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Co-authors

Number of documents

92

Francesco RUSSO


For more information see:

uma.ensta-paristech.fr/~russo

perso.ensta-paristech.fr/~russo


Journal articles19 documents

  • Dorival Leão, Alberto Ohashi, Francesco Russo. Discrete-type approximations for non-Markovian optimal stopping problems: Part I. Journal of Applied Probability, Cambridge University press, 2019, 56 (4), pp.981-1005. ⟨10.1017/jpr.2019.57⟩. ⟨hal-02572450⟩
  • Michele Bolognesi, Francesco Russo, Giovanni Staglianò. Some loci of rational cubic fourfolds. Mathematische Annalen, Springer Verlag, 2018, pp.1-26. ⟨10.1007/s00208-018-1707-7⟩. ⟨hal-01816621⟩
  • Giorgio Fabbri, Francesco Russo. Infinite dimensional weak Dirichlet processes and convolution type processes. Stochastic Processes and their Applications, Elsevier, 2017, 127 (1), pp.325-357. ⟨10.1016/j.spa.2016.06.010⟩. ⟨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⟩
  • Alessandro Fiorenzano, Emilia Pascale, Cristina d'Aniello, Dario Acampora, Cecilia Bassalert, et al.. Cripto is essential to capture mouse epiblast stem cell and human embryonic stem cell pluripotency. Nature Communications, Nature Publishing Group, 2016, 7, pp.12589. ⟨10.1038/ncomms12589⟩. ⟨hal-01923147⟩
  • 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⟩
  • Cristina Di Girolami, Giorgio Fabbri, Francesco Russo. The covariation for Banach space valued processes and applications. Metrika, Springer Verlag, 2014, 77 (1), pp.51-104. ⟨10.1007/s00184-013-0472-6⟩. ⟨hal-00780430v2⟩
  • Luc Pirio, Francesco Russo. Quadro-quadric cremona transformations in low dimensions via the JC-correspondence. Annales de l'Institut Fourier, Association des Annales de l'Institut Fourier, 2014, 64 (1), pp.71-111. ⟨10.5802/aif.2839⟩. ⟨hal-00709666⟩
  • 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⟩
  • 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 I, Mathématique, 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, Institut Henri Poincaré (IHP), 2009. ⟨hal-00134623⟩
  • Francesco Russo, Pierre Vallois. Elements of Stochastic Calculus via Regularisation. Séminaire de Probabilités, Springer-Verlag, 2007, 1899-2007, pp.147-185. ⟨10.1007/978-3-540-71189-6_7⟩. ⟨hal-00020443⟩
  • Ida Kruk, Francesco Russo, Ciprian A. 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⟩
  • Francesco Russo, Ciprian A. Tudor. On the bifractional Brownian motion. Stochastic Processes and their Applications, Elsevier, 2006, 116 (6), pp.830-856. ⟨10.1016/j.spa.2005.11.013⟩. ⟨hal-00130627⟩
  • 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'Institut Henri Poincaré (B) Probabilités et Statistiques, Institut Henri Poincaré (IHP), 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⟩
  • Francesco Russo, Pierre Vallois. Itô's formula for C^1 functions of semimartingales. Probability Theory and Related Fields, Springer Verlag, 1996. ⟨hal-00974784⟩

