Mots-clés

Nombre de documents

56

Francesco RUSSO


For more information see:

uma.ensta-paristech.fr/~russo

perso.ensta-paristech.fr/~russo


Article dans une revue11 documents

  • Giorgio Fabbri, Francesco Russo. Infinite dimensional weak Dirichlet processes and convolution type processes. Stochastic Processes and their Applications, Elsevier, 2016. <hal-01330684>
  • Luc Pirio, Francesco Russo. The XJC-correspondence. Journal für die reine und angewandte Mathematik, Walter de Gruyter, 2016, 2016 (716), pp.229-250. <10.1515/crelle-2014-0052>. <hal-01348148>
  • Claudia Ceci, Alessandra Cretarola, Francesco Russo. GKW representation theorem and linear BSDEs under restricted information. An application to risk-minimization.. Stochastics and Dynamics, World Scientific Publishing, 2014, <10.1142/S0219493713500196>. <hal-00696616>
  • Claudia Ceci, Alessandra Cretarola, Francesco Russo. BSDEs under partial information and financial applications.. Stochastic Processes and their Applications, Elsevier, 2014, <10.1016/j.spa.2014.03.003>. <hal-00822988>
  • Viorel Barbu, Michael Roeckner, Francesco Russo. Probabilistic representation for solutions of an irregular porous media type equation: the degenerate case. Probability Theory and Related Fields, Springer Verlag, 2011, <10.1007/s00440-010-0291-x>. <inria-00410248>
  • Rosanna Coviello, Cristina Di Girolami, Francesco Russo. On stochastic calculus related to financial assets without semimartingales. Bulletin des Sciences Mathématiques, Elsevier, 2011, 135, pp.733-774. <10.1016/j.bulsci.2011.06.008>. <inria-00564756>
  • Cristina Di Girolami, Francesco Russo. Clark-Ocone type formula for non-semimartingales with finite quadratic variation. Comptes-Rendus de l'Académie des Sciences, Série 1, Mathématiques, Elsevier, 2011, 349 (3-4), pp.209-214. <10.1016/j.crma.2010.11.032>. <inria-00484993v2>
  • Franco Flandoli, Massimiliano Gubinelli, Francesco Russo. On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model. Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, Institute Henri Poincaré, 2009. <hal-00134623>
  • Ida Kruk, Francesco Russo, Ciprian Tudor. Wiener integrals, Malliavin calculus and covariance measure structure. Journal of Functional Analysis, Elsevier, 2007, 249 (1), pp.92-142. <10.1016/j.jfa.2007.03.031>. <hal-00311406>
  • Mihai Gradinaru, Ivan Nourdin, Francesco Russo, Pierre Vallois. m-order integrals and generalized Ito's formula; the case of a fractional Brownian motion with any Hurst index. Annales de l'IHP - Probabilités et Statistiques, 2005, 41, pp.781-806. <10.1016/j.anihpb.2004.06.002>. <hal-00091310>
  • Mihai Gradinaru, Francesco Russo, Pierre Vallois. Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index H>=1/4. Annals of Probability, Institute of Mathematical Statistics, 2003, 31, pp.1772-1820. <10.1214/aop/1068646366>. <hal-00091324>

Direction d'ouvrage, Proceedings5 documents

  • Franco Flandoli, Francesco Russo, Robert C. Dalang, Marco Dozzi. Stochastic analysis : A series of lectures: Centre Interfacultaire Bernoulli, January - June 2012, Ecole Polytechnique Fédérale Lausanne, Switzerland. Switzerland. 68, Birkhäuser Verlag, pp.xiii + 393, 2015, Progress in Probability. <hal-01273031>
  • Francesco Russo, Robert C. Dalang, Marco Dozzi. Stochastic analysis, random fields and applications VII. Switzerland. 67, Birkhäuser Verlag, pp.xi + 469, 2013, Progress in Probability. <hal-01273017>
  • Robert C. Dalang, Francesco Russo, Marco Dozzi. Stochastic analysis, random fields and applications VI. Switzerland. 63, Birkhäuser Verlag, pp.xi + 492, 2011, Progress in Probability. <hal-01272999>
  • Robert C. Dalang (ed.), Marco Dozzi (ed.), Francesco Russo. Seminar on stochastic analysis, random fields and applications V. Birkhäuser Verlag, pp.xi + 523, 2007. <hal-00170032>
  • Robert C. Dalang (ed.), Marco Dozzi (ed.), Francesco Russo. Seminar on stochastic analysis, random fields and applications IV. France. Birkhäuser Verlag, pp.xii + 328, 2004. <hal-00144001>

