Francesco Russo Francesco RUSSOProfesseur classe exceptionnelleENSTA Paris

Identifiants chercheurs

IdHAL :

francesco-russo

ORCID :

0000-0002-9890-7465

IdRef :

066847133

Présentation

RESEARCH FIELDS

Stochastic analysisStochastic methods in fluidodynamicsMathematical finance

**SEMINAR ORGANIZATION **

(with D. Hilhorst and A. Richard) of&quot;Probabilités-Statistiques-Contrôle&quot;

sites.google.com/view/sdaim/seminars

TEACHING RESPONSIBILITIES

Responsible of the teaching courses in Probability, Statistics and Finance at ENSTA ParisCoordinator of the &quot;Parcours&quot; Quantitative Finance at ENSTA Paris (with Laure Giovangigli)Corresponding member of the Master 'Statistics, Finance and Actuarial Sciences&quot; 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

Publications

Article dans une revue (77)

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
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
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
$C^{ 0,1}$ -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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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 Bassalertet al. Nature Communications, 2016, 7, pp.12589. ⟨10.1038/ncomms12589⟩ Article dans une revue 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⟩ Article dans une revue hal-01348148v1
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index H&gt;=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

Communication dans un congrès (1)

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

Ouvrages (6)

Stochastic calculus via regularizations Francesco Russo,Pierre Vallois Springer International Publishing, 11, 2022, Bocconi & Springer Series, ⟨10.1007/978-3-031-09446-0⟩ Ouvrages hal-03995178v1
Stochastic analysis : A series of lectures Franco Flandoli,Francesco Russo,Robert C. Dalang,Marco Dozzi Birkhäuser Verlag, 68, pp.xiii + 393, 2015, Progress in Probability Ouvrages hal-01273031v1
Stochastic analysis, random fields and applications VII Francesco Russo,Robert C. Dalang,Marco Dozzi Birkhäuser Verlag, 67, pp.xi + 469, 2013, Progress in Probability Ouvrages hal-01273017v1
Stochastic analysis, random fields and applications VI Robert C. Dalang,Francesco Russo,Marco Dozzi Birkhäuser Verlag, 63, pp.xi + 492, 2011, Progress in Probability Ouvrages hal-01272999v1
Seminar on stochastic analysis, random fields and applications V Robert C. Dalang (ed.),Marco Dozzi (ed.),Francesco Russo Birkhäuser Verlag, pp.xi + 523, 2007 Ouvrages hal-00170032v1
Seminar on stochastic analysis, random fields and applications IV Robert C. Dalang (ed.),Marco Dozzi (ed.),Francesco Russo Birkhäuser Verlag, pp.xii + 328, 2004 Ouvrages hal-00144001v1

Pré-publication, Document de travail (30)

Stochastic transport by Gaussian noise Franco Flandoli,Francesco Russo 2026 Pré-publication, Document de travail hal-04108818v3
Exponential twist of probability measures: drift correction in term of a generalized gradient Thibaut Bourdais,Nadia Oudjane,Francesco Russo 2026 Pré-publication, Document de travail hal-04644249v3
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
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
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
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
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
THE L 2 -NORM OF THE FORWARD STOCHASTIC INTEGRAL W.R.T. FRACTIONAL BROWNIAN MOTION H &gt; 1 2 Alberto Ohashi,Francesco Russo 2023 Pré-publication, Document de travail hal-04264824v1
The isometry of symmetric-Stratonovich integrals w.r.t. Fractional Brownian motion $H&lt; \frac{1}{2}$ Alberto Ohashi,Francesco Russo,Frederi Viens 2023 Pré-publication, Document de travail hal-04257465v1
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
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
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
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
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
Infinite dimensional weak Dirichlet processes, stochastic PDEs and optimal control Giorgio Fabbri,Francesco Russo 2014 Pré-publication, Document de travail hal-00720490v2
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
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
On countably skewed Brownian motion with accumulation point. Youssef Ouknine,Francesco Russo,Gerald Trutnau 2013 Pré-publication, Document de travail hal-00850095v1
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
Infinite dimensional stochastic calculus via regularization Francesco Russo,Cristina Di Girolami 2010 Pré-publication, Document de travail inria-00473947v1
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
Malliavin-Skorohod calculus and Paley-Wiener integral for covariance singular processes Ida Kruk,Francesco Russo 2010 Pré-publication, Document de travail inria-00540914v1
{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
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
SOME PARABOLIC PDEs WHOSE DRIFT IS AN IRREGULAR RANDOM NOISE IN SPACE Francesco Russo,Gerald Trutnau 2007 Pré-publication, Document de travail hal-00019856v3
Wiener integrals, Malliavin calculus and covariance measure structure Ida Kruk,Francesco Russo,Ciprian Tudor 2007 Pré-publication, Document de travail hal-00078163v2
Weak Dirichlet processes with a stochastic control perspective. Fausto Gozzi,Francesco Russo 2006 Pré-publication, Document de travail hal-00022839v1
Modeling financial assets without semimartingale Rosanna Coviello,Francesco Russo 2006 Pré-publication, Document de travail hal-00082050v1
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
Non-semimartingales: stochastic differential equations and weak Dirichlet processes Rosanna Coviello,Francesco Russo 2006 Pré-publication, Document de travail hal-00020068v1