Directions of work or 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⟩

Preprints, Working Papers, ...68 documents

  • Alberto Ohashi, Francesco Russo. ROUGH PATHS AND SYMMETRIC-STRATONOVICH INTEGRALS DRIVEN BY SINGULAR COVARIANCE GAUSSIAN PROCESSES. 2022. ⟨hal-03694046⟩
  • Elena Issoglio, Francesco Russo. McKean SDEs with singular coefficients. 2022. ⟨hal-03306570v2⟩
  • Elena Bandini, Francesco Russo. Weak Dirichlet processes and generalized martingale problems. 2022. ⟨hal-03660061v2⟩
  • Andrea Cosso, Fausto Gozzi, Mauro Rosestolato, Francesco Russo. Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions. 2022. ⟨hal-03285204v2⟩
  • Lucas Izydorczyk, Nadia Oudjane, Francesco Russo, Gianmario Tessitore. Fokker-Planck equations with terminal condition and related McKean probabilistic representation. 2021. ⟨hal-02902615v3⟩
  • Alberto Ohashi, Francesco Russo, Alan Teixeira. On some path-dependent SDEs involving distributional drifts. 2021. ⟨hal-02465590v2⟩
  • Adrien Barrasso, Francesco Russo. BSDEs with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations. Part II: Decoupled mild solutions and Examples.. 2021. ⟨hal-01505974v4⟩
  • Lucas Izydorczyk, Nadia Oudjane, Francesco Russo. A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems. 2021. ⟨hal-03210302v2⟩
  • André O Gomes, Alberto Ohashi, Francesco Russo, Alan Teixeira. ROUGH PATHS AND REGULARIZATION. 2021. ⟨hal-03260855⟩
  • Andrea Cosso, Francesco Russo. CRANDALL-LIONS VISCOSITY SOLUTIONS FOR PATH-DEPENDENT PDES: THE CASE OF HEAT EQUATION. 2021. ⟨hal-02383626v3⟩
  • Cristina Di Girolami, Francesco Russo. About classical solutions of the path-dependent heat equation. 2020. ⟨hal-01762783v3⟩
  • Elena Bandini, Francesco Russo. The identification problem for BSDEs driven by possibly non quasi-left-continuous random measures. 2020. ⟨hal-02448562⟩
  • Adrien Barrasso, Francesco Russo. Martingale driven BSDEs, PDEs and other related deterministic problems. 2020. ⟨hal-01566883v2⟩
  • Adrien Barrasso, Francesco Russo. Decoupled mild solutions of path-dependent PDEs and IPDEs represented by BSDEs driven by cadlag martingales.. 2019. ⟨hal-01774823v2⟩
  • Elena Issoglio, Francesco Russo. A Feynman-Kac result via Markov BSDEs with generalized driver. 2019. ⟨hal-01786119v2⟩
  • Jonas Lieber, Nadia Oudjane, Francesco Russo. On the well-posedness of a class of McKean Feynman-Kac equations. 2019. ⟨hal-01895210v2⟩
  • Andrea Cosso, Francesco Russo. STRONG-VISCOSITY SOLUTIONS: SEMILINEAR PARABOLIC PDEs AND PATH-DEPENDENT PDEs. 2019. ⟨hal-01145301v3⟩
  • Lucas Izydorczyk, Nadia Oudjane, Francesco Russo. McKean Feynman-Kac probabilistic representations of non-linear partial differential equations. 2019. ⟨hal-02397045⟩
  • Adrien Barrasso, Francesco Russo. Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes. 2019. ⟨hal-02197479⟩
  • Anthony Lecavil, Nadia Oudjane, Francesco Russo. Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations. 2018. ⟨hal-01353757v4⟩
  • Adrien Barrasso, Francesco Russo. Path-dependent Martingale Problems and Additive Functionals. 2018. ⟨hal-01775200⟩
  • Anthony Le Cavil, Nadia Oudjane, Francesco Russo. Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations. 2017. ⟨hal-01586861⟩
  • Adrien Barrasso, Francesco Russo. A note on time-dependent additive functionals. 2017. ⟨hal-01574964⟩
  • Elena Bandini, Francesco Russo. Weak Dirichlet processes with jumps. 2017. ⟨hal-01241073v3⟩
  • Adrien Barrasso, Francesco Russo. Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations. 2017. ⟨hal-01431559v3⟩
  • 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⟩
  • Ismail Laachir, Francesco Russo. BSDEs, càdlàg martingale problems and orthogonalisation under basis risk.. 2016. ⟨hal-01086227v2⟩
  • 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.. 2016. ⟨hal-01241701v2⟩
  • Franco Flandoli, Francesco Russo, Giovanni Zanco. Infinite-dimensional calculus under weak spatial regularity of the processes.. 2016. ⟨hal-01226154v2⟩
  • 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⟩
  • Elena Bandini, Francesco Russo. Special weak Dirichlet processes and BSDEs driven by a random measure. 2016. ⟨hal-01241076v2⟩
