Francesco Russo

Francesco RUSSO Professeur classe exceptionnelle ENSTA Paris
113
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

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Publications

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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, In press
Article dans une revue hal-04019358 v2
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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-03758091 v3
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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.short⟩
Article dans une revue hal-03694046 v2
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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/die037-09-10-585⟩
Article dans une revue hal-03889110 v1
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Weak Dirichlet processes and generalized martingale problems

Elena Bandini , Francesco Russo
Stochastic Processes and their Applications, In press
Article dans une revue hal-03660061 v3
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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-03306570 v2
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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, In press
Article dans une revue hal-03844769 v2
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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-01431559 v3
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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-02383626 v3
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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-02465590 v2
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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-02902615 v3
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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-02197479 v1
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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-01566883 v2
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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-03210302 v2
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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-01505974 v4

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-03950660 v1

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-04489383 v1
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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-03260855 v2
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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-01762783 v3
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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-01786119 v2
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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-01774823 v2

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-03953350 v1
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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-01775200 v1

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-02572450 v1
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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-01353757 v4
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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-01895210 v3

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-04489379 v1
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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-01388433 v1
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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-01145301 v3
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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-01145459 v1
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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-01241076 v2
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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-01226154 v2

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-03953351 v1
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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-01586861 v1
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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-00918082 v1
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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-01447562 v2
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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-01352670 v1
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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-01358705 v1
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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-01309384 v1
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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-01241704 v2
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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-00935399 v2
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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-01241073 v3
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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-01574964 v1
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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-01330684 v1
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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-01023176 v2
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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-01086227 v2
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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-01241701 v2
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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-01923147 v1

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-01348148 v1
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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-01145300 v1
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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-00438532 v2
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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-00921597 v2
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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-00696616 v1

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-00709666 v1
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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-00786177 v1
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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-00822988 v1
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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-00545660 v4
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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-00473032 v2
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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-00780430 v2
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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-00665852 v1
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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-00723821 v1
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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-00645483 v2
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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-00564756 v1
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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-00484993 v2
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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-00410248 v1
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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-00134623 v1

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-00311406 v1

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-00020443 v1
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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-00130627 v1
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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-00091310 v1
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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
Annals of Probability, 2003, 31, pp.1772-1820. ⟨10.1214/aop/1068646366⟩
Article dans une revue hal-00091324 v1

Itô's formula for C^1 functions of semimartingales

Francesco Russo , Pierre Vallois
Probability Theory and Related Fields, 1996
Article dans une revue hal-00974784 v1
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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-02397045 v1
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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-04993222 v1
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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-05191872 v1
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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-04108818 v2
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A Markovian characterization of the exponential twist of probability measures

Thibaut Bourdais , Nadia Oudjane , Francesco Russo
2024
Pré-publication, Document de travail hal-04644249 v1
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Degenerate McKean-Vlasov equations with drift in anisotropic negative Besov spaces

Elena Issoglio , Stefano Pagliarani , Francesco Russo , Davide Trevisani
2024
Pré-publication, Document de travail hal-04398701 v1
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$C^{ 0,1}$ -Itô chain rules and generalized solutions of parabolic PDEs

Carlo Ciccarella , Francesco Russo
2024
Pré-publication, Document de travail hal-05060249 v1
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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
2025
Pré-publication, Document de travail hal-04637897 v3
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ABOUT SEMILINEAR LOW DIMENSION BESSEL PDEs

Alberto Ohashi , Francesco Russo , Alan Teixeira
2024
Pré-publication, Document de travail hal-04530685 v1
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An entropy penalized approach for stochastic control problems. Complete version

Thibaut Bourdais , Nadia Oudjane , Francesco Russo
2025
Pré-publication, Document de travail hal-04193113 v3
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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-03285204 v3
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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-04264824 v1
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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-04257465 v1
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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-03840544 v1
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The identification problem for BSDEs driven by possibly non quasi-left-continuous random measures

Elena Bandini , Francesco Russo
2020
Pré-publication, Document de travail hal-02448562 v1
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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-00933678 v2
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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-01142337 v1
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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-01024974 v1
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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-00981113 v1
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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-00720490 v2
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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-00812842 v1
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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-00825120 v1
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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-00850095 v1
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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-00594871 v1
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Infinite dimensional stochastic calculus via regularization

Francesco Russo , Cristina Di Girolami
2010
Pré-publication, Document de travail inria-00473947 v1
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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-00535806 v1
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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-00540914 v1
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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-00279975 v2
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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-00437984 v1
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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-00078163 v2
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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-00019856 v3
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Weak Dirichlet processes with a stochastic control perspective.

Fausto Gozzi , Francesco Russo
2006
Pré-publication, Document de travail hal-00022839 v1
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Modeling financial assets without semimartingale

Rosanna Coviello , Francesco Russo
2006
Pré-publication, Document de travail hal-00082050 v1

Non-semimartingales: stochastic differential equations and weak Dirichlet processes

Rosanna Coviello , Francesco Russo
2006
Pré-publication, Document de travail hal-00020068 v1
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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-00022840 v1