Access content directly

Francesco Russo

95
Documents

Presentation

For more information see: [uma.ensta-paristech.fr/~russo](http://uma.ensta-paristech.fr/~russo) [perso.ensta-paristech.fr/~russo](http://perso.ensta-paristech.fr/~russo)
For more information see: [uma.ensta-paristech.fr/~russo](http://uma.ensta-paristech.fr/~russo) [perso.ensta-paristech.fr/~russo](http://perso.ensta-paristech.fr/~russo)

Publications

Image document

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

Alberto Ohashi , Francesco Russo
Bernoulli, 2024, 30 (2), pp.1197-1230. ⟨10.3150/23-BEJ1629.short⟩
Journal articles hal-03694046v2
Image document

McKean SDEs with singular coefficients

Elena Issoglio , Francesco Russo
Annales de l'Institut Henri Poincaré, 2023, 59 (3), pp.1530-1548. ⟨10.1214/22-AIHP1293⟩
Journal articles hal-03306570v2
Image document

Weak Dirichlet processes and generalized martingale problems

Elena Bandini , Francesco Russo
Stochastic Processes and their Applications, inPress
Journal articles hal-03660061v3
Image document

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

Andrea Cosso , Francesco Russo
Bernoulli, 2022, 28, pp.481-503. ⟨10.3150/21-BEJ1353⟩
Journal articles hal-02383626v3
Image document

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

Adrien Barrasso , Francesco Russo
Stochastics and Dynamics, 2022, 22, pp.2250007,. ⟨10.1142/S0219493722500071⟩
Journal articles hal-02197479v1
Image document

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

Lucas Izydorczyk , Nadia Oudjane , Francesco Russo , Gianmario Tessitore
Nonlinear Differential Equations and Applications, 2022, volume 29 (10), ⟨10.1007/s00030-021-00736-1⟩
Journal articles hal-02902615v3
Image document

On some path-dependent SDEs involving distributional drifts

Alberto Ohashi , Francesco Russo , Alan Teixeira
Modern Stochastics: Theory and Applications, 2022, 9 (1), pp.65-87. ⟨10.15559/21-VMSTA197⟩
Journal articles hal-02465590v2
Image document

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

Adrien Barrasso , Francesco Russo
Journal of Stochastic Analysis , 2022, 3 (1), ⟨10.31390/josa.3.1.03⟩
Journal articles hal-01431559v3
Image document

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

Adrien Barrasso , Francesco Russo
Journal of Theoretical Probability, 2021, 34, pp.1110-1148. ⟨10.1007/s10959-021-01092-7⟩
Journal articles hal-01505974v4
Image document

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

Lucas Izydorczyk , Nadia Oudjane , Francesco Russo
Monte Carlo Methods and Applications, 2021, 27 (4), pp.347-371. ⟨10.1515/mcma-2021-2095⟩
Journal articles hal-03210302v2
Image document

ROUGH PATHS AND REGULARIZATION

André O Gomes , Alberto Ohashi , Francesco Russo , Alan Teixeira
Journal of Stochastic Analysis , 2021, 2 (4), pp.1-21. ⟨10.31390/josa.2.4.01⟩
Journal articles hal-03260855v2
Image document

Martingale driven BSDEs, PDEs and other related deterministic problems

Adrien Barrasso , Francesco Russo
Stochastic Processes and their Applications, 2021, 133, pp.193-228. ⟨10.1016/j.spa.2020.11.007⟩
Journal articles hal-01566883v2
Image document

About classical solutions of the path-dependent heat equation

Cristina Di Girolami , Francesco Russo
Random Operators and Stochastic Equations, 2020, 1, pp.35-62. ⟨10.1515/rose-2020-2028⟩
Journal articles hal-01762783v3
Image document

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

Adrien Barrasso , Francesco Russo
Potential Analysis, 2020, 53, pp.449-481. ⟨10.1007/s11118-019-09775-x⟩
Journal articles hal-01774823v2
Image document

