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authFullName_s : Francesco Russo
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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⟩
Journal articles hal-01431559v3
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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⟩
Journal articles hal-01241073v3
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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⟩
Journal articles hal-01574964v1
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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⟩
Journal articles hal-01786119v2
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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⟩
Journal articles inria-00438532v2

Stochastic analysis, random fields and applications VI

Robert C. Dalang , Francesco Russo , Marco Dozzi
Birkhäuser Verlag, 63, pp.xi + 492, 2011, Progress in Probability
Books hal-01272999v1
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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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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⟩
Journal articles hal-03210302v2
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Gaussian and non-Gaussian processes of zero power variation, and related stochastic calculus.

Francesco Russo , Frederi Viens
2014
Preprints, Working Papers, ... hal-01024974v1
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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⟩
Journal articles hal-00786177v1
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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
Preprints, Working Papers, ... inria-00594871v1
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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⟩
Journal articles hal-00822988v1

Itô's formula for C^1 functions of semimartingales

Francesco Russo , Pierre Vallois
Probability Theory and Related Fields, 1996
Journal articles hal-00974784v1
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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

Some Loci of Rational Cubic Fourfolds

Michele Bolognesi , Francesco Russo , Giovanni Staglianò
2015
Preprints, Working Papers, ... hal-01145459v1

On projective varieties $n$-covered by curves of degree $\delta$

Luc Pirio , Francesco Russo
2011
Preprints, Working Papers, ... hal-00709670v1
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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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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⟩
Journal articles hal-01086227v2
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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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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⟩
Journal articles hal-01762783v3
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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⟩
Journal articles hal-01505974v4
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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⟩
Journal articles halshs-01309384v1
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A probabilistic algorithm approximating solutions of a singular PDE of porous media type

Nadia Belaribi , François Cuvelier , Francesco Russo
2010
Preprints, Working Papers, ... inria-00535806v1
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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⟩
Journal articles hal-01330684v1

Extremal varieties 3-rationally connected by cubics, quadro-quadric Cremona transformations and rank 3 Jordan algebras

Luc Pirio , Francesco Russo
2011
Preprints, Working Papers, ... hal-00709668v1
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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⟩
Journal articles inria-00473032v2
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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⟩
Journal articles hal-02383626v3
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A regularization approach to functional Itô calculus and strong-viscosity solutions to path-dependent PDEs

Andrea Cosso , Francesco Russo
2015
Preprints, Working Papers, ... hal-00933678v2
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Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations

Andrea Cosso , Cristina Di Girolami , Francesco Russo
Probability on Algebraic and Geometric Structures, June 5-7 2014 (668), American Mathematical Society; Contemporary Mathematics, 2016, Contemporary Mathematics, ⟨10.1090/conm/668/13396⟩
Proceedings hal-01088856v1
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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
Preprints, Working Papers, ... hal-00981113v1