Francesco Russo

Francesco RUSSO Professeur classe exceptionnelle ENSTA Paris
114
Documents
Affiliations actuelles
  • École Nationale Supérieure de Techniques Avancées (ENSTA Paris)
  • Optimisation et commande (OC)
Contact

Présentation

RESEARCH FIELDS

Stochastic analysis Stochastic methods in fluidodynamics Mathematical finance

**SEMINAR ORGANIZATION **

(with D. Hilhorst and A. Richard) of "Probabilités-Statistiques-Contrôle"

sites.google.com/view/sdaim/seminars

TEACHING RESPONSIBILITIES

Responsible of the teaching courses in Probability, Statistics and Finance at ENSTA Paris Coordinator of the "Parcours" Quantitative Finance at ENSTA Paris (with Laure Giovangigli) Corresponding member of the Master 'Statistics, Finance and Actuarial Sciences" at ENSTA Paris.

ANR SDAIM (Stochastic and Deterministic Analysis Irregular Models)

Principal Investigator

sites.google.com/view/sdaim


For older information see:

perso.ensta-paristech.fr/~russo

Domaines de recherche

Probabilités [math.PR]

Compétences

Stochastic analysis Probabilistic methods in fluidodynamics Mathematical finance

Publications

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Publications

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Verification theorem related to a zero sum stochastic differential game, based on a chain rule for non-smooth functions

Carlo Ciccarella , Francesco Russo

SIAM Journal on Control and Optimization, 2026, 64 (1), pp.409-431. ⟨10.1137/24M1696676⟩

Article dans une revue hal-04637897v3
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An entropy penalized approach for stochastic control problems. Complete version

Thibaut Bourdais , Nadia Oudjane , Francesco Russo

SIAM Journal on Control and Optimization, 2026, 64 (1), pp.363-386. ⟨10.1137/25M1741364⟩

Article dans une revue hal-04193113v3
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Characteristics and Itô's formula for weak Dirichlet processes: an equivalence result

Elena Bandini , Francesco Russo

Stochastics: An International Journal of Probability and Stochastic Processes, 2025, 97 (8), pp.992-1015. ⟨10.1080/17442508.2024.2397984⟩

Article dans une revue hal-04019358v2
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$C^{ 0,1}$ -Itô chain rules and generalized solutions of parabolic PDEs

Carlo Ciccarella , Francesco Russo

Stochastics and Dynamics, 2025, 25 (03n04), ⟨10.1142/S0219493725500194⟩

Article dans une revue hal-05060249v1
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ABOUT SEMILINEAR LOW DIMENSION BESSEL PDEs

Alberto Ohashi , Francesco Russo , Alan Teixeira

Stochastics and Partial Differential Equations: Analysis and Computations, 2025, ⟨10.1007/s40072-025-00386-9⟩

Article dans une revue hal-04530685v1
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SDEs WITH SINGULAR COEFFICIENTS: THE MARTINGALE PROBLEM VIEW AND THE STOCHASTIC DYNAMICS VIEW

Elena Issoglio , Francesco Russo

Journal of Theoretical Probability, 2024, ⟨10.1007/s10959-024-01325-5⟩

Article dans une revue hal-03758091v3
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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⟩

Article dans une revue hal-03694046v2
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Weak Dirichlet processes and generalized martingale problems

Elena Bandini , Francesco Russo

Stochastic Processes and their Applications, 2024, 170, pp.104261. ⟨10.1016/j.spa.2023.104261⟩

Article dans une revue hal-03660061v3
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A PDE WITH DRIFT OF NEGATIVE BESOV INDEX AND LINEAR GROWTH SOLUTIONS

Elena Issoglio , Francesco Russo

Differential and integral equations, 2024, 37 (9-10), pp.585-622. ⟨10.57262/die037-0910-585⟩

Article dans une revue hal-03889110v1
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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⟩

Article dans une revue hal-03306570v2
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ON SDEs FOR BESSEL PROCESSES IN LOW DIMENSION AND PATH-DEPENDENT EXTENSIONS

Alberto Ohashi , Francesco Russo , Alan Teixeira

ALEA : Latin American Journal of Probability and Mathematical Statistics, 2023, 20, pp.1111-1138. ⟨10.30757/ALEA.v20-41⟩