  • Michael Röckner, Francesco Russo. Uniqueness for a class of stochastic Fokker-Planck and porous media equations. 2016. ⟨hal-01358705⟩
  • Anthony Lecavil, Nadia Oudjane, Francesco Russo. Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations. 2015. ⟨hal-01142337⟩
  • 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⟩
  • Michele Bolognesi, Francesco Russo, Giovanni Staglianò. Some Loci of Rational Cubic Fourfolds. 2015. ⟨hal-01145459⟩
  • Andrea Cosso, Francesco Russo. A regularization approach to functional Itô calculus and strong-viscosity solutions to path-dependent PDEs. 2015. ⟨hal-00933678v2⟩
  • Andrea Cosso, Francesco Russo. FUNCTIONAL ITÔ VERSUS BANACH SPACE STOCHASTIC CALCULUS AND STRICT SOLUTIONS OF SEMILINEAR PATH-DEPENDENT EQUATIONS. 2015. ⟨hal-01145300⟩
  • Viorel Barbu, Michael Röckner, Francesco Russo. The stochastic porous media equation in $\R^d$. 2014. ⟨hal-00921597v2⟩
  • Giorgio Fabbri, Francesco Russo. Infinite dimensional weak Dirichlet processes, stochastic PDEs and optimal control. 2014. ⟨hal-00720490v2⟩
  • Francesco Russo, Frederi Viens. Gaussian and non-Gaussian processes of zero power variation, and related stochastic calculus.. 2014. ⟨hal-01024974⟩
  • 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⟩
  • Andrea Cosso, Cristina Di Girolami, Francesco Russo. Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations. 2014. ⟨hal-01088856⟩
  • Stéphane Goutte, Nadia Oudjane, Francesco Russo. Variance optimal hedging for continuous time additive processes and applications. 2013. ⟨hal-00786177⟩
  • Cristina Di Girolami, Francesco Russo. Generalized covariation for Banach space valued processes, Itô formula and applications. 2013. ⟨inria-00545660v4⟩
  • youssef Ouknine, Francesco Russo, Gerald Trutnau. On countably skewed Brownian motion with accumulation point.. 2013. ⟨hal-00850095⟩
  • Patrick Henaff, Ismail Laachir, Francesco Russo. Gas storage valuation and hedging. A quantification of the model risk.. 2013. ⟨hal-00918082⟩
  • Zdzislaw Brzezniak, Ben Goldys, Szymon Peszat, Francesco Russo. Second Order PDEs with Dirichlet White Noise Boundary Condition. 2013. ⟨hal-00825120⟩
  • 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. On some expectation and derivative operators related to integral representations of random variables with respect to a PII process. 2012. ⟨hal-00665852⟩
  • Nadia Belaribi, François Cuvelier, Francesco Russo. Probabilistic and deterministic algorithms for space multidimensional irregular porous media equation.. 2012. ⟨hal-00723821⟩
  • 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⟩
  • Stéphane Goutte, Nadia Oudjane, Francesco Russo. Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets. 2012. ⟨inria-00473032v2⟩
  • 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⟩
  • Nadia Belaribi, François Cuvelier, Francesco Russo. A probabilistic algorithm approximating solutions of a singular PDE of porous media type. 2010. ⟨inria-00535806⟩
  • Francesco Russo, Cristina Di Girolami. Infinite dimensional stochastic calculus via regularization. 2010. ⟨inria-00473947⟩
  • Philippe Blanchard, Michael Röckner, Francesco Russo. {Probabilistic representation for solutions of an irregular porous media type equation.. 2009. ⟨hal-00279975v2⟩
  • Stéphane Goutte, Nadia Oudjane, Francesco Russo. Variance Optimal Hedging for continuous time processes with independent increments and applications. 2009. ⟨inria-00437984⟩
  • Francesco Russo, Gerald Trutnau. SOME PARABOLIC PDEs WHOSE DRIFT IS AN IRREGULAR RANDOM NOISE IN SPACE. 2007. ⟨hal-00019856v3⟩
  • Ida Kruk, Francesco Russo, Ciprian Tudor. Wiener integrals, Malliavin calculus and covariance measure structure. 2007. ⟨hal-00078163v2⟩
  • Fausto Gozzi, Francesco Russo. Verification Theorems for Stochastic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition. 2006. ⟨hal-00022840⟩
  • Rosanna Coviello, Francesco Russo. Non-semimartingales: stochastic differential equations and weak Dirichlet processes. 2006. ⟨hal-00020068⟩
  • Rosanna Coviello, Francesco Russo. Modeling financial assets without semimartingale. 2006. ⟨hal-00082050⟩
  • Fausto Gozzi, Francesco Russo. Weak Dirichlet processes with a stochastic control perspective.. 2006. ⟨hal-00022839⟩