A Feynman-Kac result via Markov BSDEs with generalized driver

Elena Issoglio , Francesco Russo
Bernoulli, 2020, 26, pp.728-766. ⟨10.3150/19-BEJ1150⟩
Journal articles hal-01786119v2
Image document

Path dependent equations driven by Hölder processes

Rafael Andretto Castrequini , Francesco Russo
Stochastic Analysis and Applications, 2019, 37 (3), pp.480-498. ⟨10.1080/07362994.2019.1585263⟩
Journal articles hal-01388433v1
Image document

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

Andrea Cosso , Francesco Russo
Osaka Journal of Mathematics, 2019, 56 (2), pp.323-373
Journal articles hal-01145301v3
Image document

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

Jonas Lieber , Nadia Oudjane , Francesco Russo
Markov Processes And Related Fields, 2019, 25 (5), pp.821-862
Journal articles hal-01895210v3
Image document

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

Anthony Lecavil , Nadia Oudjane , Francesco Russo
Stochastics: An International Journal of Probability and Stochastic Processes, 2019, 91 (8), ⟨10.1080/17442508.2019.1594809⟩
Journal articles hal-01353757v4

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

Dorival Leão , Alberto Ohashi , Francesco Russo
Journal of Applied Probability, 2019, 56 (4), pp.981-1005. ⟨10.1017/jpr.2019.57⟩
Journal articles hal-02572450v1
Image document

Path-dependent Martingale Problems and Additive Functionals

Adrien Barrasso , Francesco Russo
Stochastics and Dynamics, 2019, 19 (4), pp.1950027. ⟨10.1142/S0219493719500278⟩
Journal articles hal-01775200v1
Image document

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

Patrick Henaff , Ismail Laachir , Francesco Russo
International Journal of Financial Studies, 2018, 6 (1 (27)), ⟨10.3390/ijfs6010027⟩
Journal articles hal-00918082v1
Image document

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

Anthony Le Cavil , Nadia Oudjane , Francesco Russo
Monte Carlo Methods and Applications, 2018, 24 (1), pp.55-70. ⟨10.1515/mcma-2018-0005⟩
Journal articles hal-01586861v1
Image document

Special weak Dirichlet processes and BSDEs driven by a random measure

Elena Bandini , Francesco Russo
Bernoulli, 2018, 24 (4A), pp.2569-2609. ⟨10.3150/17-BEJ937⟩
Journal articles hal-01241076v2
Image document

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

Franco Flandoli , Francesco Russo , Giovanni Zanco
Journal of Theoretical Probability, 2018, 31, pp.789-826. ⟨10.1007/s10959-016-0724-2⟩
Journal articles hal-01226154v2
Image document

Infinite dimensional weak Dirichlet processes and convolution type processes

Giorgio Fabbri , Francesco Russo
Stochastic Processes and their Applications, 2017, 127 (1), pp.325-357. ⟨10.1016/j.spa.2016.06.010⟩
Journal articles hal-01330684v1
Image document

Multidimensional stochastic differential equations with distributional drift

Franco Flandoli , Elena Issoglio , Francesco Russo
Transactions of the American Mathematical Society, Series B, 2017, 369 (3), pp.1655-1688. ⟨10.1090/tran/6729⟩
Journal articles hal-00935399v2
Image document

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

Anthony Le Cavil , Nadia Oudjane , Francesco Russo
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 hal-01241704v2
Image document

Infinite Dimensional Weak Dirichlet Processes and Convolution Type Processes

Giorgio Fabbri , Francesco Russo
Stochastic Processes and their Applications, 2017, 127 (1), pp.325-357. ⟨10.1016/j.spa.2016.06.010⟩
Journal articles halshs-01309384v1
Image document

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

Francesco Russo , Lukas Wurzer
Stochastics and Dynamics, 2017, 17, pp.1750030. ⟨10.1142/S0219493717500307⟩
Journal articles hal-01023176v2
Image document

Doubly probabilistic representation for the stochastic porous media type equation.

