Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations
Adrien Barrasso
,
Francesco Russo
Journal articles
hal-01431559v3
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Weak Dirichlet processes with jumps
Elena Bandini
,
Francesco Russo
Journal articles
hal-01241073v3
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A note on time-dependent additive functionals
Adrien Barrasso
,
Francesco Russo
Journal articles
hal-01574964v1
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A Feynman-Kac result via Markov BSDEs with generalized driver
Elena Issoglio
,
Francesco Russo
Journal articles
hal-01786119v2
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Gaussian and non-Gaussian processes of zero power variation
Francesco Russo
,
Frederi Viens
Journal articles
inria-00438532v2
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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
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
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
Journal articles
hal-00822988v1
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Itô's formula for C^1 functions of semimartingales
Francesco Russo
,
Pierre Vallois
Probability Theory and Related Fields , 1996
Journal articles
hal-00974784v1
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Generalized covariation for Banach space valued processes, Itô formula and applications
Cristina Di Girolami
,
Francesco Russo
Osaka Journal of Mathematics , 2014, 51 (3)
Journal articles
inria-00545660v4
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Some Loci of Rational Cubic Fourfolds
Michele Bolognesi
,
Francesco Russo
,
Giovanni Staglianò
2015
Preprints, Working Papers, ...
hal-01145459v1
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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
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
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 articles
hal-01505974v4
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Infinite Dimensional Weak Dirichlet Processes and Convolution Type Processes
Giorgio Fabbri
,
Francesco Russo
Journal articles
halshs-01309384v1
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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
Journal articles
hal-01330684v1
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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
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
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
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