Francesco RUSSO

REDUCED DISSIPATION EFFECT IN STOCHASTIC TRANSPORT BY GAUSSIAN NOISE WITH REGULARITY GREATER THAN 1/2

Pré-publication, Document de travail Publié le 28/05/2023 co-écrit par Franco Flandoli, Francesco Russo

Characteristics and Itô's formula for weak Dirichlet processes: an equivalence result

Pré-publication, Document de travail Publié le 08/03/2023 co-écrit par Elena Bandini, Francesco Russo

McKean SDEs with singular coefficients

Article dans une revue Publié le 01/01/2023 co-écrit par Elena Issoglio, Francesco Russo

ROUGH PATHS AND SYMMETRIC-STRATONOVICH INTEGRALS DRIVEN BY SINGULAR COVARIANCE GAUSSIAN PROCESSES

Article dans une revue Publié le 01/01/2023 co-écrit par Alberto Ohashi, Francesco Russo

Weak Dirichlet processes and generalized martingale problems

Article dans une revue Publié le 01/01/2023 co-écrit par Elena Bandini, Francesco Russo

Path-dependent SDEs with jumps and irregular drift: well-posedness and Dirichlet properties

Pré-publication, Document de travail Publié le 05/11/2022 co-écrit par Elena Bandini, Francesco Russo

Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations

Article dans une revue Publié le 01/01/2022 co-écrit par Adrien Barrasso, Francesco Russo

CRANDALL-LIONS VISCOSITY SOLUTIONS FOR PATH-DEPENDENT PDES: THE CASE OF HEAT EQUATION

Article dans une revue Publié le 01/01/2022 co-écrit par Andrea Cosso, Francesco Russo

Fokker-Planck equations with terminal condition and related McKean probabilistic representation

Article dans une revue Publié le 01/01/2022 co-écrit par Lucas Izydorczyk, Nadia Oudjane, Francesco Russo, Gianmario Tessitore

Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes

Article dans une revue Publié le 01/01/2022 co-écrit par Adrien Barrasso, Francesco Russo

On some path-dependent SDEs involving distributional drifts

Article dans une revue Publié le 01/01/2022 co-écrit par 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 Publié le 01/01/2021 co-écrit par 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 Publié le 01/01/2021 co-écrit par Adrien Barrasso, Francesco Russo

Martingale driven BSDEs, PDEs and other related deterministic problems

Article dans une revue Publié le 01/01/2021 co-écrit par Adrien Barrasso, Francesco Russo

ROUGH PATHS AND REGULARIZATION

Article dans une revue Publié le 01/01/2021 co-écrit par 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 Publié le 22/01/2020 co-écrit par Elena Bandini, Francesco Russo

A Feynman-Kac result via Markov BSDEs with generalized driver

Article dans une revue Publié le 01/01/2020 co-écrit par Elena Issoglio, Francesco Russo

About classical solutions of the path-dependent heat equation

Article dans une revue Publié le 01/01/2020 co-écrit par 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 Publié le 01/01/2020 co-écrit par Adrien Barrasso, Francesco Russo

Discrete-type approximations for non-Markovian optimal stopping problems: Part I

Article dans une revue Publié le 01/12/2019 co-écrit par Dorival Leão, Alberto Ohashi, Francesco Russo

Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations

Article dans une revue Publié le 01/01/2019 co-écrit par Anthony Lecavil, Nadia Oudjane, Francesco Russo

McKean Feynman-Kac probabilistic representations of non-linear partial differential equations

Communication dans un congrès Publié le 01/01/2019 co-écrit par Lucas Izydorczyk, Nadia Oudjane, Francesco Russo

Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations

Article dans une revue Publié le 01/01/2018 co-écrit par Anthony Le Cavil, Nadia Oudjane, Francesco Russo

Special weak Dirichlet processes and BSDEs driven by a random measure

Article dans une revue Publié le 01/01/2018 co-écrit par Elena Bandini, Francesco Russo

Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations

Article dans une revue Publié le 01/03/2017 co-écrit par Anthony Le Cavil, Nadia Oudjane, Francesco Russo

Infinite dimensional weak Dirichlet processes and convolution type processes

Article dans une revue Publié le 02/01/2017 co-écrit par Giorgio Fabbri, Francesco Russo

A note on time-dependent additive functionals

Article dans une revue Publié le 01/01/2017 co-écrit par Adrien Barrasso, Francesco Russo

Doubly probabilistic representation for the stochastic porous media type equation.

