Francesco RUSSO
Unité de Mathématiques Appliquées (UMA)
Professeur des Universités
HDR
HAL Publications
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ABOUT SEMILINEAR LOW DIMENSION BESSEL PDEs
Pré-publication, Document de travail Published on 30/03/2024 co-written by Alberto Ohashi, Francesco Russo, Alan Teixeira -
ABOUT SEMILINEAR LOW DIMENSION BESSEL PDEs
Pré-publication, Document de travail Published on 30/03/2024 co-written by Alberto Ohashi, Francesco Russo, Alan Teixeira -
Degenerate McKean-Vlasov equations with drift in anisotropic negative Besov spaces
Pré-publication, Document de travail Published on 16/01/2024 co-written by Elena Issoglio, Stefano Pagliarani, Francesco Russo, Davide Trevisani -
ROUGH PATHS AND SYMMETRIC-STRATONOVICH INTEGRALS DRIVEN BY SINGULAR COVARIANCE GAUSSIAN PROCESSES
Article dans une revue Published on 01/01/2024 co-written by Alberto Ohashi, Francesco Russo -
An entropy penalized approach for stochastic control problems. Complete version
Pré-publication, Document de travail Published on 01/09/2023 co-written by Thibaut Bourdais, Nadia Oudjane, Francesco Russo -
Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions
Pré-publication, Document de travail Published on 03/08/2023 co-written by Andrea Cosso, Fausto Gozzi, Mauro Rosestolato, Francesco Russo -
REDUCED DISSIPATION EFFECT IN STOCHASTIC TRANSPORT BY GAUSSIAN NOISE WITH REGULARITY GREATER THAN 1/2
Pré-publication, Document de travail Published on 28/05/2023 co-written by Franco Flandoli, Francesco Russo -
Characteristics and Itô's formula for weak Dirichlet processes: an equivalence result
Pré-publication, Document de travail Published on 08/03/2023 co-written by Elena Bandini, Francesco Russo -
McKean SDEs with singular coefficients
Article dans une revue Published on 01/01/2023 co-written by Elena Issoglio, Francesco Russo -
Weak Dirichlet processes and generalized martingale problems
Article dans une revue Published on 01/01/2023 co-written by Elena Bandini, Francesco Russo -
Path-dependent SDEs with jumps and irregular drift: well-posedness and Dirichlet properties
Pré-publication, Document de travail Published on 05/11/2022 co-written by Elena Bandini, Francesco Russo -
Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations
Article dans une revue Published on 01/01/2022 co-written by Adrien Barrasso, Francesco Russo -
CRANDALL-LIONS VISCOSITY SOLUTIONS FOR PATH-DEPENDENT PDES: THE CASE OF HEAT EQUATION
Article dans une revue Published on 01/01/2022 co-written by Andrea Cosso, Francesco Russo -
Fokker-Planck equations with terminal condition and related McKean probabilistic representation
Article dans une revue Published on 01/01/2022 co-written by Lucas Izydorczyk, Nadia Oudjane, Francesco Russo, Gianmario Tessitore -
Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes
Article dans une revue Published on 01/01/2022 co-written by Adrien Barrasso, Francesco Russo -
On some path-dependent SDEs involving distributional drifts
Article dans une revue Published on 01/01/2022 co-written by Alberto Ohashi, Francesco Russo, Alan Teixeira -
A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems
Article dans une revue Published on 01/01/2021 co-written by Lucas Izydorczyk, Nadia Oudjane, Francesco Russo -
BSDEs with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations. Part II: Decoupled mild solutions and Examples.
Article dans une revue Published on 01/01/2021 co-written by Adrien Barrasso, Francesco Russo -
Martingale driven BSDEs, PDEs and other related deterministic problems
Article dans une revue Published on 01/01/2021 co-written by Adrien Barrasso, Francesco Russo -
ROUGH PATHS AND REGULARIZATION
Article dans une revue Published on 01/01/2021 co-written by André O Gomes, Alberto Ohashi, Francesco Russo, Alan Teixeira -
The identification problem for BSDEs driven by possibly non quasi-left-continuous random measures
Pré-publication, Document de travail Published on 22/01/2020 co-written by Elena Bandini, Francesco Russo -
A Feynman-Kac result via Markov BSDEs with generalized driver
Article dans une revue Published on 01/01/2020 co-written by Elena Issoglio, Francesco Russo -
About classical solutions of the path-dependent heat equation
Article dans une revue Published on 01/01/2020 co-written by Cristina Di Girolami, Francesco Russo -
Decoupled mild solutions of path-dependent PDEs and IPDEs represented by BSDEs driven by cadlag martingales.
