Access content directly

# Francesco Russo

93
Documents

## Publications

### McKean SDEs with singular coefficients

Annales de l'Institut Henri Poincaré, inPress
Journal articles

### Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes

Stochastics and Dynamics, 2022, 22, pp.2250007,. ⟨10.1142/S0219493722500071⟩
Journal articles

### Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations

Journal of Stochastic Analysis , 2022, 3 (1), ⟨10.31390/josa.3.1.03⟩
Journal articles

### CRANDALL-LIONS VISCOSITY SOLUTIONS FOR PATH-DEPENDENT PDES: THE CASE OF HEAT EQUATION

Bernoulli, 2022, 28, pp.481-503. ⟨10.3150/21-BEJ1353⟩
Journal articles

### Fokker-Planck equations with terminal condition and related McKean probabilistic representation

Nonlinear Differential Equations and Applications, 2022, volume 29 (10), ⟨10.1007/s00030-021-00736-1⟩
Journal articles

### On some path-dependent SDEs involving distributional drifts

Modern Stochastics: Theory and Applications, 2022, 9 (1), pp.65-87. ⟨10.15559/21-VMSTA197⟩
Journal articles

### BSDEs with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations. Part II: Decoupled mild solutions and Examples.

Journal of Theoretical Probability, 2021, 34, pp.1110-1148. ⟨10.1007/s10959-021-01092-7⟩
Journal articles

### A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems

Monte Carlo Methods and Applications, 2021, 27 (4), pp.347-371. ⟨10.1515/mcma-2021-2095⟩
Journal articles

### ROUGH PATHS AND REGULARIZATION

Journal of Stochastic Analysis , 2021, 2 (4), pp.1-21. ⟨10.31390/josa.2.4.01⟩
Journal articles

### Martingale driven BSDEs, PDEs and other related deterministic problems

Stochastic Processes and their Applications, 2021, 133, pp.193-228. ⟨10.1016/j.spa.2020.11.007⟩
Journal articles

### About classical solutions of the path-dependent heat equation

Random Operators and Stochastic Equations, 2020, 1, pp.35-62. ⟨10.1515/rose-2020-2028⟩
Journal articles

### A Feynman-Kac result via Markov BSDEs with generalized driver

Bernoulli, 2020, 26, pp.728-766. ⟨10.3150/19-BEJ1150⟩
Journal articles

### Decoupled mild solutions of path-dependent PDEs and IPDEs represented by BSDEs driven by cadlag martingales.

Potential Analysis, 2020, 53, pp.449-481. ⟨10.1007/s11118-019-09775-x⟩
Journal articles

### STRONG-VISCOSITY SOLUTIONS: SEMILINEAR PARABOLIC PDEs AND PATH-DEPENDENT PDEs

Osaka Journal of Mathematics, 2019, 56 (2), pp.323-373
Journal articles

### Path dependent equations driven by Hölder processes

Stochastic Analysis and Applications, 2019, 37 (3), pp.480-498. ⟨10.1080/07362994.2019.1585263⟩
Journal articles

### Discrete-type approximations for non-Markovian optimal stopping problems: Part I

Journal of Applied Probability, 2019, 56 (4), pp.981-1005. ⟨10.1017/jpr.2019.57⟩
Journal articles

### Path-dependent Martingale Problems and Additive Functionals

Stochastics and Dynamics, 2019, 19 (4), pp.1950027. ⟨10.1142/S0219493719500278⟩
Journal articles

### Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations

Stochastics: An International Journal of Probability and Stochastic Processes, 2019, 91 (8), ⟨10.1080/17442508.2019.1594809⟩
Journal articles

### Some loci of rational cubic fourfolds

Mathematische Annalen, 2018, pp.1-26. ⟨10.1007/s00208-018-1707-7⟩
Journal articles

### Special weak Dirichlet processes and BSDEs driven by a random measure

Bernoulli, 2018, 24 (4A), pp.2569-2609. ⟨10.3150/17-BEJ937⟩
Journal articles

### Infinite-dimensional calculus under weak spatial regularity of the processes.

Journal of Theoretical Probability, 2018, 31, pp.789-826. ⟨10.1007/s10959-016-0724-2⟩
Journal articles

