Francesco Russo

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Publications

	ROUGH PATHS AND SYMMETRIC-STRATONOVICH INTEGRALS DRIVEN BY SINGULAR COVARIANCE GAUSSIAN PROCESSES Alberto Ohashi , Francesco Russo Bernoulli, 2024, 30 (2), pp.1197-1230. ⟨10.3150/23-BEJ1629.short⟩ Article dans une revue hal-03694046v2
	Weak Dirichlet processes and generalized martingale problems Elena Bandini , Francesco Russo Stochastic Processes and their Applications, inPress Article dans une revue hal-03660061v3
	McKean SDEs with singular coefficients Elena Issoglio , Francesco Russo Annales de l'Institut Henri Poincaré, 2023, 59 (3), pp.1530-1548. ⟨10.1214/22-AIHP1293⟩ Article dans une revue hal-03306570v2
	Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes Adrien Barrasso , Francesco Russo Stochastics and Dynamics, 2022, 22, pp.2250007,. ⟨10.1142/S0219493722500071⟩ Article dans une revue hal-02197479v1
	Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations Adrien Barrasso , Francesco Russo Journal of Stochastic Analysis , 2022, 3 (1), ⟨10.31390/josa.3.1.03⟩ Article dans une revue hal-01431559v3
	CRANDALL-LIONS VISCOSITY SOLUTIONS FOR PATH-DEPENDENT PDES: THE CASE OF HEAT EQUATION Andrea Cosso , Francesco Russo Bernoulli, 2022, 28, pp.481-503. ⟨10.3150/21-BEJ1353⟩ Article dans une revue hal-02383626v3
	Fokker-Planck equations with terminal condition and related McKean probabilistic representation Lucas Izydorczyk , Nadia Oudjane , Francesco Russo , Gianmario Tessitore Nonlinear Differential Equations and Applications, 2022, volume 29 (10), ⟨10.1007/s00030-021-00736-1⟩ Article dans une revue hal-02902615v3
	On some path-dependent SDEs involving distributional drifts Alberto Ohashi , Francesco Russo , Alan Teixeira Modern Stochastics: Theory and Applications, 2022, 9 (1), pp.65-87. ⟨10.15559/21-VMSTA197⟩ Article dans une revue hal-02465590v2
	ROUGH PATHS AND REGULARIZATION André O Gomes , Alberto Ohashi , Francesco Russo , Alan Teixeira Journal of Stochastic Analysis , 2021, 2 (4), pp.1-21. ⟨10.31390/josa.2.4.01⟩ Article dans une revue hal-03260855v2
	Martingale driven BSDEs, PDEs and other related deterministic problems Adrien Barrasso , Francesco Russo Stochastic Processes and their Applications, 2021, 133, pp.193-228. ⟨10.1016/j.spa.2020.11.007⟩ Article dans une revue hal-01566883v2
	A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems Lucas Izydorczyk , Nadia Oudjane , Francesco Russo Monte Carlo Methods and Applications, 2021, 27 (4), pp.347-371. ⟨10.1515/mcma-2021-2095⟩ Article dans une revue hal-03210302v2
	BSDEs with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations. Part II: Decoupled mild solutions and Examples. Adrien Barrasso , Francesco Russo Journal of Theoretical Probability, 2021, 34, pp.1110-1148. ⟨10.1007/s10959-021-01092-7⟩ Article dans une revue hal-01505974v4
	A Feynman-Kac result via Markov BSDEs with generalized driver Elena Issoglio , Francesco Russo Bernoulli, 2020, 26, pp.728-766. ⟨10.3150/19-BEJ1150⟩ Article dans une revue hal-01786119v2
	About classical solutions of the path-dependent heat equation Cristina Di Girolami , Francesco Russo Random Operators and Stochastic Equations, 2020, 1, pp.35-62. ⟨10.1515/rose-2020-2028⟩ Article dans une revue hal-01762783v3
	Decoupled mild solutions of path-dependent PDEs and IPDEs represented by BSDEs driven by cadlag martingales. Adrien Barrasso , Francesco Russo Potential Analysis, 2020, 53, pp.449-481. ⟨10.1007/s11118-019-09775-x⟩ Article dans une revue hal-01774823v2
