and Applications
to Finance and Nonlinear Filtering, First Awards EPSCoR,
National Science Foundation,
7/1/99-6/30/00.
7. Ito Calculus for FBM and Applications,
General Research Fund, University of Kansas,
7/1/99-6/30/00.
8. Stochastic Dierential Systems with Fractional White Noise,
General Research Fund, University of Kansas,
7/1/98-6/30/99.
9. Stochastic Dierential Systems with Fractional White Noise,
New Faculty General Research Fund, University of Kansas,
7/1/98-6/30/99.
10. Big 12 Faculty Fellowship, University of Kansas,
1999
11. Numerical Methods for Stochastic Systems for Reservoirs.
Norwegian Research Council for Science and the Humanities
Postdoctoral Researcher,
Department of Mathematics, University of Oslo, Norway,
9/1994-12/1995, 3/1993-9/1993
12. Alexander von Humboldt Research Fellow,
Ruhr University-Bochum, Germany,
7/1994-8/1994
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Professional Service
Associate Editor of the following two journals
1) Acta Mathematica Scientia
2) Journal of Applied Mathematics and Stochastic Analysis
Reviewer of Mathematical Review
Referee for many journals and proceedings.
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Conferences Participated and the titles of the invited presentations:
07/19/2009-12/24/2009: Workshop on Stochastic Partial Dierential Equations, Weihai, China
Feynman-Kac formula for stochastic partial dierential equations.
12/17/2008-12/22/2008: AMS-SMS joint meeting, in Fudan University, Shanghai, China.
Malliavin calculus and numerical solution of backward stochastic dierential equations.
12/14/2008-12/16/2008: Suzhou conference on stochastic analysis.
Rough path analysis via fractional calculus.
02/14/2008-02/15/2008: Kansas-Misouri Winter School on Applied Probability.
Backward stochastic dierential equations driven by fractional Brownian motions.
11/19/2007-11/24/2007: Workshop on application of stochastic partial dierential equations,
Mittag-Leer Institute, Stockholm, Sweden.
Stochastic heat equations driven by fractional noise and local times.
10/3/2007-10/12/2007: Visit University of Oslo and gave a talk in the Workshop on insider
trading.
7/5/2007-7/15/2007: Gave a series of talks in Yantai summer seminar on mathematical nance.
10/2006: AMS regional conference on stochastic control and stochastic game, University of
Cincinnati.
7/27/2005-8/5/2005: Abel Symposium on Stochastic Analysis and Application in honor of K.
It o. Oslo, Norway.
7/4/2005-7/8/2005: Conference on Stochastic Partial Dierential Equations, Vancouver, Canada.
6/8/2005-6/10/2005: Conference on Stochastic Analysis and Application in honor of B. ksendal,
Oslo, Norway.
8/10/2004-8/14/2004: Workshop on markov processes and related topics, Beijing Normal Uni-
versity, Beijing, China.
8/3/2004-8/8/2004: Workshop on stochastic analysis, Institute of Applied Mathematics, The
Chinese Academy of Science, Beijing, China.
6/22/2004-6/26/2004: Workshop on probability and application, Wuhan University, Wuhan,
China.
5/24/2004-5/31/2004: International Workshop on Mathematical Finance and Insurance, Yellow
Mountain, China.
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5/20/2004-5/22/2004: Workshop on Markov processes and related elds, Beijing Normal Uni-
versity, Beijing, China.
8/4/2003-8/15/2003: Warwick workshop on stochastic partial dierential equations, Warwick,
UK.
Stochastic equations driven by fractional noises.
6/22/03-6/26/03: AMS-IMS-SIAM Conference at Snowbird summer resort, Utah.
Optimal portfolio for an insider.
4/4/03-4/6/03: AMS regional meeting on Mathematical Finance, Indiana University, Bloom-
ington.
Optimal portfolio for an insider.
3/14/03-3/16/03: AMS regional meeting on stochastics, quantization and Segal-Bargman anal-
ysis, Louisiana University, Baton Rouge.
Rotationary approximation for tangent process.
10/14/02-10/18/02: 9th workshop on Mathematical Fiance (insider trading), University of Oslo,
Oslo, Norway.
Stochastic analysis of fBm and optimal consumption and portfolio in a stochastic volatility
market.
07/15/02-07/17/02: Workshop on Probability with Applications to Finance and Insurance,
Hong Kong University, Hong Kong, China.