Article dans une revue Published on 01/01/2020 co-written by Adrien Barrasso, Francesco Russo -
Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations
Article dans une revue Published on 01/01/2019 co-written by Anthony Lecavil, Nadia Oudjane, Francesco Russo -
McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
Communication dans un congrès Published on 01/01/2019 co-written by Lucas Izydorczyk, Nadia Oudjane, Francesco Russo -
On the well-posedness of a class of McKean Feynman-Kac equations
Article dans une revue Published on 01/01/2019 co-written by Jonas Lieber, Nadia Oudjane, Francesco Russo -
Path dependent equations driven by Hölder processes
Article dans une revue Published on 01/01/2019 co-written by Rafael Andretto Castrequini, Francesco Russo -
Path-dependent Martingale Problems and Additive Functionals
Article dans une revue Published on 01/01/2019 co-written by Adrien Barrasso, Francesco Russo -
STRONG-VISCOSITY SOLUTIONS: SEMILINEAR PARABOLIC PDEs AND PATH-DEPENDENT PDEs
Article dans une revue Published on 01/01/2019 co-written by Andrea Cosso, Francesco Russo -
Gas storage valuation and hedging. A quantification of the model risk.
Article dans une revue Published on 01/01/2018 co-written by Patrick Henaff, Ismail Laachir, Francesco Russo -
Gas storage valuation and hedging. A quantification of the model risk.
Article dans une revue Published on 01/01/2018 co-written by Patrick Henaff, Ismail Laachir, Francesco Russo -
Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations
Article dans une revue Published on 01/01/2018 co-written by Anthony Le Cavil, Nadia Oudjane, Francesco Russo -
Special weak Dirichlet processes and BSDEs driven by a random measure
Article dans une revue Published on 01/01/2018 co-written by Elena Bandini, Francesco Russo -
Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations
Article dans une revue Published on 01/03/2017 co-written by Anthony Le Cavil, Nadia Oudjane, Francesco Russo -
Infinite dimensional weak Dirichlet processes and convolution type processes
Article dans une revue Published on 02/01/2017 co-written by Giorgio Fabbri, Francesco Russo -
A note on time-dependent additive functionals
Article dans une revue Published on 01/01/2017 co-written by Adrien Barrasso, Francesco Russo -
Doubly probabilistic representation for the stochastic porous media type equation.
Article dans une revue Published on 01/01/2017 co-written by Viorel Barbu, Michael Röckner, Francesco Russo -
Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time
Article dans une revue Published on 01/01/2017 co-written by Francesco Russo, Lukas Wurzer -
Infinite Dimensional Weak Dirichlet Processes and Convolution Type Processes
Article dans une revue Published on 01/01/2017 co-written by Giorgio Fabbri, Francesco Russo -
Multidimensional stochastic differential equations with distributional drift
Article dans une revue Published on 01/01/2017 co-written by Franco Flandoli, Elena Issoglio, Francesco Russo -
Uniqueness for a class of stochastic Fokker-Planck and porous media equations
Article dans une revue Published on 01/01/2017 co-written by Michael Röckner, Francesco Russo -
Weak Dirichlet processes with jumps
Article dans une revue Published on 01/01/2017 co-written by Elena Bandini, Francesco Russo -
BSDEs, càdlàg martingale problems and orthogonalisation under basis risk.