Article dans une revue hal-03844769v2
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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⟩

Article dans une revue hal-02383626v3
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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⟩

Article dans une revue hal-01431559v3
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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⟩

Article dans une revue hal-02465590v2
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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⟩

Article dans une revue hal-02902615v3
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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⟩

Article dans une revue hal-02197479v1
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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⟩

Article dans une revue hal-01566883v2
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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⟩

Article dans une revue hal-03210302v2
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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⟩

Article dans une revue hal-01505974v4

Smoothness of densities for path-dependent SDEs under Hörmander's condition

Alberto Ohashi , Francesco Russo , Evelina Shamarova

Journal of Functional Analysis, 2021, 281 (11), pp.109225. ⟨10.1016/j.jfa.2021.109225⟩

Article dans une revue hal-04489383v1

Smoothness of densities for path-dependent SDEs under Hörmander's condition

Alberto Ohashi , Francesco Russo , Evelina Shamarova

Journal of Functional Analysis, 2021, 281 (11), pp.109225. ⟨10.1016/j.jfa.2021.109225⟩

Article dans une revue hal-03950660v1
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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⟩

Article dans une revue hal-03260855v2
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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⟩

Article dans une revue hal-01762783v3
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A Feynman-Kac result via Markov BSDEs with generalized driver

Elena Issoglio , Francesco Russo

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

Article dans une revue hal-01786119v2
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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⟩

Article dans une revue hal-01774823v2

Discrete-type Approximations for Non-Markovian Optimal Stopping Problems: Part II

Sérgio Bezerra , Alberto Ohashi , Francesco Russo , Francys de Souza

Methodology and Computing in Applied Probability, 2020, 22 (3), pp.1221-1255. ⟨10.1007/s11009-019-09764-y⟩

Article dans une revue hal-03953350v1
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The identification problem for BSDEs driven by possibly non quasi-left-continuous random measures

Elena Bandini , Francesco Russo

Stochastics and Dynamics, 2020, 20 (6), pp.2040011

Article dans une revue hal-02448562v1
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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⟩

Article dans une revue hal-01353757v4
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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

Article dans une revue hal-01895210v3

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⟩

Article dans une revue hal-04489379v1
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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⟩

Article dans une revue hal-01388433v1
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STRONG-VISCOSITY SOLUTIONS: SEMILINEAR PARABOLIC PDEs AND PATH-DEPENDENT PDEs

Andrea Cosso , Francesco Russo

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

Article dans une revue hal-01145301v3
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Some loci of rational cubic fourfolds

Michele Bolognesi , Francesco Russo , Giovanni Staglianò

Mathematische Annalen, 2019, 373, pp.165-190. ⟨10.1007/s00208-018-1707-7⟩

Article dans une revue hal-01145459v1

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⟩

Article dans une revue hal-02572450v1
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Path-dependent Martingale Problems and Additive Functionals

Adrien Barrasso , Francesco Russo

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

Article dans une revue hal-01775200v1
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Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations

Anthony Lecavil , Nadia Oudjane , Francesco Russo

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

Article dans une revue hal-01586861v1
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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⟩

Article dans une revue hal-00918082v1
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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⟩

Article dans une revue hal-01241076v2
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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⟩

Article dans une revue hal-01226154v2

Srishti Dhar Chatterji, my Ph.D. advisor

Francesco Russo

Expositiones Mathematicae, 2018, 36 (3-4), pp.257-258. ⟨10.1016/j.exmath.2018.09.002⟩

Article dans une revue hal-03953351v1
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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⟩

Article dans une revue hal-01358705v1
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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⟩

Article dans une revue hal-01352670v1
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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⟩

Article dans une revue hal-00935399v2
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Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations

Anthony Lecavil , 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⟩

Article dans une revue hal-01241704v2
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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⟩

Article dans une revue halshs-01309384v1
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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⟩

Article dans une revue hal-01330684v1
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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⟩

Article dans une revue hal-01574964v1
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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⟩

Article dans une revue hal-01241073v3
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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⟩

Article dans une revue hal-01023176v2
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HJB equations in infinite dimension and optimal control of stochastic evolution equations via generalized Fukushima decomposition

Giorgio Fabbri , Francesco Russo

SIAM Journal on Control and Optimization, 2017, 55 (6), pp.4072-4091. ⟨10.1137/17M1113801⟩

Article dans une revue hal-01447562v2
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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⟩

Article dans une revue hal-01086227v2
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Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations

Anthony Lecavil , Nadia Oudjane , Francesco Russo

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

Article dans une revue hal-01241701v2

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⟩

Article dans une revue hal-01348148v1
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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 et al.