Optimal Consumption and Portfolio in a stochastic volatility market.
06/07/01-06/09/01: 973 meeting on stochastic analysis, Chengde, China.
Stochastic calculus for fractional Brownian motions and applications.
05/10/01-05/13/01: International Conference on Mathematical Finance, Shanghai, China.
Option pricing in a fractal markets.
02/15/01-02/16/01: Workshop on Fractional Brownian motion: stochastic calculus and appli-
cations, Barcelona, Spain.
Probability structure preserving mapping and absolute continuity.
06/27/98-07/02/98: International Workshop on Gaussian Correlation Inequalities, College Sta-
tion, Texas.
Unication of several inequalities for Gaussian measures.
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12/13/97-12/15/97: Symposium on Stochastic Control and Nonlinear Filtering, Los Angeles.
Finite Dierence Approximation of Zakai equations.
10/17/97-10/18/97: AMS meeting Special Session on Stochastic Inequalities and Their Appli-
cations, Atlanta.
Exponential Integrability for Diusions
03/27/95-03/31/95: Workshop on stochastic evolution equations as dynamical systems, War-
wick, United Kingdom.
stochastic quantization.
10/24/94-10/29/94: International Conference on Stochastic Analysis: Mathematics, Financial
Markets, Biology, Engineering and Physics, Bielefeld, Germany.
Approximation of of stochastic dierential equations of Ito type.
07/09/95-07/14/95: International Meeting on Stochastic Analysis and Applications, Gregynog,
United Kingdom.
Continuity of some anticipating integral processes.
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Short visits - One Month or Two Months Visit:
03/02/2010 - 03/21/2010: Universite Henri Poincare, Nancy I
Nancy, France
12/05/09 - 01/16/10: African Institute of Mathematical Science,
Capetown, South Africa
06/08/09 - 08/05/09: Faculty of Science
Donghua University, Shanghai, China
01/03/09 - 01/24/09: Department of Mathematics
Fudan University, Shanghai, China
12/06/08 - 12/30/08: Institute of Applied Mathematics
Chinese Academy of Science, Beijing, China
08/01/08 - 08/25/08: Center of Mathematics for Application
University of Oslo, Oslo, Norway
10/03/07 - 10/12/07: Center of Mathematics for Application
University of Oslo, Oslo, Norway
06/12/07 - 07/29/07: Shandong University, China
08/01/06 - 08/26/06: Center of Mathematics for Application
University of Oslo, Oslo, Norway
05/10/05 - 08/15/05: Department of Mathematical and Statistical Science
University of Alberta at Edmonton, Canada.
03/15/05 - 04/25/05: Department of Mathematics
University of Wisconsin at Madison
01/10/05 - 02/26/05: Department of Mathematics
University of Oslo, Norway
12/01/04 - 12/22/04: Department of Mathematics
University of Wisconsin at Madison
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09/06/04 - 11/20/04: Department of Mathematical and Statistical Science
University of Alberta at Edmonton, Canada.
05/20/04-08/20/04: Wuhan Institute of Physics and Mathematics, The Chinese
Academy of Science, Wuhan, China
07/01/02-07/16/02: Institute of Mathematical Science, Chinese University of Hong Kong,
Hong Kong, China.
05/16/02-06/31/02: Department of System Management, Chinese University of Hong Kong,
Hong Kong, China.
5/28/01-6/22/01: Institute of Applied Mathematics, Chinese Academy of Science,
Beijing, China.
12/00-01/01: Department of Electrical Engineering, Israel Institute of Technology,
Haifa, Israel.
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07/95: Department of Mathematics, University of Barcelona, Barcelona, Spain.
03/95: Mathematics Institute, University of Warwick, Coventry, United Kingdom.
01/95-02/95: Mittag-Leer Institute, The Royal Swedish Academy
of Sciences, Stockholm, Sweden.
07/93: Department of Mathematics, University of Barcelona, Barcelona, Spain.
08/92: Institute of Mathematics, Ruhr-University Bochum, Bochum, Germany.
07/92: Department of Physics, University of Bielefeld, Bielefeld, Germany.
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Colloquium, Seminar Talks and Research Cooperation:
Universie Strasbourg I
Seminar talk, 3/12/2009: Feynman-Kac formula for stochastic partial dierential equations
driven by fractional noises.
Universie Nancy I
Seminar talk, 3/11/2009: Feynman-Kac formula for stochastic partial dierential equations
driven by fractional noises.
