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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

Stochastic transport by Gaussian noise with regularity greater than 1/2

A Markovian characterization of the exponential twist of probability measures

ABOUT SEMILINEAR LOW DIMENSION BESSEL PDEs

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

An entropy penalized approach for stochastic control problems. Complete version

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

Weak Dirichlet processes and generalized martingale problems

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

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

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

A Feynman-Kac result via Markov BSDEs with generalized driver

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

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

Infinite dimensional weak Dirichlet processes and convolution type processes

A note on time-dependent additive functionals

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

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

Weak Dirichlet processes with jumps

Weak Dirichlet processes with jumps

BSDEs, càdlàg martingale problems and orthogonalisation under basis risk.

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

Gaussian and non-Gaussian processes of zero power variation

Gaussian and non-Gaussian processes of zero power variation

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.

Infinite dimensional weak Dirichlet processes, stochastic PDEs and optimal control

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

On countably skewed Brownian motion with accumulation point.

Second Order PDEs with Dirichlet White Noise Boundary Condition

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

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

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

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

Stochastic analysis, random fields and applications VI

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

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