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

Article dans une revue hal-01923147v1
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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⟩

Article dans une revue hal-01145300v1
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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⟩

Article dans une revue inria-00438532v2
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The stochastic porous media equation in $\R^d$

Viorel Barbu , Michael Röckner , Francesco Russo

Journal de Mathématiques Pures et Appliquées, 2015, 103 (4), pp.1024-1052. ⟨10.1016/j.matpur.2014.10.004⟩

Article dans une revue hal-00921597v2

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⟩

Article dans une revue hal-00709666v1
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Generalized covariation for Banach space valued processes, Itô formula and applications

Cristina Di Girolami , Francesco Russo

Osaka Journal of Mathematics, 2014, 51 (3)

Article dans une revue inria-00545660v4
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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⟩

Article dans une revue hal-00822988v1
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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⟩

Article dans une revue hal-00786177v1
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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⟩

Article dans une revue inria-00473032v2
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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⟩

Article dans une revue hal-00780430v2
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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⟩

Article dans une revue hal-00696616v1
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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⟩

Article dans une revue hal-00665852v1
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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⟩

Article dans une revue hal-00723821v1
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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

Article dans une revue hal-00645483v2
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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⟩

Article dans une revue inria-00410248v1
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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⟩

Article dans une revue inria-00484993v2
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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⟩

Article dans une revue inria-00564756v1
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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

Article dans une revue hal-00134623v1

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⟩

Article dans une revue hal-00311406v1

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⟩

Article dans une revue hal-00020443v1
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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⟩

Article dans une revue hal-00130627v1
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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⟩

Article dans une revue hal-00091310v1
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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

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

Article dans une revue hal-00091324v1

Itô's formula for C^1 functions of semimartingales

Francesco Russo , Pierre Vallois

Probability Theory and Related Fields, 1996

Article dans une revue hal-00974784v1
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McKean Feynman-Kac probabilistic representations of non-linear partial differential equations

Lucas Izydorczyk , Nadia Oudjane , Francesco Russo

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

Communication dans un congrès hal-02397045v1
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Exponential twist of probability measures: drift correction in term of a generalized gradient. Complete version

Thibaut Bourdais , Nadia Oudjane , Francesco Russo

2026

Pré-publication, Document de travail hal-04644249v2
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An entropy penalized approach for stochastic optimization with marginal law constraints. Complete version

Thibaut Bourdais , Nadia Oudjane , Francesco Russo

2025

Pré-publication, Document de travail hal-04993222v1
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McKean-Vlasov equations with singular coefficients - a review of recent results

Luca Bondi , Elena Issoglio , Francesco Russo

2025

Pré-publication, Document de travail hal-05191872v1
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Forward stochastic integration for adapted processes w.r.t. Riemann-Liouville fractional Brownian motion (Full version)

Paulo Henrique da Costa , Alberto Ohashi , Francesco Russo

2025

Pré-publication, Document de travail hal-05428334v1
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Stochastic transport by Gaussian noise with regularity greater than 1/2

Franco Flandoli , Francesco Russo

2025

Pré-publication, Document de travail hal-04108818v2
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Degenerate McKean-Vlasov equations with drift in anisotropic negative Besov spaces

Elena Issoglio , Stefano Pagliarani , Francesco Russo , Davide Trevisani

2026

Pré-publication, Document de travail hal-04398701v2
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Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions

Andrea Cosso , Fausto Gozzi , Mauro Rosestolato , Francesco Russo

2023

Pré-publication, Document de travail hal-03285204v3
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THE L 2 -NORM OF THE FORWARD STOCHASTIC INTEGRAL W.R.T. FRACTIONAL BROWNIAN MOTION H > 1 2