African Institute of Mathematical Science, Capetown, South Africa
Colloquium talk, 12/16/2009: Optimal time to invest.
African Institute of Mathematical Science, Capetown, South Africa
12/8/2009 - 12/11/2009: Gave eight two-hour lectures on rough path analysis
University of Tennessee
Seminar talk , 09/21/2009: Stochastic Heat Equation Driven by Fractional Noise and Local
Time.
Faculty of Science, Donghua University, Shanghai, China
06/10/2009 - 06/19/2009: Gave eight two-hour lectures on Malliavin calculus.
Department of Finance, Xing Jiang University of Economics and Finance, Urumuqi, China
colloquium talk, 06/29/09: Optimal time to invest.
Department of Mathematics, Xing Jiang University, Urumuqi, China
colloquium talk, 06/29/09: Improving Black-Scholes formula by using long memory.
Department of Mathematics, Fudan University, Shanghai, China
seminar talk, 01/9/09: Rough path analysis via fractional calculus
Department of Mathematics, Donghua University, Shanghai, China
seminar talk, 01/6/09: Least squares estimator for O-U process driven by fractional noise.
Wuhan Institute of Physics and Mathematics, The Chinese Academy of Science, Wuhan, China
seminar talk, 12/31/08: Least squares estimator for O-U process driven by fractional noise.
Department of Mathematics, Wuhan University, Wuhan, China
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seminar talk, 12/31/08: Stochastic partial dierential equations and local times.
Institute of Applied Mathematics, The Chinese Academy of Science, Beijing, China
seminar talk, 12/24/08: Stochastic partial dierential equations and local times.
Institute of Applied Mathematics, The Chinese Academy of Science, Beijing, China
seminar talk, 12/9/08: Anticipative Optimal stopping.
Wuhan Institute of Physics and Mathematics, Chinese Academy of Science
seminar talk, 6/8/07: Rough path analysis via fractional calculus.
Wuhan University of Science and Technology
seminar talk, 6/10/07: Optimal anticipative stopping.
HuaZhong University of Science and Technology
seminar talk, 6/8/07: Rough path analysis via fractional calculus and stochastic partial
dierential equations and local time.
University of Oslo
seminar talk, 8/14/06: Rough path analysis via fractional Brownian motion.
University of Missouri at Columbia
seminar talk, 2/10/06: Rough Path Analysis via Fractional calculus.
University of Missouri at Kansas City
seminar talk, 10/7/05: Improving Black-Scholes by using the long memory.
Loughborough University
seminar talk, 2/18/05: Self-intersection local time of fractional Brownian motions.
University of Swansea
seminar talk, 2/15/05: Self-intersection local time of fractional Brownian motions.
University of Wisconsin at Madison
seminar talk, 12/09/04: Self-intersection local time of fractional Brownian motions.
University of British Coloumbia
seminar talk, 11/10/04: Self-intersection local time of fractional Brownian motions.
University of Alberta at Edmonton
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seminar talk, 11/15/04: Stochastic Calculus for fractional Brownian motions.
University of Alberta at Edmonton
Open Lecture, 11/04/04: Improving the Black-Scholes formula: An Introduction to Pricing
and Portfolio Management by Using Long Memory.
University of Alberta at Edmonton
Open Lecture, 10/28/04: Some Inequalities for Gaussian measures.
University of Alberta at Edmonton
Open Lecture, 10/22/04: Simulation of Random Dynamical System
University of Alberta at Edmonton
Open Lecture, 10/15/04: Simulation of the Oil Pressure in the Norwegian Sea.
University of Alberta at Edmonton
Open Lecture, 10/04/04: Self-intersection local time of fractional Brownian motions.
University of Alberta at Edmonton
Open Lecture, 11/05/04: Between log-Sobolev and Spectral Gap inequalities.
University of Alberta at Edmonton
Open Lecture, 11/19/04: Between log-Sobolev and Spectral Gap inequalities, continuation.
University of Oslo
Open Lecture, 09/17/04: Self-intersection local time of fractional Brownian motions.
Purdue University
seminar talk, 02/21/03: Fractional Brownian motion and application to nance,
Michigan State University
colloquium talk, 11/02: Girsanov transformation of fractional Brownian motion,
Faculty of Mathematics and System Science, Chinese Academy of Science, China.
colloquium talk, 06/01: several inequalities for Gaussian measures.
Institute of Applied Mathematics, Chinese Academy of Science, China.
seminar talk, 06/01: stochastic calculus for fractional Brownian motions and applications.