Viorel Barbu , Michael Röckner , Francesco Russo
Annales de l'Institut Henri Poincaré, 2017, ⟨10.1214/16-AIHP783⟩
Journal articles hal-01352670v1
Image document

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

Michael Röckner , Francesco Russo
Journal of Evolution Equations, 2017, 17 (3), pp.1049-1062. ⟨10.1007/s00028-016-0372-0⟩
Journal articles hal-01358705v1
Image document

A note on time-dependent additive functionals

Adrien Barrasso , Francesco Russo
Communications on Stochastic Analysis, 2017, 11 (3), pp.313-334. ⟨10.31390/cosa.11.3.04⟩
Journal articles hal-01574964v1
Image document

Weak Dirichlet processes with jumps

Elena Bandini , Francesco Russo
Stochastic Processes and their Applications, 2017, 12, pp.4139-4189. ⟨10.1016/j.spa.2017.04.001⟩
Journal articles hal-01241073v3
Image document

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

Anthony Le Cavil , Nadia Oudjane , Francesco Russo
ALEA : Latin American Journal of Probability and Mathematical Statistics, 2016, 13, pp.1189-1233. ⟨10.30757/ALEA.v13-43⟩
Journal articles hal-01241701v2
Image document

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

Andrea Cosso , Francesco Russo
Infinite Dimensional Analysis, Quantum Probability and Related Topics, 2016, 19 (04), pp.1650024. ⟨10.1142/S0219025716500247⟩
Journal articles hal-01145300v1
Image document

BSDEs, càdlàg martingale problems and orthogonalisation under basis risk.

Ismail Laachir , Francesco Russo
SIAM Journal on Financial Mathematics, 2016, 7, pp.308-356. ⟨10.1137/140996239⟩
Journal articles hal-01086227v2
Image document

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

Alessandro Fiorenzano , Emilia Pascale , Cristina d'Aniello , Dario Acampora , Cecilia Bassalert
Nature Communications, 2016, 7, pp.12589. ⟨10.1038/ncomms12589⟩
Journal articles hal-01923147v1

The XJC-correspondence

Luc Pirio , Francesco Russo
Journal für die reine und angewandte Mathematik, 2016, 2016 (716), pp.229-250. ⟨10.1515/crelle-2014-0052⟩
Journal articles hal-01348148v1
Image document

Gaussian and non-Gaussian processes of zero power variation

Francesco Russo , Frederi Viens
ESAIM: Probability and Statistics, 2015, 19 (9), pp.414-439. ⟨10.1051/ps/2014031⟩
Journal articles inria-00438532v2
Image document

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

Stéphane Goutte , Nadia Oudjane , Francesco Russo
The Journal of Computational Finance, 2014, 17 (2), pp.71-111. ⟨10.21314/JCF.2013.261⟩
Journal articles inria-00473032v2
Image document

The covariation for Banach space valued processes and applications

Cristina Di Girolami , Giorgio Fabbri , Francesco Russo
Metrika, 2014, 77 (1), pp.51-104. ⟨10.1007/s00184-013-0472-6⟩
Journal articles hal-00780430v2
Image document

BSDEs under partial information and financial applications.

Claudia Ceci , Alessandra Cretarola , Francesco Russo
Stochastic Processes and their Applications, 2014, ⟨10.1016/j.spa.2014.03.003⟩
Journal articles hal-00822988v1
Image document

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

Cristina Di Girolami , Francesco Russo
Osaka Journal of Mathematics, 2014, 51 (3)
Journal articles inria-00545660v4
Image document

Variance optimal hedging for continuous time additive processes and applications

Stéphane Goutte , Nadia Oudjane , Francesco Russo
Stochastics: An International Journal of Probability and Stochastic Processes, 2014, 81 (1), pp.147--185. ⟨10.1080/17442508.2013.774402⟩
Journal articles hal-00786177v1

Quadro-quadric cremona transformations in low dimensions via the JC-correspondence

Luc Pirio , Francesco Russo
Annales de l'Institut Fourier, 2014, 64 (1), pp.71-111. ⟨10.5802/aif.2839⟩
Journal articles hal-00709666v1
Image document