Article dans une revue Published on 01/01/2016 co-written by Ismail Laachir, Francesco Russo -
Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
Proceedings/Recueil des communications Published on 01/01/2016 co-written by Andrea Cosso, Cristina Di Girolami, Francesco Russo -
Cripto is essential to capture mouse epiblast stem cell and human embryonic stem cell pluripotency
Article dans une revue Published on 01/01/2016 co-written by Alessandro Fiorenzano, Emilia Pascale, Cristina d'Aniello, Dario Acampora, Cecilia Bassalert, Francesco Russo, Gennaro Andolfi, Mauro Biffoni, Federica Francescangeli, Ann Zeuner, Claudia Angelini, Claire Chazaud, Eduardo Patriarca, Annalisa Fico, Gabriella Minchiotti -
FUNCTIONAL ITÔ VERSUS BANACH SPACE STOCHASTIC CALCULUS AND STRICT SOLUTIONS OF SEMILINEAR PATH-DEPENDENT EQUATIONS
Article dans une revue Published on 01/01/2016 co-written by Andrea Cosso, Francesco Russo -
Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations
Article dans une revue Published on 01/01/2016 co-written by Anthony Le Cavil, Nadia Oudjane, Francesco Russo -
The XJC-correspondence
Article dans une revue Published on 01/01/2016 co-written by Luc Pirio, Francesco Russo -
Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations
Pré-publication, Document de travail Published on 14/04/2015 co-written by Anthony Lecavil, Nadia Oudjane, Francesco Russo -
A regularization approach to functional Itô calculus and strong-viscosity solutions to path-dependent PDEs
Pré-publication, Document de travail Published on 14/01/2015 co-written by Andrea Cosso, Francesco Russo -
Gaussian and non-Gaussian processes of zero power variation
Article dans une revue Published on 01/01/2015 co-written by Francesco Russo, Frederi Viens -
Stochastic analysis : A series of lectures
Ouvrages Published on 01/01/2015 co-written by Franco Flandoli, Francesco Russo, Robert C. Dalang, Marco Dozzi -
The stochastic porous media equation in $\R^d$
Article dans une revue Published on 26/08/2014 co-written by Viorel Barbu, Michael Röckner, Francesco Russo -
Gaussian and non-Gaussian processes of zero power variation, and related stochastic calculus.
Pré-publication, Document de travail Published on 16/07/2014 co-written by Francesco Russo, Frederi Viens -
A stochastic Fokker-Planck equation and double probabilistic representation for the stochastic porous media type equation.
Pré-publication, Document de travail Published on 20/04/2014 co-written by Viorel Barbu, Michael Röckner, Francesco Russo -
Infinite dimensional weak Dirichlet processes, stochastic PDEs and optimal control
Pré-publication, Document de travail Published on 27/02/2014 co-written by Giorgio Fabbri, Francesco Russo -
BSDEs under partial information and financial applications.
Article dans une revue Published on 01/01/2014 co-written by Claudia Ceci, Alessandra Cretarola, Francesco Russo -
GKW representation theorem and linear BSDEs under restricted information. An application to risk-minimization.
Article dans une revue Published on 01/01/2014 co-written by Claudia Ceci, Alessandra Cretarola, Francesco Russo -
Generalized covariation for Banach space valued processes, Itô formula and applications
Article dans une revue Published on 01/01/2014 co-written by Cristina Di Girolami, Francesco Russo -
Quadro-quadric cremona transformations in low dimensions via the JC-correspondence
Article dans une revue Published on 01/01/2014 co-written by Luc Pirio, Francesco Russo -
The covariation for Banach space valued processes and applications
Article dans une revue Published on 01/01/2014 co-written by Cristina Di Girolami, Giorgio Fabbri, Francesco Russo -
Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
Article dans une revue Published on 01/01/2014 co-written by Stéphane Goutte, Nadia Oudjane, Francesco Russo -
Variance optimal hedging for continuous time additive processes and applications
Article dans une revue Published on 01/01/2014 co-written by Stéphane Goutte, Nadia Oudjane, Francesco Russo -
On countably skewed Brownian motion with accumulation point.
Pré-publication, Document de travail Published on 02/08/2013 co-written by Youssef Ouknine, Francesco Russo, Gerald Trutnau -
Second Order PDEs with Dirichlet White Noise Boundary Condition
Pré-publication, Document de travail Published on 23/05/2013 co-written by Zdzislaw Brzezniak, Ben Goldys, Szymon Peszat, Francesco Russo -
Probabilistic representation for solutions of a porous media type equation with Neumann boundary condition: the case of the half-line.
Pré-publication, Document de travail Published on 12/04/2013 co-written by Ioana Ciotir, Francesco Russo -
Probabilistic and deterministic algorithms for space multidimensional irregular porous media equation.
Article dans une revue Published on 01/03/2013 co-written by Nadia Belaribi, François Cuvelier, Francesco Russo -
On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
Article dans une revue Published on 01/01/2013 co-written by Stéphane Goutte, Nadia Oudjane, Francesco Russo -
Stochastic analysis, random fields and applications VII
Ouvrages Published on 01/01/2013 co-written by Francesco Russo, Robert C. Dalang, Marco Dozzi -
About Fokker-Planck equation with measurable coefficients and applications to the fast diffusion equation
Article dans une revue Published on 01/01/2012 co-written by Nadia Belaribi, Francesco Russo -
Generalized covariation and extended Fukushima decompositions for Banach valued processes. Application to windows of Dirichlet processes.