HuaZhong University of Science and Technology, China.
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seminar talk, 05/25/01: Girsanov transformation for fractional Brownian motion.
seminar talk, 05/24/01: fractional white noise analysis and application.
Wuhan University, China.
seminar talk, 05/24/01: stochastic partial dierential equations driven by fractional noises.
Institute of Physics and Mathematics, Chinese Academy of Science, China.
colloquium talk, 05/23/01: some inequalities for Gaussian measures.
colloquium talk, 05/22/01: stochastic quantization.
Oxford University, Oxford, United Kingdom.
colloquium talk, 04/01: unied treatment of several inequalities for Gaussian measures.
University of Barcelona, Spain.
seminar talk, 02/01: fractional Black-Scholes market.
seminar talk, 07/95: on Wick approximation of stochastic dierential equations.
seminar talk, 07/93: on multiple Wiener-It o integrals.
Israel Institute of Technology, Haifa, Israel.
seminar talk, 01/01: a simple approach to logarithmic Sobolev inequalities.
seminar talk, 12/00: Girsanov transformation for fractional Brownian motion.
University of Nebraska, Lincoln.
seminar talk, 04/99: some inequalities for Gaussian measures.
University of Southern California, Los Angeles.
seminar talk, 04/97: stochastic quantization.
University of California at Irvine.
seminar talk, 03/96: on Poincare and log Sobolev inequalities.
seminar talk, 05/96: on long range dependence.
Georgia Institute of Technology, Atlanta.
seminar talk, 09/96: on an interpolation inequality for Gaussian measure.
Southern Illinois University at Carbondale.
colloquium talk, 09/96: on an interpolation inequality for Gaussian measure.
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seminar talk, 09/96: exact rate of convergence for Euler-Maruyama scheme.
University of Illinois at Urbana-Champagne, Urbana.
seminar talk, 08/96: on an interpolation inequality for Gaussian measure.
University of Delaware.
seminar talk, 09/96: some inequalities for Gaussian measures.
Rutgers University, New Brunswick.
seminar talk, 09/96: some inequalities for Gaussian measures.
University of North Carolina at Chapel Hill.
seminar talk, 09/96: approximation of the heat kernel.
seminar talk, 03/95: stochastic quantization.
seminar talk, 11/94: general idea of numerical solution of stochastic dierential equations.
Mittag-Leer Institute, Stockholm, Sweden.
colloquium talk, 01/95: numerical approximation of stochastic pressure equation.
University of Warwick, Coventry, United Kingdom.
seminar talk, 07/95 stochastic quantization.
Hull University, Hull, United Kingdom.
colloquium talk, 04/95: exact rate of convergence of some numerical schemes for stochastic
dierential equations.
University of Edinburgh, Edinburgh, United Kingdom.
colloquium talk, 03/95: numerical approximation of some stochastic partial equations.
Ruhr University Bochum, Bochum, Germany.
seminar talk, 07/94: on stochastic quantization.
seminar talk, 08/92: on the value at 0 of some Wiener functionals.
North Carolina State University.
seminar, 05/94: on rate of convergence of Euler-Maruyama scheme.
Centro de Investigaci on en Matem aticas, Guanajuato, Mexico.
colloquium talk, 11/93: on an interpolation inequality for Gaussian measure.
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University of Oslo, Norway.
seminar talk, 12/92: on the value at 0 of some Wiener functionals.
University of Bessancon, France.
seminar talk, 07/92: on traces on the Wiener space.
University of Paris 6, France.
colloquium talk, 05/92: on a work of Carmona and Nualart.
University Louis Pasteur, France.
seminar talk, 11/91: on stochastic Taylor series.
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A. LIST OF SUBMITTED PAPERS
1. (with D. Nualart and X. Song) Malliavin calculus for backward stochastic dierential
equations and application to numerical schemes. Submitted.
2. (with D. Nualart) Central limit theorem for the modulus of continuity of the Brownian
local time in L
3
(R). Submitted.
3. Multiple integrals and expansion of solution to dierential equations driven by rough
path and by fractional Brownian motion. Submitted.
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B. COMPLETE LIST OF REFEREED PUBLICATIONS
4. (with D. Nualart and J. Song) Feynman-Kac formula for spde driven by fractional
Brownian elds. To appear in Annals of Probability.
5. (with D. Nualart) Estimation of parameter for fractional Ornstein-Uhlenbeck processes.
