Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations
Anthony Lecavil
,
Nadia Oudjane
,
Francesco Russo
Journal articles
hal-01353757v4
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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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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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Variance optimal hedging for continuous time additive processes and applications
Stéphane Goutte
,
Nadia Oudjane
,
Francesco Russo
Journal articles
hal-00786177v1
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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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McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
Lucas Izydorczyk
,
Nadia Oudjane
,
Francesco Russo
Conference papers
hal-02397045v1
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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 , 2017, 25 (5), pp.821-862
Journal articles
hal-01895210v2
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