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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⟩
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
The Journal of Computational Finance, 2014, 17 (2), pp.71-111. ⟨10.21314/JCF.2013.261⟩
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
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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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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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⟩
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