To appear in Stat. Prob. Letters.
6. (with D. Nualart and J. Song ) Fractional martingales and characterization of the
fractional Brownian motion. Ann. Probab. 37 (2009), no. 6, 24042430.
7. (with D. Nualart) Stochastic integral representation of the L
2
modulus of Brownian
local time and a central limit theorem. Electron. Commun. Probab. 14 (2009),
529539.
8. (with J.A. Yan) Wick calculus for nonlinear Gaussian functionals. Acta Math. Appl.
Sin. Engl. Ser. 25 (2009), no. 3, 399414.
9. (with Long H. W.) Least squares estimator for Ornstein-Uhlenbeck processes driven
by -stable motions. Stochastic Process. Appl. 119 (2009), no. 8, 24652480.
10. (with Long H. W.) On the singularity of least squares estimator for mean-reverting
-stable motions. Acta Math. Sci. Ser. B Engl. Ed. 29 (2009), no. 3, 599608.
11. (with S. Peng) Backward stochastic dierential equations driven by fractional Brownian
motion. SIAM Journal of Control and Optimization, 48 (2009), 1675-1700.
12. (with D. Nualart and J. Song ) Integral representation of renormalized self-intersection
local times. J. Funct. Anal. 255 (2008), no. 9, 25072532.
13. (with B. Wang) Convergence rate of an approximation to multiple integral of fractional
Brownian motion. Accepted by Acta Math. Sci.
14. (with D. Nualart and X. Song ) A singular stochastic dierential equation driven by
fractional Brownian motion. Statist. Probab. Lett. 78 (2008), no. 14, 20752085.
15. (with B. ksendal) Partial information linear quadratic control for jump diusions.
SIAM Journal of Control and Optimization, 47 (2008), 1744-1761.
16. (with B. ksendal) Optimal anticipative stopping. Advances in Math. of Finance (L.
Stettner ed.). Banach Center Publications vol. 83 (2008), 107-116.
17. (with D. Nualart) Rough path analysis via fractional calculus. Trans. Amer. Math.
Soc. 361 (2009), no. 5, 26892718.
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18. (with D. Nualart) Stochastic heat equation driven by fractional noise and local time.
Prob. Theory and Related Fields, 143 (2009), 285-328.
19. (with B. ksendal) Optimal smooth portfolio selection for an insider. J. Appl. Probab.
44 (2007), no. 3, 742752.
20. (with Biagini, F. B. ksendal and Zhang, T.S.) Stochastic calculus for fractional Brow-
nian motion and applications. Probability and its Applications (New York). Springer-
Verlag London, Ltd., London, 2008.
21. (with D. Nualart) Regularity of renormalized self-intersection local time for fractional
Brownian motion. Communications in Information and Systems, 7 (2007), 21-30.
22. (with D. Nualart) Dierential equation driven by Holder continuous functions of order
greater than 1/2. in The Abel Symposium on Stochastic Analysis, 399-423. Springer,
2007.
23. (with H. Long) Parameter estimation for Ornstein-Uhlenbeck processes driven by -
stable Levy motions. Communications on Stochastic Analysis, 1 (2007), 175-192.
24. (with Mohammed, S., Arritojas, M. and Pap, G.) A Delayed Black and Scholes For-
mula, Stoch. Anal. Appl. 25 (2007), no. 2, 471-492.
25. Integral transformations and anticipative calculus for fractional Brownian motions.
Mem. Amer. Math. Soc. 175 (2005), no. 825, viii+127 pp.
26. (with ksendal, B. and Salopek, D. M.) Weighted local time for fractional Brownian
motion and applications to nance. Stoch. Appl. Anal. 23 (2005), no. 1, 1530.
27. (with Zhou X.Y.) Stochastic control for linear systems driven by fractional noises.
SIAM J. Control Optim. 43 (2005), no. 6, 22452277
28. Optimization of portfolio and consumption and minimization of volatility. Mathemat-
ics of nance, 199206, Contemp. Math., 351, Amer. Math. Soc., Providence, RI,
2004.
29. (with D. Nualart) Renormalized self-intersection local time for fractional Brownian
motion. Ann. Probab. 33 (2005), no. 3, 948983.
30. (with D. Nualart) Some processes associated with fractional Bessel processes. J. The-
oret. Probab. 18 (2005), no. 2, 377397.