### Gas storage valuation and hedging. A quantification of the model risk.

International Journal of Financial Studies, 2018, 6 (1 (27)), ⟨10.3390/ijfs6010027⟩
Journal articles

### Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations

Monte Carlo Methods and Applications, 2018, 24 (1), pp.55-70. ⟨10.1515/mcma-2018-0005⟩
Journal articles

### Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations

Stochastics and Partial Differential Equations: Analysis and Computations, 2017, 5 (1), Stochastics and partial differential equations: Analysis and Computation., vol. 5 (1), pp. 1-37, Springer-Verlag, mar, 2017. ⟨10.1007/s40072-016-0079-9⟩
Journal articles

### Multidimensional stochastic differential equations with distributional drift

Transactions of the American Mathematical Society, Series B, 2017, 369 (3), pp.1655-1688. ⟨10.1090/tran/6729⟩
Journal articles

### Infinite Dimensional Weak Dirichlet Processes and Convolution Type Processes

Stochastic Processes and their Applications, 2017, 127 (1), pp.325-357. ⟨10.1016/j.spa.2016.06.010⟩
Journal articles

### A note on time-dependent additive functionals

Communications on Stochastic Analysis, 2017, 11 (3), pp.313-334. ⟨10.31390/cosa.11.3.04⟩
Journal articles

### Weak Dirichlet processes with jumps

Stochastic Processes and their Applications, 2017, 12, pp.4139-4189. ⟨10.1016/j.spa.2017.04.001⟩
Journal articles

### Infinite dimensional weak Dirichlet processes and convolution type processes

Stochastic Processes and their Applications, 2017, 127 (1), pp.325-357. ⟨10.1016/j.spa.2016.06.010⟩
Journal articles

### On the well-posedness of a class of McKean Feynman-Kac equations

Markov Processes And Related Fields, 2017, 25 (5), pp.821-862
Journal articles

### Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time

Stochastics and Dynamics, 2017, 17, pp.1750030. ⟨10.1142/S0219493717500307⟩
Journal articles

### Doubly probabilistic representation for the stochastic porous media type equation.

Annales de l'Institut Henri Poincaré, 2017, ⟨10.1214/16-AIHP783⟩
Journal articles

### Uniqueness for a class of stochastic Fokker-Planck and porous media equations

Journal of Evolution Equations, 2017, 17 (3), pp.1049-1062. ⟨10.1007/s00028-016-0372-0⟩
Journal articles

### FUNCTIONAL ITÔ VERSUS BANACH SPACE STOCHASTIC CALCULUS AND STRICT SOLUTIONS OF SEMILINEAR PATH-DEPENDENT EQUATIONS

Infinite Dimensional Analysis, Quantum Probability and Related Topics, 2016, 19 (04), pp.1650024. ⟨10.1142/S0219025716500247⟩
Journal articles

### BSDEs, càdlàg martingale problems and orthogonalisation under basis risk.

SIAM Journal on Financial Mathematics, 2016, 7, pp.308-356. ⟨10.1137/140996239⟩
Journal articles

### Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations

ALEA : Latin American Journal of Probability and Mathematical Statistics, 2016, 13, pp.1189-1233. ⟨10.30757/ALEA.v13-43⟩
Journal articles

### Cripto is essential to capture mouse epiblast stem cell and human embryonic stem cell pluripotency

Nature Communications, 2016, 7, pp.12589. ⟨10.1038/ncomms12589⟩
Journal articles

### The XJC-correspondence

Journal für die reine und angewandte Mathematik, 2016, 2016 (716), pp.229-250. ⟨10.1515/crelle-2014-0052⟩
Journal articles

### Gaussian and non-Gaussian processes of zero power variation

ESAIM: Probability and Statistics, 2015, 19 (9), pp.414-439. ⟨10.1051/ps/2014031⟩
Journal articles

