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)

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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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)

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
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
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
Stochastic transport by Gaussian noise with regularity greater than 1/2 Franco Flandoli,Francesco Russo 2025 Pré-publication, Document de travail hal-04108818v2
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
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
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
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
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
Infinite dimensional stochastic calculus via regularization Francesco Russo,Cristina Di Girolami 2010 Pré-publication, Document de travail inria-00473947v1
{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
Wiener integrals, Malliavin calculus and covariance measure structure Ida Kruk,Francesco Russo,Ciprian Tudor 2007 Pré-publication, Document de travail hal-00078163v2
SOME PARABOLIC PDEs WHOSE DRIFT IS AN IRREGULAR RANDOM NOISE IN SPACE Francesco Russo,Gerald Trutnau 2007 Pré-publication, Document de travail hal-00019856v3
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
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
Weak Dirichlet processes with a stochastic control perspective. Fausto Gozzi,Francesco Russo 2006 Pré-publication, Document de travail hal-00022839v1