31. (with B. ksendal and A. Sulem) Optimal portfolio in a fractional Black-Scholes mar-
ket driven by fractional Brownian motion. Innite Dimensional Analysis, Quantum
Probability and Related Topics, Vol. 6 (2004), 519-536.
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32. (with S. E. A. Mohammed and F. Yan) Numerical Solution of Stochastic Dierential
Systems with Memory. Annals of Probability, 32 (2004), 265-314.
33. Optimal consumption and portfolio in a market where the volatility is driven by frac-
tional Brownian motion. Probability, Finance and Insurance. Ed. Lai, T.L. et al.
World Scientic Publishing. 164-173.
34. (with ksendal and T. S. Zhang) General fractional multiparameter white noise theory
and stochastic partial dierential equations, Communications in partial dierential
equations 29 (2004), 1-23.
35. (with B. ksendal) Fractional white noise calculus and applications to nance. Innite
Dimensional Analysis, Quantum Probability and Related Topics, Vol. 6 (2003), 1-32.
36. (with F. Biagini, B. ksendal and A. Sulem) A Stochastic maximum principle for
processes driven by fractional Brownian motion, Stochastic Processes and Applications,
100 (2002), 233-253.
37. (with G. Kallianpur, J. Xiong) An approximation for Zakai equation, Applied Mathe-
matics and optimization 45 (2002), no. 1, 2344.
38. Probability structure preserving and absolute continuity, Annales de lInstitut Henri
Poincare, 38 (2002), no. 4, 557580.
39. (with

Ust nel, A. S.; Zakai, M.) Tangent processes on Wiener space. J. Funct. Anal.
192 (2002), no. 1, 234270
40. Chaos expansion of heat equation with white noise potentials, Potential Anal. 16
(2002), no. 1, 4566.
41. (with ksendal, B.) Chaos expansion of local time of fractional Brownian motions.
Stochastic Anal. Appl. 20 (2002), no. 4, 815837.
42. Self-intersection local time of fractional Brownian motions - via chaos expansion, Jour-
nal of Mathematics of Kyoto University, 41 (2001), no. 2, 233250.
43. Heat equation with fractional white noise potentials, Applied Mathematics and Opti-
mization, 43 (2001), 221-243.
44. (with ksendal and T. S. Zhang) Stochastic fractional potential theory, Papers in
Analysis, Report. Univ. Jyv askyl a, 83 (2001), 169-180.
45. Option pricing in a market where the volatility is driven by fractional Brownian mo-
tions, Recent Development in Mathematical Finance. Ed. J.M. Yong. World Scientic.
2002, 49-59.
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46. Prediction and translation of fractional Brownian motions, Stochastics in Finite and
Innite Dimensions, Ed. T. Hida et al., Trends Math., Birkh auser, Boston, MA, 2001,
153171.
47. (with Duncan, T. E. and Pasik-Duncan, B.) Stochastic calculus for fractional Brownian
motion. I. Theory. SIAM J. Control Optim. 38 (2000), no. 2, 582612
48. (with G. Kallianpur) Schrodinger equations with fractional Laplacians, Applied Math-
ematics and Optimization, 42 (2000), 281-290.
49. Optimal times to observe in the Kalman-Bucy models, Stochastics and Stochastics
Report, 69 (2000), 123-140.
50. Multi-dimensional geometric Brownian motions, Onsager-Machlup functions, and ap-
plications to mathematical nance, Acta Math. Sci. 20 (2000), 341-358.
51. (with B. ksendal and T. Zhang) Stochastic partial dierential equations driven by
multi-parameter fractional white noise, Stochastic Processes, Physics and Geometry:
New Interplays. II, Ed. F. Gesztesy et al., AMS 2000, 327-337.
52. A unied approach to several inequalities for Gaussian and diusion measures, Seminaire
XXXIV, Lecture Notes 1729, Springer-Verlag, 2000, 329335.
53. A Class of stochastic partial dierential equations driven by fractional white noises,
Stochastic Processes, Physics and Geometry: New Interplays. II, Ed. F. Gesztesy et
al., AMS 2000, 317-325.
54. (with B. ksendal and A. Sulem) Optimal portfolio in a fractional Black-Scholes mar-
ket, Mathematical Physics and Stochastic Analysis, Ed. S. Albeverio et al., World
Scientic 2000, 267-279.
55. (with R.J. de Figuereido) On non-linear ltering of non-Gaussian processes through
Volterra series, Volterra Equations and Applications, Arlington, TX, 1996, 197202,
Stability Control Theory Methods Appl., 10, Gordon and Breach, Amsterdam, 2000.
