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Weak Dirichlet processes and generalized martingale problems
Elena Bandini
,
Francesco Russo
Stochastic Processes and their Applications, inPress
Journal articles
hal-03660061v3
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ROUGH PATHS AND SYMMETRIC-STRATONOVICH INTEGRALS DRIVEN BY SINGULAR COVARIANCE GAUSSIAN PROCESSES
Alberto Ohashi
,
Francesco Russo
Bernoulli, inPress
Journal articles
hal-03694046v2
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McKean SDEs with singular coefficients
Elena Issoglio
,
Francesco Russo
Journal articles
hal-03306570v2
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Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes
Adrien Barrasso
,
Francesco Russo
Journal articles
hal-02197479v1
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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 articles
hal-01431559v3
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CRANDALL-LIONS VISCOSITY SOLUTIONS FOR PATH-DEPENDENT PDES: THE CASE OF HEAT EQUATION
Andrea Cosso
,
Francesco Russo
Journal articles
hal-02383626v3
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Fokker-Planck equations with terminal condition and related McKean probabilistic representation
Lucas Izydorczyk
,
Nadia Oudjane
,
Francesco Russo
,
Gianmario Tessitore
Journal articles
hal-02902615v3
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On some path-dependent SDEs involving distributional drifts
Alberto Ohashi
,
Francesco Russo
,
Alan Teixeira
Journal articles
hal-02465590v2
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Martingale driven BSDEs, PDEs and other related deterministic problems
Adrien Barrasso
,
Francesco Russo
Journal articles
hal-01566883v2
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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 articles
hal-01505974v4
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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
Journal articles
hal-03210302v2
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ROUGH PATHS AND REGULARIZATION
André O Gomes
,
Alberto Ohashi
,
Francesco Russo
,
Alan Teixeira
Journal articles
hal-03260855v1
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About classical solutions of the path-dependent heat equation
Cristina Di Girolami
,
Francesco Russo
Journal articles
hal-01762783v3
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A Feynman-Kac result via Markov BSDEs with generalized driver
Elena Issoglio
,
Francesco Russo
Journal articles
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
Journal articles
hal-01774823v2
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Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations
Anthony Lecavil
,
Nadia Oudjane
,
Francesco Russo
Journal articles
hal-01353757v4
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Path-dependent Martingale Problems and Additive Functionals
Adrien Barrasso
,
Francesco Russo
Journal articles
hal-01775200v1
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Discrete-type approximations for non-Markovian optimal stopping problems: Part I
Dorival Leão
,
Alberto Ohashi
,
Francesco Russo
Journal articles
hal-02572450v1
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Path dependent equations driven by Hölder processes
Rafael Andretto Castrequini
,
Francesco Russo
Journal articles
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
Journal articles
hal-01145301v3
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Gas storage valuation and hedging. A quantification of the model risk.
Patrick Henaff
,
Ismail Laachir
,
Francesco Russo
Journal articles
hal-00918082v1
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Infinite-dimensional calculus under weak spatial regularity of the processes.
Franco Flandoli
,
Francesco Russo
,
Giovanni Zanco
Journal articles
hal-01226154v2
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Special weak Dirichlet processes and BSDEs driven by a random measure
Elena Bandini
,
Francesco Russo
Journal articles
hal-01241076v2
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Some loci of rational cubic fourfolds
Michele Bolognesi
,
Francesco Russo
,
Giovanni Staglianò
Journal articles
hal-01816621v1
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Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations
Anthony Le Cavil
,
Nadia Oudjane
,
Francesco Russo
Journal articles
hal-01586861v1
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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
Journal articles
hal-01023176v2
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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, 2017, 25 (5), pp.821-862
Journal articles
hal-01895210v2
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Doubly probabilistic representation for the stochastic porous media type equation.