Alberto Ohashi , Francesco Russo

2023

Pré-publication, Document de travail hal-04264824v1
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The isometry of symmetric-Stratonovich integrals w.r.t. Fractional Brownian motion $H< \frac{1}{2}$

Alberto Ohashi , Francesco Russo , Frederi Viens

2023

Pré-publication, Document de travail hal-04257465v1
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Path-dependent SDEs with jumps and irregular drift: well-posedness and Dirichlet properties

Elena Bandini , Francesco Russo

2022

Pré-publication, Document de travail hal-03840544v1
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A regularization approach to functional Itô calculus and strong-viscosity solutions to path-dependent PDEs

Andrea Cosso , Francesco Russo

2015

Pré-publication, Document de travail hal-00933678v2
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Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations

Anthony Lecavil , Nadia Oudjane , Francesco Russo

2015

Pré-publication, Document de travail hal-01142337v1
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Gaussian and non-Gaussian processes of zero power variation, and related stochastic calculus.

Francesco Russo , Frederi Viens

2014

Pré-publication, Document de travail hal-01024974v1
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A stochastic Fokker-Planck equation and double probabilistic representation for the stochastic porous media type equation.

Viorel Barbu , Michael Röckner , Francesco Russo

2014

Pré-publication, Document de travail hal-00981113v1
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Infinite dimensional weak Dirichlet processes, stochastic PDEs and optimal control

Giorgio Fabbri , Francesco Russo

2014

Pré-publication, Document de travail hal-00720490v2
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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

Pré-publication, Document de travail hal-00812842v1
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Second Order PDEs with Dirichlet White Noise Boundary Condition

Zdzislaw Brzezniak , Ben Goldys , Szymon Peszat , Francesco Russo

2013

Pré-publication, Document de travail hal-00825120v1
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On countably skewed Brownian motion with accumulation point.

Youssef Ouknine , Francesco Russo , Gerald Trutnau

2013

Pré-publication, Document de travail hal-00850095v1
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Generalized covariation and extended Fukushima decompositions for Banach valued processes. Application to windows of Dirichlet processes.

Cristina Di Girolami , Francesco Russo

2011

Pré-publication, Document de travail inria-00594871v1
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A probabilistic algorithm approximating solutions of a singular PDE of porous media type

Nadia Belaribi , François Cuvelier , Francesco Russo

2010

Pré-publication, Document de travail inria-00535806v1
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Malliavin-Skorohod calculus and Paley-Wiener integral for covariance singular processes

Ida Kruk , Francesco Russo

2010

Pré-publication, Document de travail inria-00540914v1
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Infinite dimensional stochastic calculus via regularization

Francesco Russo , Cristina Di Girolami

2010

Pré-publication, Document de travail inria-00473947v1
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{Probabilistic representation for solutions of an irregular porous media type equation.

Philippe Blanchard , Michael Röckner , Francesco Russo

2009

Pré-publication, Document de travail hal-00279975v2
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Variance Optimal Hedging for continuous time processes with independent increments and applications

Stéphane Goutte , Nadia Oudjane , Francesco Russo

2009

Pré-publication, Document de travail inria-00437984v1
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Wiener integrals, Malliavin calculus and covariance measure structure

Ida Kruk , Francesco Russo , Ciprian Tudor

2007

Pré-publication, Document de travail hal-00078163v2
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SOME PARABOLIC PDEs WHOSE DRIFT IS AN IRREGULAR RANDOM NOISE IN SPACE

Francesco Russo , Gerald Trutnau

2007

Pré-publication, Document de travail hal-00019856v3
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Modeling financial assets without semimartingale

Rosanna Coviello , Francesco Russo

2006

Pré-publication, Document de travail hal-00082050v1

Non-semimartingales: stochastic differential equations and weak Dirichlet processes

Rosanna Coviello , Francesco Russo

2006

Pré-publication, Document de travail hal-00020068v1
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Verification Theorems for Stochastic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition

Fausto Gozzi , Francesco Russo

2006

Pré-publication, Document de travail hal-00022840v1
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Weak Dirichlet processes with a stochastic control perspective.

Fausto Gozzi , Francesco Russo

2006

Pré-publication, Document de travail hal-00022839v1