56. (with S. Albeverio, M. Rockner and X.Y. Zhou) Stochastic quantization of the two-
dimensional polymer measure, Applied Mathematics and Optimization, 40 (1999), 341-
354.
57. Exponential integrability of diusion processes, Advances in Stochastic Inequalities,
Ed. T.P. Hill and C. Houdre, Contemporary Mathematics, 234 (1999), American
Mathematical Society, 1999, 75-84.
58. (with Z. Q. Chen, Z. M. Qian and W. A. Zheng) Stability and approximations of
symmetric diusion semigroups and kernels, Journal of Functional Analysis, 152 (1998),
255-280.
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59. (with D. Nualart) Continuity of some anticipating integral processes, Statistics and
Probability Letters, 37 (1998), 203-211.
60. On the positivity of the solution of a class of stochastic pressure equations, Stochastics
and Stochastics Reports, 63 (1998), 27-40.
61. (with G. Kallianpur) Exponential integrability and application to stochastic quantiza-
tion, Applied Mathematics and Optimization, 37 (1998), 295-353.
62. (with B. ksendal) Optimal time to invest when the price processes are geometric
Brownian motions, Finance and Stochastics, 2 (1998), 295-310.
63. It o-Wiener chaos expansion with exact residual and correlation, variance inequalities,
Journal of Theoretical Probability, 10 (1997), 835-848.
64. (with S.Albeverio and X.Y. Zhou) A remark on non smoothness of self-intersection
local time of planar Brownian motion, Statistics and Probability Letter, 32 (1997),
57-65.
65. (with H. Holden) Finite dierence approximation of the pressure equation for uid ow
in a stochastic mediuma probabilistic approach, Comm. Partial Dierential Equation,
21 (1996), 1367-1388.
66. On the self-intersection local time of Brownian motion-via chaos expansion, Publ.
Mat., 40 (1996), 337-350.
67. (with Bruce K. Driver) On heat kernel logarithmic Sobolev inequalities, Stochastic
Analysis and Applications (Powys, 1995), World Sci. Publishing, River Edge, NJ,
1996, 189200.
68. Strong and weak order of time discretization schemes of stochastic dierential equa-
tions, Seminaire de Probabilites XXX, Ed. J. Azema, P.A. Meyer and M. Yor, Lecture
Notes in Mathematics 1626, Springer-Verlag, 1996, 218-227.
69. (with S. Watanabe) Donskers delta functions and approximation of heat kernels by
time discretization methods, J. Math. Kyoto University, 36 (1996), 499-518.
70. (with S. Cambanis) The exact convergence rate of Euler-Maruyama scheme and appli-
cation to sample design, Stochastics and Stochastics Reports, 59 (1996), 211-240.
71. Semi-implicit Euler-Maruyama scheme for sti stochastic equations, Stochastic Anal-
ysis and Related Topics, V (Silivri, 1994), Progr. Probab., 38, Birkh auser Boston,
Boston, MA, 1996, 183202.
72. (with B. ksendal) Wick approximation of quasilinear linear stochastic dierential
equations, Stochastic Analysis and Related Topics, Progr. Prob. 38, Birkhauser,
Boston, 1996, 203-231.
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73. (with T. Lindstrm, B. ksendal, J. Ube and T.S. Zhang) Inverse power of white
noise, Proc. Symp. Pure Math. 57 (1995), 439-456.
74. (with V. Peres-Abreu) On the continuous extension of Wiener chaos, Bol. Soc. Mat.
Mexicana, 1, (1995), 127-135.
75. On the dierentiability of functions of an operator, Seminaire de Probabilites XXIX,
Ed. J. Azema, P.A. Meyer and M. Yor, Lecture Notes in Mathematics 1613, Springer-
Verlag, 1995, 218-219.
76. The pathwise solution for a class of quasilinear stochastic equations of evolution in
Banach space II, Acta Mathematica Scientia, 15 (1995), 264-274.
77. Some operator inequalities, Seminaire de Probabilites XXVIII, Ed. by J. Azema, P.A.
Meyer and M. Yor, Lecture Notes in Mathematics 1583, Springer-Verlag, 1994, 316-
333.
78. The pathwise solution for a class of quasilinear stochastic equation of evolutions in
Banach spaces I, Acta Mathematica Scientia, 14 (1994), 461-474.