Pré-publication, Document de travail Published on 21/05/2011 co-written by Cristina Di Girolami, Francesco Russo -
Clark-Ocone type formula for non-semimartingales with finite quadratic variation
Article dans une revue Published on 01/02/2011 co-written by Cristina Di Girolami, Francesco Russo -
On stochastic calculus related to financial assets without semimartingales
Article dans une revue Published on 01/01/2011 co-written by Rosanna Coviello, Cristina Di Girolami, Francesco Russo -
Probabilistic representation for solutions of an irregular porous media type equation: the degenerate case
Article dans une revue Published on 01/01/2011 co-written by Viorel Barbu, Michael Roeckner, Francesco Russo -
Stochastic analysis, random fields and applications VI
Ouvrages Published on 01/01/2011 co-written by Robert C. Dalang, Francesco Russo, Marco Dozzi -
Malliavin-Skorohod calculus and Paley-Wiener integral for covariance singular processes
Pré-publication, Document de travail Published on 29/11/2010 co-written by Ida Kruk, Francesco Russo -
A probabilistic algorithm approximating solutions of a singular PDE of porous media type
Pré-publication, Document de travail Published on 12/11/2010 co-written by Nadia Belaribi, François Cuvelier, Francesco Russo -
Infinite dimensional stochastic calculus via regularization
Pré-publication, Document de travail Published on 16/04/2010 co-written by Francesco Russo, Cristina Di Girolami -
Variance Optimal Hedging for continuous time processes with independent increments and applications
Pré-publication, Document de travail Published on 02/12/2009 co-written by Stéphane Goutte, Nadia Oudjane, Francesco Russo -
{Probabilistic representation for solutions of an irregular porous media type equation.
Pré-publication, Document de travail Published on 02/12/2009 co-written by Philippe Blanchard, Michael Röckner, Francesco Russo -
On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model
Article dans une revue Published on 01/01/2009 co-written by Franco Flandoli, Massimiliano Gubinelli, Francesco Russo -
SOME PARABOLIC PDEs WHOSE DRIFT IS AN IRREGULAR RANDOM NOISE IN SPACE
Pré-publication, Document de travail Published on 03/12/2007 co-written by Francesco Russo, Gerald Trutnau -
Wiener integrals, Malliavin calculus and covariance measure structure
Article dans une revue Published on 01/08/2007 co-written by Ida Kruk, Francesco Russo, Ciprian A. Tudor -
Wiener integrals, Malliavin calculus and covariance measure structure
Pré-publication, Document de travail Published on 18/04/2007 co-written by Ida Kruk, Francesco Russo, Ciprian Tudor -
Elements of Stochastic Calculus via Regularisation
Article dans une revue Published on 01/01/2007 co-written by Francesco Russo, Pierre Vallois -
Seminar on stochastic analysis, random fields and applications V
Ouvrages Published on 01/01/2007 co-written by Robert C. Dalang (ed.), Marco Dozzi (ed.), Francesco Russo -
Modeling financial assets without semimartingale
Pré-publication, Document de travail Published on 26/06/2006 co-written by Rosanna Coviello, Francesco Russo -
On the bifractional Brownian motion
Article dans une revue Published on 01/05/2006 co-written by Francesco Russo, Ciprian A. Tudor -
Verification Theorems for Stochastic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition
Pré-publication, Document de travail Published on 13/04/2006 co-written by Fausto Gozzi, Francesco Russo -
Weak Dirichlet processes with a stochastic control perspective.
Pré-publication, Document de travail Published on 13/04/2006 co-written by Fausto Gozzi, Francesco Russo -
Non-semimartingales: stochastic differential equations and weak Dirichlet processes
Pré-publication, Document de travail Published on 01/01/2006 co-written by Rosanna Coviello, Francesco Russo -
Non-semimartingales: stochastic differential equations and weak Dirichlet processes
Pré-publication, Document de travail Published on 01/01/2006 co-written by Rosanna Coviello, Francesco Russo -
m-order integrals and generalized Ito's formula; the case of a fractional Brownian motion with any Hurst index
Article dans une revue Published on 01/01/2005 co-written by Mihai Gradinaru, Ivan Nourdin, Francesco Russo, Pierre Vallois -
Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index H>=1/4
Article dans une revue Published on 01/01/2003 co-written by Mihai Gradinaru, Francesco Russo, Pierre Vallois -
Itô's formula for C^1 functions of semimartingales
Article dans une revue Published on 01/01/1996 co-written by Francesco Russo, Pierre Vallois