Pré-publication, Document de travail40 documents

  • Franco Flandoli, Francesco Russo, Giovanni Zanco. Infinite-dimensional calculus under weak spatial regularity of the processes.. 2016. <hal-01226154v2>
  • Anthony Le Cavil, Nadia Oudjane, Francesco Russo. Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations. 2016. <hal-01353757>
  • Giorgio Fabbri, Francesco Russo. Infinite Dimensional Weak Dirichlet Processes and Convolution Type Processes. 2016. <halshs-01309384>
  • Anthony Le Cavil, Nadia Oudjane, Francesco Russo. Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations. 2016. <hal-01241704v2>
  • Rafael Andretto Castrequini, Francesco Russo. Path dependent equations driven by Hölder processes. 2016. <hal-01388433>
  • Anthony Le Cavil, Nadia Oudjane, Francesco Russo. Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations: About probabilistic representation of non-conservative PDEs.. This is the accepted version to ALEA (Latin American Journal Of Probability And Mathematical Stat.. 2016. <hal-01241701v2>
  • Viorel Barbu, Michael Röckner, Francesco Russo. Doubly probabilistic representation for the stochastic porous media type equation.: Stochastic porous media with multiplicative noise.. 2016. <hal-01352670>
  • Michael Röckner, Francesco Russo. Uniqueness for a class of stochastic Fokker-Planck and porous media equations. 2016. <hal-01358705>
  • Andrea Cosso, Francesco Russo. A regularization approach to functional Itô calculus and strong-viscosity solutions to path-dependent PDEs. 2015. <hal-00933678v2>
  • Elena Bandini, Francesco Russo. Special weak Dirichlet processes and BSDEs driven by a random measure. 2015. <hal-01241076>
  • Elena Bandini, Francesco Russo. Weak Dirichlet processes with jumps. 2015. <hal-01241073>
  • Francesco Russo, Lukas Wurzer. Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time. 2015. <hal-01023176v2>
  • Franco Flandoli, Elena Issoglio, Francesco Russo. Multidimensional stochastic differential equations with distributional drift. 2015. <hal-00935399v2>
  • Viorel Barbu, Michael Röckner, Francesco Russo. The stochastic porous media equation in $\R^d$. 2014. <hal-00921597v2>
  • Andrea Cosso, Cristina Di Girolami, Francesco Russo. Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations. 2014. <hal-01088856>
  • Giorgio Fabbri, Francesco Russo. Infinite dimensional weak Dirichlet processes, stochastic PDEs and optimal control. 2014. <hal-00720490v2>
  • Viorel Barbu, Michael Röckner, Francesco Russo. A stochastic Fokker-Planck equation and double probabilistic representation for the stochastic porous media type equation.. 2014. <hal-00981113>
  • Francesco Russo, Frederi Viens. Gaussian and non-Gaussian processes of zero power variation, and related stochastic calculus.. 2014. <hal-01024974>
  • Cristina Di Girolami, Francesco Russo. Generalized covariation for Banach space valued processes, Itô formula and applications. 2013. <inria-00545660v4>
  • Patrick Henaff, Ismail Laachir, Francesco Russo. Gas storage valuation and hedging. A quantification of the model risk.. 2013. <hal-00918082>
  • Cristina Di Girolami, Giorgio Fabbri, Francesco Russo. The covariation for Banach space valued processes and applications.. 2013. <hal-00780430v2>
  • Ioana Ciotir, Francesco Russo. Probabilistic representation for solutions of a porous media type equation with Neumann boundary condition: the case of the half-line.. 2013. <hal-00812842>
  • Stéphane Goutte, Nadia Oudjane, Francesco Russo. Variance optimal hedging for continuous time additive processes and applications. 2013. <hal-00786177>
  • Youssef Ouknine, Francesco Russo, Gerald Trutnau. On countably skewed Brownian motion with accumulation point.. 2013. <hal-00850095>
  • Zdzislaw Brzezniak, Ben Goldys, Szymon Peszat, Francesco Russo. Second Order PDEs with Dirichlet White Noise Boundary Condition. 2013. <hal-00825120>
  • Stéphane Goutte, Nadia Oudjane, Francesco Russo. Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets. 2012. <inria-00473032v2>
  • Stéphane Goutte, Nadia Oudjane, Francesco Russo. On some expectation and derivative operators related to integral representations of random variables with respect to a PII process. 29 pages. 2012. <hal-00665852>
  • Nadia Belaribi, Francesco Russo. About Fokker-Planck equation with measurable coefficients and applications to the fast diffusion equation. 2012. <hal-00645483v2>
  • Francesco Russo, Frederi Viens. Gaussian and non-Gaussian processes of zero power variation. 2012. <inria-00438532v2>
  • Nadia Belaribi, François Cuvelier, Francesco Russo. Probabilistic and deterministic algorithms for space multidimensional irregular porous media equation.. 2012. <hal-00723821>
  • Cristina Di Girolami, Francesco Russo. Generalized covariation and extended Fukushima decompositions for Banach valued processes. Application to windows of Dirichlet processes.. 2011. <inria-00594871>
  • Ida Kruk, Francesco Russo. Malliavin-Skorohod calculus and Paley-Wiener integral for covariance singular processes. 2010. <inria-00540914>
  • Francesco Russo, Cristina Di Girolami. Infinite dimensional stochastic calculus via regularization. 2010. <inria-00473947>
  • Nadia Belaribi, François Cuvelier, Francesco Russo. A probabilistic algorithm approximating solutions of a singular PDE of porous media type. 2010. <inria-00535806>
  • Stéphane Goutte, Nadia Oudjane, Francesco Russo. Variance Optimal Hedging for continuous time processes with independent increments and applications. 2009. <inria-00437984>
  • Ida Kruk, Francesco Russo, Ciprian Tudor. Wiener integrals, Malliavin calculus and covariance measure structure. 50 pages. 2007. <hal-00078163v2>
  • Francesco Russo, Gerald Trutnau. SOME PARABOLIC PDEs WHOSE DRIFT IS AN IRREGULAR RANDOM NOISE IN SPACE. 52 pages. 2007. <hal-00019856v3>
  • Rosanna Coviello, Francesco Russo. Modeling financial assets without semimartingale. 53 pages. 2006. <hal-00082050>
  • Fausto Gozzi, Francesco Russo. Weak Dirichlet processes with a stochastic control perspective.. Preprint LAGA-Paris 13 2005-14. To appear: Stochastic Processes and Their Applications. 22 pages. 2006. <hal-00022839>
  • Fausto Gozzi, Francesco Russo. Verification Theorems for Stochastic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition. Preprint LAGA-Paris 13 2005-13. To appear: Stochastic Processes and Their Applications. 34 pages. 2006. <hal-00022840>