79. (with P.A.Meyer) On the approximation of Stratonovitch multiple integrals, Stochastic
Processes, a festschrift in honor of G. Kallianpur, Ed. S. Cambanis et al., Springer,
1993, 141-147.
80. ( with Long Hongwei) Symmetric integral and the approximation theorem of stochastic
integral in the plane, Acta Mathematica Scientia, 13 (1993), 153-166.
81. A remark on the value on zero of a Brownian functional, Stochastic Analysis and
Related Topics, Proc. Fourth Oslo-Silivri Workshop on Stochastic Analysis, Ed. T.
Lindstrm, B. ksendal and A.S.

Ust unel, Gordon and Breach Science Publishers,
1993, 173-176.
82. (with L. Decreusefond, A.S.

Ust unel) Une inegalite dinterpolation sur lespace de
Wiener, Compte Rendus Acad. Sci. Paris, 317 (1993), 1065-1067.
83. Hypercontractivite pour les fermions, dapres Carlen-Lieb, Seminaire de Probabilites
XXVII, Ed. J. Azema, P.A. Meyer and M. Yor, Lecture Notes in Mathematics 1557,
Springer-Verlag, 1993, 86-96.
84. The pathwise solutions for a class of quasi-linear stochastic equations of evolution in
Banach spaces III, Acta Mathematica Scientia, 13 (1993), 13-22.
85. Sur un travail de R. Carmona et D. Nualart, Seminaire de Probabilites XXVI, Ed. J.
Azema, P.A. Meyer and M. Yor, Lecture Notes in Mathematics 1526, Springer-Verlag,
1992, 587-594.
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86. Une formule dIt o pour le mouvement Brownien fermionique, Seminaire de Probabilites
XXVI, Ed. J. Azema, P.A. Meyer and M. Yor, Lecture Notes in Mathematics 1526,
Springer-Verlag, 1992, 575-578.
87. Une remarque sur linegalite de Holder non-commutative, Seminaire de Probabilites
XXVI, ed. J. Azema, P.A. Meyer and M. Yor, Lecture Notes in Mathematics 1526,
Springer-Verlag, 1992, 595.
88. Calculation of Feynman path integral for certain central forces, Stochastic Analysis and
Related Topics (Oslo, 1992), Stochastics Monogr., 8, Gordon and Breach, Montreux,
1993, 161-171.
89. Serie de Taylor stochastique et formule de Campbell-Hausdor - dap`es Ben Arous,
Seminaire de Probabilites XXVI, Ed. J. Azema, P.A. Meyer and M. Yor, Lecture
Notes in Mathematics 1526, Springer-Verlag, 1992, 579-586.
90. Existence de traces dans les developpements en chaos de Wiener. Dissertation, Univer-
site Louis Pasteur, Strasbourg, 1992. Publication de lInstitut de Recherche Mathematique
Avancee, 480. Universite Louis Pasteur, Departement de Mathematique, Institut de
Recherche Mathematique Avancee, Strasbourg, 1992. 77 pp.
91. Calculs formels sur les e.d.s. de Stratonovitch, Seminaire de Probabilites XXVI, Ed.
J. Azema, P.A. Meyer and M. Yor, Lect. Notes in Math. 1426, Springer-Verlag, 1990,
453-460.
92. Symmetric integral and canonical extension for jump process - some combinatorial
results, Acta Math. Sci. 10, (1990), 448-458.
93. Some notes on multiple Stratonovitch integrals, Acta Math. Sci. 9 (1989), 453-462.
94. Un nouvel exemple de distribution de Hida, Seminaire de Probabilites XXVI, Ed. J.
Azema, P.A. Meyer and M. Yor, Lecture Notes in Mathematics 1321, Springer-Verlag,
1988, 82-84.
95. (with P.A.Meyer) Chaos de Wiener et integrales de Feynman, Seminaire de Probabilites
XXII, Ed. J. Azema, P.A. Meyer and M. Yor, Lecture Notes in Mathematics 1321,
Springer-Verlag, 1988, 51-71.
96. (with P.A.Meyer) Sur les integrales multiples de Stratonovitch, Seminaire de Proba-
bilites XXVI, Ed. J. Azema, P.A. Meyer and M. Yor, Lecture Notes in Mathematics
1321, Springer-Verlag, 1988, 72-81.
97. Stochastic analysis of the stochastic functional on the basic space, Acta Math. Sci. 6
(1986), pp 67-74.
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