Article dans une revue Publié le 01/01/2017 co-écrit par 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 Publié le 01/01/2017 co-écrit par Francesco Russo, Lukas Wurzer

Infinite Dimensional Weak Dirichlet Processes and Convolution Type Processes

Article dans une revue Publié le 01/01/2017 co-écrit par Giorgio Fabbri, Francesco Russo

Multidimensional stochastic differential equations with distributional drift

Article dans une revue Publié le 01/01/2017 co-écrit par Franco Flandoli, Elena Issoglio, Francesco Russo

On the well-posedness of a class of McKean Feynman-Kac equations

Article dans une revue Publié le 01/01/2017 co-écrit par Jonas Lieber, Nadia Oudjane, Francesco Russo

Uniqueness for a class of stochastic Fokker-Planck and porous media equations

Article dans une revue Publié le 01/01/2017 co-écrit par Michael Röckner, Francesco Russo

Weak Dirichlet processes with jumps

Article dans une revue Publié le 01/01/2017 co-écrit par Elena Bandini, Francesco Russo

BSDEs, càdlàg martingale problems and orthogonalisation under basis risk.

Article dans une revue Publié le 01/01/2016 co-écrit par Ismail Laachir, Francesco Russo

Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations

Proceedings/Recueil des communications Publié le 01/01/2016 co-écrit par 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 Publié le 01/01/2016 co-écrit par 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 Publié le 01/01/2016 co-écrit par Andrea Cosso, Francesco Russo

Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations

Article dans une revue Publié le 01/01/2016 co-écrit par Anthony Le Cavil, Nadia Oudjane, Francesco Russo

The XJC-correspondence

Article dans une revue Publié le 01/01/2016 co-écrit par Luc Pirio, Francesco Russo

Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations

Pré-publication, Document de travail Publié le 14/04/2015 co-écrit par 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 Publié le 14/01/2015 co-écrit par Andrea Cosso, Francesco Russo

Gaussian and non-Gaussian processes of zero power variation

Article dans une revue Publié le 01/01/2015 co-écrit par Francesco Russo, Frederi Viens

Some Loci of Rational Cubic Fourfolds

Pré-publication, Document de travail Publié le 01/01/2015 co-écrit par Michele Bolognesi, Francesco Russo, Giovanni Staglianò

Stochastic analysis : A series of lectures

Ouvrages Publié le 01/01/2015 co-écrit par Franco Flandoli, Francesco Russo, Robert C. Dalang, Marco Dozzi

The stochastic porous media equation in $\R^d$

Article dans une revue Publié le 26/08/2014 co-écrit par Viorel Barbu, Michael Röckner, Francesco Russo

Gaussian and non-Gaussian processes of zero power variation, and related stochastic calculus.

Pré-publication, Document de travail Publié le 16/07/2014 co-écrit par 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 Publié le 20/04/2014 co-écrit par Viorel Barbu, Michael Röckner, Francesco Russo

Infinite dimensional weak Dirichlet processes, stochastic PDEs and optimal control

Pré-publication, Document de travail Publié le 27/02/2014 co-écrit par Giorgio Fabbri, Francesco Russo

BSDEs under partial information and financial applications.

Article dans une revue Publié le 01/01/2014 co-écrit par Claudia Ceci, Alessandra Cretarola, Francesco Russo

GKW representation theorem and linear BSDEs under restricted information. An application to risk-minimization.

Article dans une revue Publié le 01/01/2014 co-écrit par Claudia Ceci, Alessandra Cretarola, Francesco Russo

Generalized covariation for Banach space valued processes, Itô formula and applications

Article dans une revue Publié le 01/01/2014 co-écrit par Cristina Di Girolami, Francesco Russo

Quadro-quadric cremona transformations in low dimensions via the JC-correspondence

Article dans une revue Publié le 01/01/2014 co-écrit par Luc Pirio, Francesco Russo

The covariation for Banach space valued processes and applications

Article dans une revue Publié le 01/01/2014 co-écrit par 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 Publié le 01/01/2014 co-écrit par Stéphane Goutte, Nadia Oudjane, Francesco Russo

Variance optimal hedging for continuous time additive processes and applications

Article dans une revue Publié le 01/01/2014 co-écrit par Stéphane Goutte, Nadia Oudjane, Francesco Russo

On countably skewed Brownian motion with accumulation point.

Pré-publication, Document de travail Publié le 02/08/2013 co-écrit par Youssef Ouknine, Francesco Russo, Gerald Trutnau

Second Order PDEs with Dirichlet White Noise Boundary Condition

Pré-publication, Document de travail Publié le 23/05/2013 co-écrit par 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 Publié le 12/04/2013 co-écrit par Ioana Ciotir, Francesco Russo

Probabilistic and deterministic algorithms for space multidimensional irregular porous media equation.