### The covariation for Banach space valued processes and applications

Metrika, 2014, 77 (1), pp.51-104. ⟨10.1007/s00184-013-0472-6⟩
Journal articles

### GKW representation theorem and linear BSDEs under restricted information. An application to risk-minimization.

Stochastics and Dynamics, 2014, 14 (2), pp.1350019. ⟨10.1142/S0219493713500196⟩
Journal articles

### Generalized covariation for Banach space valued processes, Itô formula and applications

Osaka Journal of Mathematics, 2014, 51 (3)
Journal articles

### Variance optimal hedging for continuous time additive processes and applications

Stochastics: An International Journal of Probability and Stochastic Processes, 2014, 81 (1), pp.147--185. ⟨10.1080/17442508.2013.774402⟩
Journal articles

### BSDEs under partial information and financial applications.

Stochastic Processes and their Applications, 2014, ⟨10.1016/j.spa.2014.03.003⟩
Journal articles

### Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets

The Journal of Computational Finance, 2014, 17 (2), pp.71-111. ⟨10.21314/JCF.2013.261⟩
Journal articles

Annales de l'Institut Fourier, 2014, 64 (1), pp.71-111. ⟨10.5802/aif.2839⟩
Journal articles

### The stochastic porous media equation in $\R^d$

Journal de Mathématiques Pures et Appliquées, 2014, 103 (4), pp.1024-1052. ⟨10.1016/j.matpur.2014.10.004⟩
Journal articles

### On some expectation and derivative operators related to integral representations of random variables with respect to a PII process

Stochastic Analysis and Applications, 2013, 31, pp.108--141. ⟨10.1080/07362994.2013.741395⟩
Journal articles

### Probabilistic and deterministic algorithms for space multidimensional irregular porous media equation.

Stochastics and Partial Differential Equations: Analysis and Computations, 2013, 1 (1), pp.3-62. ⟨10.1007/s40072-013-0001-7⟩
Journal articles

### About Fokker-Planck equation with measurable coefficients and applications to the fast diffusion equation

Electronic Journal of Probability, 2012, 17 (84), pp.1-28
Journal articles

### Probabilistic representation for solutions of an irregular porous media type equation: the degenerate case

Probability Theory and Related Fields, 2011, ⟨10.1007/s00440-010-0291-x⟩
Journal articles

### Clark-Ocone type formula for non-semimartingales with finite quadratic variation

Comptes rendus de l'Académie des sciences. Série I, Mathématique, 2011, 349 (3-4), pp.209-214. ⟨10.1016/j.crma.2010.11.032⟩
Journal articles

### On stochastic calculus related to financial assets without semimartingales

Bulletin des Sciences Mathématiques, 2011, 135, pp.733-774. ⟨10.1016/j.bulsci.2011.06.008⟩
Journal articles

### On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model

Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2009
Journal articles

### Wiener integrals, Malliavin calculus and covariance measure structure

Journal of Functional Analysis, 2007, 249 (1), pp.92-142. ⟨10.1016/j.jfa.2007.03.031⟩
Journal articles

### Elements of Stochastic Calculus via Regularisation

Séminaire de Probabilités, 2007, 1899-2007, pp.147-185. ⟨10.1007/978-3-540-71189-6_7⟩
Journal articles

### On the bifractional Brownian motion

Stochastic Processes and their Applications, 2006, 116 (6), pp.830-856. ⟨10.1016/j.spa.2005.11.013⟩
Journal articles

### m-order integrals and generalized Ito's formula; the case of a fractional Brownian motion with any Hurst index

Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2005, 41, pp.781-806. ⟨10.1016/j.anihpb.2004.06.002⟩
Journal articles

### Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index H>=1/4

Annals of Probability, 2003, 31, pp.1772-1820. ⟨10.1214/aop/1068646366⟩
Journal articles

### Itô's formula for C^1 functions of semimartingales

Probability Theory and Related Fields, 1996
Journal articles

### McKean Feynman-Kac probabilistic representations of non-linear partial differential equations

Geometry and Invariance in Stochastic Dynamics, S. Ugolini et alia, 2019, Verona, Italy. ⟨10.1007/978-3-030-87432-2⟩
Conference papers