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

Viorel Barbu , Michael Röckner , Francesco Russo
Journal de Mathématiques Pures et Appliquées, 2014, 103 (4), pp.1024-1052. ⟨10.1016/j.matpur.2014.10.004⟩
Journal articles hal-00921597v2
Image document

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

Claudia Ceci , Alessandra Cretarola , Francesco Russo
Stochastics and Dynamics, 2014, 14 (2), pp.1350019. ⟨10.1142/S0219493713500196⟩
Journal articles hal-00696616v1
Image document

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

Stéphane Goutte , Nadia Oudjane , Francesco Russo
Stochastic Analysis and Applications, 2013, 31, pp.108--141. ⟨10.1080/07362994.2013.741395⟩
Journal articles hal-00665852v1
Image document

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

Nadia Belaribi , François Cuvelier , Francesco Russo
Stochastics and Partial Differential Equations: Analysis and Computations, 2013, 1 (1), pp.3-62. ⟨10.1007/s40072-013-0001-7⟩
Journal articles hal-00723821v1
Image document

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

Nadia Belaribi , Francesco Russo
Electronic Journal of Probability, 2012, 17 (84), pp.1-28
Journal articles hal-00645483v2
Image document

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

Viorel Barbu , Michael Roeckner , Francesco Russo
Probability Theory and Related Fields, 2011, ⟨10.1007/s00440-010-0291-x⟩
Journal articles inria-00410248v1
Image document

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

Cristina Di Girolami , Francesco Russo
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 inria-00484993v2
Image document

On stochastic calculus related to financial assets without semimartingales

Rosanna Coviello , Cristina Di Girolami , Francesco Russo
Bulletin des Sciences Mathématiques, 2011, 135, pp.733-774. ⟨10.1016/j.bulsci.2011.06.008⟩
Journal articles inria-00564756v1
Image document

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

Franco Flandoli , Massimiliano Gubinelli , Francesco Russo
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2009
Journal articles hal-00134623v1

Elements of Stochastic Calculus via Regularisation

Francesco Russo , Pierre Vallois
Séminaire de Probabilités, 2007, 1899-2007, pp.147-185. ⟨10.1007/978-3-540-71189-6_7⟩
Journal articles hal-00020443v1

Wiener integrals, Malliavin calculus and covariance measure structure

Ida Kruk , Francesco Russo , Ciprian A. Tudor
Journal of Functional Analysis, 2007, 249 (1), pp.92-142. ⟨10.1016/j.jfa.2007.03.031⟩
Journal articles hal-00311406v1
Image document

On the bifractional Brownian motion

Francesco Russo , Ciprian A. Tudor
Stochastic Processes and their Applications, 2006, 116 (6), pp.830-856. ⟨10.1016/j.spa.2005.11.013⟩
Journal articles hal-00130627v1
Image document

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

Mihai Gradinaru , Ivan Nourdin , Francesco Russo , Pierre Vallois
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2005, 41, pp.781-806. ⟨10.1016/j.anihpb.2004.06.002⟩
Journal articles hal-00091310v1
Image document

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

Mihai Gradinaru , Francesco Russo , Pierre Vallois
Annals of Probability, 2003, 31, pp.1772-1820. ⟨10.1214/aop/1068646366⟩
Journal articles hal-00091324v1

Itô's formula for C^1 functions of semimartingales

Francesco Russo , Pierre Vallois
Probability Theory and Related Fields, 1996
Journal articles hal-00974784v1
Image document

Degenerate McKean-Vlasov equations with drift in anisotropic negative Besov spaces

Elena Issoglio , Stefano Pagliarani , Francesco Russo , Davide Trevisani
2024
Preprints, Working Papers, ... hal-04398701v1
Image document

ABOUT SEMILINEAR LOW DIMENSION BESSEL PDEs

Alberto Ohashi , Francesco Russo , Alan Teixeira
2024
Preprints, Working Papers, ... hal-04530685v1
Image document