Article dans une revue Publié le 01/03/2013 co-écrit par 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 Publié le 01/01/2013 co-écrit par Stéphane Goutte, Nadia Oudjane, Francesco Russo

Stochastic analysis, random fields and applications VII

Ouvrages Publié le 01/01/2013 co-écrit par 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 Publié le 01/01/2012 co-écrit par 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 Publié le 21/05/2011 co-écrit par Cristina Di Girolami, Francesco Russo

Clark-Ocone type formula for non-semimartingales with finite quadratic variation

Article dans une revue Publié le 01/02/2011 co-écrit par Cristina Di Girolami, Francesco Russo

On stochastic calculus related to financial assets without semimartingales

Article dans une revue Publié le 01/01/2011 co-écrit par 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 Publié le 01/01/2011 co-écrit par Viorel Barbu, Michael Roeckner, Francesco Russo

Stochastic analysis, random fields and applications VI

Ouvrages Publié le 01/01/2011 co-écrit par Robert C. Dalang, Francesco Russo, Marco Dozzi

Malliavin-Skorohod calculus and Paley-Wiener integral for covariance singular processes

Pré-publication, Document de travail Publié le 29/11/2010 co-écrit par Ida Kruk, Francesco Russo

A probabilistic algorithm approximating solutions of a singular PDE of porous media type

Pré-publication, Document de travail Publié le 12/11/2010 co-écrit par Nadia Belaribi, François Cuvelier, Francesco Russo

Infinite dimensional stochastic calculus via regularization

Pré-publication, Document de travail Publié le 16/04/2010 co-écrit par Francesco Russo, Cristina Di Girolami

Variance Optimal Hedging for continuous time processes with independent increments and applications

Pré-publication, Document de travail Publié le 02/12/2009 co-écrit par Stéphane Goutte, Nadia Oudjane, Francesco Russo

{Probabilistic representation for solutions of an irregular porous media type equation.

Pré-publication, Document de travail Publié le 02/12/2009 co-écrit par 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 Publié le 01/01/2009 co-écrit par Franco Flandoli, Massimiliano Gubinelli, Francesco Russo

SOME PARABOLIC PDEs WHOSE DRIFT IS AN IRREGULAR RANDOM NOISE IN SPACE

Pré-publication, Document de travail Publié le 03/12/2007 co-écrit par Francesco Russo, Gerald Trutnau

Wiener integrals, Malliavin calculus and covariance measure structure

Article dans une revue Publié le 01/08/2007 co-écrit par Ida Kruk, Francesco Russo, Ciprian A. Tudor

Wiener integrals, Malliavin calculus and covariance measure structure

Pré-publication, Document de travail Publié le 18/04/2007 co-écrit par Ida Kruk, Francesco Russo, Ciprian Tudor

Elements of Stochastic Calculus via Regularisation

Article dans une revue Publié le 01/01/2007 co-écrit par Francesco Russo, Pierre Vallois

Seminar on stochastic analysis, random fields and applications V

Ouvrages Publié le 01/01/2007 co-écrit par Robert C. Dalang (ed.), Marco Dozzi (ed.), Francesco Russo

Modeling financial assets without semimartingale

Pré-publication, Document de travail Publié le 26/06/2006 co-écrit par Rosanna Coviello, Francesco Russo

On the bifractional Brownian motion

Article dans une revue Publié le 01/05/2006 co-écrit par Francesco Russo, Ciprian A. Tudor

Verification Theorems for Stochastic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition

Pré-publication, Document de travail Publié le 13/04/2006 co-écrit par Fausto Gozzi, Francesco Russo

Weak Dirichlet processes with a stochastic control perspective.

Pré-publication, Document de travail Publié le 13/04/2006 co-écrit par Fausto Gozzi, Francesco Russo

Non-semimartingales: stochastic differential equations and weak Dirichlet processes

Pré-publication, Document de travail Publié le 01/01/2006 co-écrit par 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 Publié le 01/01/2005 co-écrit par Mihai Gradinaru, Ivan Nourdin, Francesco Russo, Pierre Vallois

Seminar on stochastic analysis, random fields and applications IV

Ouvrages Publié le 01/01/2004 co-écrit par Robert C. Dalang (ed.), Marco Dozzi (ed.), Francesco Russo

Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index H>=1/4

Article dans une revue Publié le 01/01/2003 co-écrit par Mihai Gradinaru, Francesco Russo, Pierre Vallois

Itô's formula for C^1 functions of semimartingales

Article dans une revue Publié le 01/01/1996 co-écrit par Francesco Russo, Pierre Vallois

Nos chercheuses et chercheurs

Publications HAL

An entropy penalized approach for stochastic control problems. Complete version

Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions

REDUCED DISSIPATION EFFECT IN STOCHASTIC TRANSPORT BY GAUSSIAN NOISE WITH REGULARITY GREATER THAN 1/2

Characteristics and Itô's formula for weak Dirichlet processes: an equivalence result