### Stochastic analysis : A series of lectures

Birkhäuser Verlag, 68, pp.xiii + 393, 2015, Progress in Probability
Books

### Stochastic analysis, random fields and applications VII

Birkhäuser Verlag, 67, pp.xi + 469, 2013, Progress in Probability
Books

### Stochastic analysis, random fields and applications VI

Birkhäuser Verlag, 63, pp.xi + 492, 2011, Progress in Probability
Books

### Seminar on stochastic analysis, random fields and applications V

Birkhäuser Verlag, pp.xi + 523, 2007
Books

### Seminar on stochastic analysis, random fields and applications IV

Birkhäuser Verlag, pp.xii + 328, 2004
Books

### Characteristics and Itô's formula for weak Dirichlet processes: an equivalence result

2023
Preprints, Working Papers, ...

### ROUGH PATHS AND SYMMETRIC-STRATONOVICH INTEGRALS DRIVEN BY SINGULAR COVARIANCE GAUSSIAN PROCESSES

2022
Preprints, Working Papers, ...

### Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions

2022
Preprints, Working Papers, ...

### Weak Dirichlet processes and generalized martingale problems

2022
Preprints, Working Papers, ...

### Path-dependent SDEs with jumps and irregular drift: well-posedness and Dirichlet properties

2022
Preprints, Working Papers, ...

### The identification problem for BSDEs driven by possibly non quasi-left-continuous random measures

2020
Preprints, Working Papers, ...

### Some Loci of Rational Cubic Fourfolds

2015
Preprints, Working Papers, ...

### A regularization approach to functional Itô calculus and strong-viscosity solutions to path-dependent PDEs

2015
Preprints, Working Papers, ...

### Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations

2015
Preprints, Working Papers, ...

### Gaussian and non-Gaussian processes of zero power variation, and related stochastic calculus.

2014
Preprints, Working Papers, ...

### A stochastic Fokker-Planck equation and double probabilistic representation for the stochastic porous media type equation.

2014
Preprints, Working Papers, ...

### Infinite dimensional weak Dirichlet processes, stochastic PDEs and optimal control

2014
Preprints, Working Papers, ...

### Second Order PDEs with Dirichlet White Noise Boundary Condition

2013
Preprints, Working Papers, ...

### Probabilistic representation for solutions of a porous media type equation with Neumann boundary condition: the case of the half-line.

2013
Preprints, Working Papers, ...

### On countably skewed Brownian motion with accumulation point.

2013
Preprints, Working Papers, ...

### Generalized covariation and extended Fukushima decompositions for Banach valued processes. Application to windows of Dirichlet processes.

2011
Preprints, Working Papers, ...

### Infinite dimensional stochastic calculus via regularization

2010
Preprints, Working Papers, ...

### A probabilistic algorithm approximating solutions of a singular PDE of porous media type

2010
Preprints, Working Papers, ...

### Malliavin-Skorohod calculus and Paley-Wiener integral for covariance singular processes

2010
Preprints, Working Papers, ...

### {Probabilistic representation for solutions of an irregular porous media type equation.

2009
Preprints, Working Papers, ...

### Variance Optimal Hedging for continuous time processes with independent increments and applications

2009
Preprints, Working Papers, ...

### SOME PARABOLIC PDEs WHOSE DRIFT IS AN IRREGULAR RANDOM NOISE IN SPACE

2007
Preprints, Working Papers, ...

### Wiener integrals, Malliavin calculus and covariance measure structure

2007
Preprints, Working Papers, ...

### Modeling financial assets without semimartingale

2006
Preprints, Working Papers, ...

### Weak Dirichlet processes with a stochastic control perspective.

2006
Preprints, Working Papers, ...

### Verification Theorems for Stochastic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition

2006
Preprints, Working Papers, ...

### Non-semimartingales: stochastic differential equations and weak Dirichlet processes

2006
Preprints, Working Papers, ...