REDUCED DISSIPATION EFFECT IN STOCHASTIC TRANSPORT BY GAUSSIAN NOISE WITH REGULARITY GREATER THAN 1/2

Franco Flandoli , Francesco Russo
2023
Preprints, Working Papers, ... hal-04108818v1
Image document

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

Andrea Cosso , Fausto Gozzi , Mauro Rosestolato , Francesco Russo
2023
Preprints, Working Papers, ... hal-03285204v3
Image document

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

Elena Bandini , Francesco Russo
2023
Preprints, Working Papers, ... hal-04019358v1
Image document

An entropy penalized approach for stochastic control problems. Complete version

Thibaut Bourdais , Nadia Oudjane , Francesco Russo
2023
Preprints, Working Papers, ... hal-04193113v1
Image document

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

Elena Bandini , Francesco Russo
2022
Preprints, Working Papers, ... hal-03840544v1
Image document

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

Elena Bandini , Francesco Russo
2020
Preprints, Working Papers, ... hal-02448562v1
Image document

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

Andrea Cosso , Francesco Russo
2015
Preprints, Working Papers, ... hal-00933678v2
Image document

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

Anthony Lecavil , Nadia Oudjane , Francesco Russo
2015
Preprints, Working Papers, ... hal-01142337v1
Image document

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

Viorel Barbu , Michael Röckner , Francesco Russo
2014
Preprints, Working Papers, ... hal-00981113v1
Image document

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

Francesco Russo , Frederi Viens
2014
Preprints, Working Papers, ... hal-01024974v1
Image document

Infinite dimensional weak Dirichlet processes, stochastic PDEs and optimal control

Giorgio Fabbri , Francesco Russo
2014
Preprints, Working Papers, ... hal-00720490v2
Image document

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

Ioana Ciotir , Francesco Russo
2013
Preprints, Working Papers, ... hal-00812842v1
Image document

Second Order PDEs with Dirichlet White Noise Boundary Condition

Zdzislaw Brzezniak , Ben Goldys , Szymon Peszat , Francesco Russo
2013
Preprints, Working Papers, ... hal-00825120v1
Image document

On countably skewed Brownian motion with accumulation point.

Youssef Ouknine , Francesco Russo , Gerald Trutnau
2013
Preprints, Working Papers, ... hal-00850095v1
Image document

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

Cristina Di Girolami , Francesco Russo
2011
Preprints, Working Papers, ... inria-00594871v1
Image document

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

Nadia Belaribi , François Cuvelier , Francesco Russo
2010
Preprints, Working Papers, ... inria-00535806v1
Image document

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

Ida Kruk , Francesco Russo
2010
Preprints, Working Papers, ... inria-00540914v1
Image document

Infinite dimensional stochastic calculus via regularization

Francesco Russo , Cristina Di Girolami
2010
Preprints, Working Papers, ... inria-00473947v1
Image document

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

Stéphane Goutte , Nadia Oudjane , Francesco Russo
2009
Preprints, Working Papers, ... inria-00437984v1
Image document

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

Philippe Blanchard , Michael Röckner , Francesco Russo
2009
Preprints, Working Papers, ... hal-00279975v2
Image document

Wiener integrals, Malliavin calculus and covariance measure structure

Ida Kruk , Francesco Russo , Ciprian Tudor
2007
Preprints, Working Papers, ... hal-00078163v2
Image document

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

Francesco Russo , Gerald Trutnau
2007
Preprints, Working Papers, ... hal-00019856v3
Image document

Modeling financial assets without semimartingale

Rosanna Coviello , Francesco Russo
2006
Preprints, Working Papers, ... hal-00082050v1
Image document

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

Fausto Gozzi , Francesco Russo
2006
Preprints, Working Papers, ... hal-00022840v1

Non-semimartingales: stochastic differential equations and weak Dirichlet processes

Rosanna Coviello , Francesco Russo
2006
Preprints, Working Papers, ... hal-00020068v1
Image document

Weak Dirichlet processes with a stochastic control perspective.

Fausto Gozzi , Francesco Russo
2006
Preprints, Working Papers, ... hal-00022839v1