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Francesco RUSSO

Unité de Mathématiques Appliquées (UMA)

Professeur des Universités

HDR

Professor ENSTA Paris (Institut Polytechnique de Paris) 2010-
Researcher INRIA-Ecole des Ponts (en détachement) 2008-2010
Professor Paris 13 1994-2008

Activités de recherche et de formation

MAJOR RESEARCH FIELDS

Stochastic analysis
Financial mathematics
Probabilistic models in mathematical physics

COORGANISATEUR DU SEMINAIRE (Probabilités-Statistiques-Contrôle)

(Exposés à caractère pédagogique)

https://sites.google.com/view/seminaire-proba-stoch-anal/Seminaire-Probabilites-Statistiques-Controle

SDAIM (Stochastic and Deterministic Analysis of Irregular Models)

Project (2023-27) founded by the ANR (french national research agency)
et le FAPESP (Sao Paulo state research agency), Brésil.

SDAIM website
Coordinator (France) : Francesco Russo (ENSTA Paris)
- French teams: ENSTA Paris, CMAP (Polytechnique), CentraleSupélec, EDF, Université de Lille
Coordinator (Brazil) : Christian OLIVERA (UNICAMP)
- Brazilian team: UNICAMP (Campinas, Sao Paulo, Brazil)

CONFERENCE COORGANISATOR (with Stefano Pagliarani, Elena Issoglio)

Workshop in Irregular Stochastic Analysis, Cortona, 23-27 June 2025

https://events.unibo.it/irreg-stoch-indam-cortona-25

Nos chercheuses et chercheurs

Francesco RUSSO

Activités de recherche et de formation

SDAIM (Stochastic and Deterministic Analysis of Irregular Models)

Publications HAL

A Markovian characterization of the exponential twist of probability measures

ABOUT SEMILINEAR LOW DIMENSION BESSEL PDEs

Degenerate McKean-Vlasov equations with drift in anisotropic negative Besov spaces

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

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

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

McKean SDEs with singular coefficients

McKean SDEs with singular coefficients

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

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

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

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

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

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

On some path-dependent SDEs involving distributional drifts

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

About classical solutions of the path-dependent heat equation

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

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

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

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

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

Multidimensional stochastic differential equations with distributional drift

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

BSDEs, càdlàg martingale problems and orthogonalisation under basis risk.

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

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

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

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

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 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