Viorel Barbu
,
Michael Röckner
,
Francesco Russo
Journal articles
hal-01352670v1
|
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Uniqueness for a class of stochastic Fokker-Planck and porous media equations
Michael Röckner
,
Francesco Russo
Journal articles
hal-01358705v1
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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
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Infinite Dimensional Weak Dirichlet Processes and Convolution Type Processes
Giorgio Fabbri
,
Francesco Russo
Journal articles
halshs-01309384v1
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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⟩
Journal articles
hal-00935399v2
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A note on time-dependent additive functionals
Adrien Barrasso
,
Francesco Russo
Journal articles
hal-01574964v1
|
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Weak Dirichlet processes with jumps
Elena Bandini
,
Francesco Russo
Journal articles
hal-01241073v3
|
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Infinite dimensional weak Dirichlet processes and convolution type processes
Giorgio Fabbri
,
Francesco Russo
Journal articles
hal-01330684v1
|
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BSDEs, càdlàg martingale problems and orthogonalisation under basis risk.
Ismail Laachir
,
Francesco Russo
Journal articles
hal-01086227v2
|
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FUNCTIONAL ITÔ VERSUS BANACH SPACE STOCHASTIC CALCULUS AND STRICT SOLUTIONS OF SEMILINEAR PATH-DEPENDENT EQUATIONS
Andrea Cosso
,
Francesco Russo
Journal articles
hal-01145300v1
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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
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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
Journal articles
hal-01923147v1
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The XJC-correspondence
Luc Pirio
,
Francesco Russo
Journal articles
hal-01348148v1
|
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Gaussian and non-Gaussian processes of zero power variation
Francesco Russo
,
Frederi Viens
Journal articles
inria-00438532v2
|
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Quadro-quadric cremona transformations in low dimensions via the JC-correspondence
Luc Pirio
,
Francesco Russo
Journal articles
hal-00709666v1
|
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GKW representation theorem and linear BSDEs under restricted information. An application to risk-minimization.
Claudia Ceci
,
Alessandra Cretarola
,
Francesco Russo
Journal articles
hal-00696616v1
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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)
Journal articles
inria-00545660v4
|
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Variance optimal hedging for continuous time additive processes and applications
Stéphane Goutte
,
Nadia Oudjane
,
Francesco Russo
Journal articles
hal-00786177v1
|
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BSDEs under partial information and financial applications.
Claudia Ceci
,
Alessandra Cretarola
,
Francesco Russo
Journal articles
hal-00822988v1
|
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The covariation for Banach space valued processes and applications
Cristina Di Girolami
,
Giorgio Fabbri
,
Francesco Russo
Journal articles
hal-00780430v2
|
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Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
Stéphane Goutte
,
Nadia Oudjane
,
Francesco Russo
Journal articles
inria-00473032v2
|
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The stochastic porous media equation in $\R^d$
Viorel Barbu
,
Michael Röckner
,
Francesco Russo
Journal articles
hal-00921597v2
|
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Probabilistic and deterministic algorithms for space multidimensional irregular porous media equation.
Nadia Belaribi
,
François Cuvelier
,
Francesco Russo
Journal articles
hal-00723821v1
|
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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
Journal articles
hal-00665852v1
|
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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
Journal articles
hal-00645483v2
|
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On stochastic calculus related to financial assets without semimartingales
Rosanna Coviello
,
Cristina Di Girolami
,
Francesco Russo
Journal articles
inria-00564756v1
|
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Clark-Ocone type formula for non-semimartingales with finite quadratic variation
Cristina Di Girolami
,
Francesco Russo
Journal articles
inria-00484993v2
|
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Probabilistic representation for solutions of an irregular porous media type equation: the degenerate case
Viorel Barbu
,
Michael Roeckner
,
Francesco Russo
Journal articles
inria-00410248v1
|
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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
Journal articles
hal-00134623v1
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Wiener integrals, Malliavin calculus and covariance measure structure
Ida Kruk
,
Francesco Russo
,
Ciprian A. Tudor
Journal articles
hal-00311406v1
|
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Elements of Stochastic Calculus via Regularisation
Francesco Russo
,
Pierre Vallois
Journal articles
hal-00020443v1
|
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On the bifractional Brownian motion
Francesco Russo
,
Ciprian A. Tudor
Journal articles
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
Journal articles
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
Journal articles
hal-00091324v1
|
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Itô's formula for C^1 functions of semimartingales
Francesco Russo
,
Pierre Vallois
Probability Theory and Related Fields, 1996
Journal articles
hal-00974784v1
|