Publications (Authors listed alphabetically):
16. Liu, Y. (2024). Limit theorems for compensated weighted sums and application to numerical approximations. Submitted to Annals of Applied Probability.
15. Liu, Y. and Wang, X. (2023). Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions. To appear in Electronic Journal of Probability.
14. Le\’on, J.; Liu, Y. and Tindel, S. (2023). Euler scheme for SDEs driven by fractional Brownian motions: Integrability and convergence in law. Under revision Annals of Applied Probability.
13. Le\’on, J.; Liu, Y. and Tindel, S. (2024). Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates. Stochastic Processes and their Applications. 175, 104412.
12. Hu, Y.; Liu, Y. and Zhou, H. (2023). Backward Euler method for stochastic differential equations with non-Lipschitz coefficients driven by fractional Brownian motion. BIT Numerical Mathematics. 63:40.
11. Chong, C.; Hoffmann, M.; Liu, Y.; Rosenbaum, M. and Szymanski, G. (2023). Statistical inference for rough volatility: Minimax theory. To appear in Annals of Statistics.
10. Chong, C.; Hoffmann, M.; Liu, Y.; Rosenbaum, M. and Szymanski, G. (2023). Statistical inference for rough volatility: Central limit theorems. Annals of Applied Probability, Vol. 34, No. 3, 2600–2649.
9. Liu, Y.; Selk, Z. and Tindel, S. (2023). Convergence of trapezoid rule to rough integrals. Annales de l’Institut Henri Poincare (B) Probabilit ́es et Statistiques. 59, No. 3, 1434-1462.
8. Hu, Y.; Liu, Y. and Nualart, D. (2021). Crank-Nicolson method for stochastic differential equations driven by fractional Brownian motions. The Annals of Applied Probability. Vol. 31, No. 1, 39-83.
7. Lin, G.; Liu, Y. and Tindel, S. (2021). On the anticipative nonlinear filtering problem and its stability. Applied Mathematics and Optimization. 84:399–423
6. Hu, Y.; Liu, Y. and Tindel, S. (2019). On the necessary and sufficient conditions to solve a heat equation with general additive Gaussian noise. Acta Mathematica Scientia. 39, B. (3), 669-690.
5. Liu, Y.; Tindel, S. and Nualart, E. (2019). LAN property for stochastic differential equations with additive fractional noise and continuous time observation. Stochastic Processes and their Applications. 129, 2880-2902.
4. Liu, Y. and Tindel, S. (2020). Discrete rough paths and limit theorems. Annales de l’Institut Henri Poincare (B) Probabilit ́es et Statistiques. Vol. 56, No. 3, 1730-1774.
3. Liu, Y. and Tindel, S. (2019). First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case. The Annals of Applied Probability. 29, no. 2, 758-826.
2. Hu, Y.; Liu, Y. and Nualart, D. (2016). Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions. The Annals of Applied Probability. 26, no. 2, 1147-1207.
1. Hu, Y.; Liu, Y. and Nualart, D. (2016). Taylor schemes for rough differ- ential equations and fractional diffusions. Discrete and Continuous Dynamical Systems Series B 21, no. 9, 3115-3162.
Recent awards/grants:
PSC-CUNY Traditional-B Research Grant (2021-2022). Award # 64353-00 52.
Eugene M. Lang Junior Faculty Research Fellowship Awards. (2022-2023).
PSC-CUNY Traditional-B Research Grant (2023-2024). Award # 66385-00 54.
PSC-CUNY Traditional-B Research Grant (2024-2025). Award # 67513-00 55.