McKean SDEs with singular coefficients

ROUGH PATHS AND SYMMETRIC-STRATONOVICH INTEGRALS DRIVEN BY SINGULAR COVARIANCE GAUSSIAN PROCESSES

Weak Dirichlet processes and generalized martingale problems

Path-dependent SDEs with jumps and irregular drift: well-posedness and Dirichlet properties

Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations

CRANDALL-LIONS VISCOSITY SOLUTIONS FOR PATH-DEPENDENT PDES: THE CASE OF HEAT EQUATION

Fokker-Planck equations with terminal condition and related McKean probabilistic representation

Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes

On some path-dependent SDEs involving distributional drifts

A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems

BSDEs with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations. Part II: Decoupled mild solutions and Examples.

Martingale driven BSDEs, PDEs and other related deterministic problems

ROUGH PATHS AND REGULARIZATION

The identification problem for BSDEs driven by possibly non quasi-left-continuous random measures

A Feynman-Kac result via Markov BSDEs with generalized driver

About classical solutions of the path-dependent heat equation

Decoupled mild solutions of path-dependent PDEs and IPDEs represented by BSDEs driven by cadlag martingales.

Discrete-type approximations for non-Markovian optimal stopping problems: Part I

Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations

McKean Feynman-Kac probabilistic representations of non-linear partial differential equations

Path dependent equations driven by Hölder processes

Path-dependent Martingale Problems and Additive Functionals

STRONG-VISCOSITY SOLUTIONS: SEMILINEAR PARABOLIC PDEs AND PATH-DEPENDENT PDEs

Some loci of rational cubic fourfolds

Gas storage valuation and hedging. A quantification of the model risk.

Infinite-dimensional calculus under weak spatial regularity of the processes.

Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations

Special weak Dirichlet processes and BSDEs driven by a random measure

Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations

Infinite dimensional weak Dirichlet processes and convolution type processes

A note on time-dependent additive functionals

Doubly probabilistic representation for the stochastic porous media type equation.

Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time

Infinite Dimensional Weak Dirichlet Processes and Convolution Type Processes

Multidimensional stochastic differential equations with distributional drift

On the well-posedness of a class of McKean Feynman-Kac equations

Uniqueness for a class of stochastic Fokker-Planck and porous media equations

Weak Dirichlet processes with jumps

BSDEs, càdlàg martingale problems and orthogonalisation under basis risk.

Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations

Cripto is essential to capture mouse epiblast stem cell and human embryonic stem cell pluripotency

FUNCTIONAL ITÔ VERSUS BANACH SPACE STOCHASTIC CALCULUS AND STRICT SOLUTIONS OF SEMILINEAR PATH-DEPENDENT EQUATIONS

Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations

The XJC-correspondence

Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations

A regularization approach to functional Itô calculus and strong-viscosity solutions to path-dependent PDEs

Gaussian and non-Gaussian processes of zero power variation

Some Loci of Rational Cubic Fourfolds

Stochastic analysis : A series of lectures

The stochastic porous media equation in $\R^d$

Gaussian and non-Gaussian processes of zero power variation, and related stochastic calculus.

A stochastic Fokker-Planck equation and double probabilistic representation for the stochastic porous media type equation.

Infinite dimensional weak Dirichlet processes, stochastic PDEs and optimal control

BSDEs under partial information and financial applications.

GKW representation theorem and linear BSDEs under restricted information. An application to risk-minimization.

Generalized covariation for Banach space valued processes, Itô formula and applications

Quadro-quadric cremona transformations in low dimensions via the JC-correspondence

The covariation for Banach space valued processes and applications

Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets

Variance optimal hedging for continuous time additive processes and applications

On countably skewed Brownian motion with accumulation point.

Second Order PDEs with Dirichlet White Noise Boundary Condition

Probabilistic representation for solutions of a porous media type equation with Neumann boundary condition: the case of the half-line.

Probabilistic and deterministic algorithms for space multidimensional irregular porous media equation.

On some expectation and derivative operators related to integral representations of random variables with respect to a PII process

Stochastic analysis, random fields and applications VII

About Fokker-Planck equation with measurable coefficients and applications to the fast diffusion equation

Generalized covariation and extended Fukushima decompositions for Banach valued processes. Application to windows of Dirichlet processes.

Clark-Ocone type formula for non-semimartingales with finite quadratic variation

On stochastic calculus related to financial assets without semimartingales

Probabilistic representation for solutions of an irregular porous media type equation: the degenerate case

Stochastic analysis, random fields and applications VI

Malliavin-Skorohod calculus and Paley-Wiener integral for covariance singular processes