	Discrete-type approximations for non-Markovian optimal stopping problems: Part I Dorival Leão , Alberto Ohashi , Francesco Russo Journal of Applied Probability, 2019, 56 (4), pp.981-1005. ⟨10.1017/jpr.2019.57⟩ Article dans une revue hal-02572450v1
	Path-dependent Martingale Problems and Additive Functionals Adrien Barrasso , Francesco Russo Stochastics and Dynamics, 2019, 19 (4), pp.1950027. ⟨10.1142/S0219493719500278⟩ Article dans une revue hal-01775200v1
	Path dependent equations driven by Hölder processes Rafael Andretto Castrequini , Francesco Russo Stochastic Analysis and Applications, 2019, 37 (3), pp.480-498. ⟨10.1080/07362994.2019.1585263⟩ Article dans une revue hal-01388433v1
	STRONG-VISCOSITY SOLUTIONS: SEMILINEAR PARABOLIC PDEs AND PATH-DEPENDENT PDEs Andrea Cosso , Francesco Russo Osaka Journal of Mathematics, 2019, 56 (2), pp.323-373 Article dans une revue hal-01145301v3
	Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations Anthony Lecavil , Nadia Oudjane , Francesco Russo Stochastics: An International Journal of Probability and Stochastic Processes, 2019, 91 (8), ⟨10.1080/17442508.2019.1594809⟩ Article dans une revue hal-01353757v4
	On the well-posedness of a class of McKean Feynman-Kac equations Jonas Lieber , Nadia Oudjane , Francesco Russo Markov Processes And Related Fields, 2019, 25 (5), pp.821-862 Article dans une revue hal-01895210v3
	Special weak Dirichlet processes and BSDEs driven by a random measure Elena Bandini , Francesco Russo Bernoulli, 2018, 24 (4A), pp.2569-2609. ⟨10.3150/17-BEJ937⟩ Article dans une revue hal-01241076v2
	Infinite-dimensional calculus under weak spatial regularity of the processes. Franco Flandoli , Francesco Russo , Giovanni Zanco Journal of Theoretical Probability, 2018, 31, pp.789-826. ⟨10.1007/s10959-016-0724-2⟩ Article dans une revue hal-01226154v2
	Gas storage valuation and hedging. A quantification of the model risk. Patrick Henaff , Ismail Laachir , Francesco Russo International Journal of Financial Studies, 2018, 6 (1 (27)), ⟨10.3390/ijfs6010027⟩ Article dans une revue hal-00918082v1
	Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations Anthony Le Cavil , Nadia Oudjane , Francesco Russo Monte Carlo Methods and Applications, 2018, 24 (1), pp.55-70. ⟨10.1515/mcma-2018-0005⟩ Article dans une revue hal-01586861v1
	Weak Dirichlet processes with jumps Elena Bandini , Francesco Russo Stochastic Processes and their Applications, 2017, 12, pp.4139-4189. ⟨10.1016/j.spa.2017.04.001⟩ Article dans une revue hal-01241073v3
	A note on time-dependent additive functionals Adrien Barrasso , Francesco Russo Communications on Stochastic Analysis, 2017, 11 (3), pp.313-334. ⟨10.31390/cosa.11.3.04⟩ Article dans une revue hal-01574964v1
	Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time Francesco Russo , Lukas Wurzer Stochastics and Dynamics, 2017, 17, pp.1750030. ⟨10.1142/S0219493717500307⟩ Article dans une revue hal-01023176v2
	Doubly probabilistic representation for the stochastic porous media type equation. Viorel Barbu , Michael Röckner , Francesco Russo Annales de l'Institut Henri Poincaré, 2017, ⟨10.1214/16-AIHP783⟩ Article dans une revue hal-01352670v1
	Uniqueness for a class of stochastic Fokker-Planck and porous media equations Michael Röckner , Francesco Russo Journal of Evolution Equations, 2017, 17 (3), pp.1049-1062. ⟨10.1007/s00028-016-0372-0⟩ Article dans une revue hal-01358705v1
	Infinite dimensional weak Dirichlet processes and convolution type processes Giorgio Fabbri , Francesco Russo Stochastic Processes and their Applications, 2017, 127 (1), pp.325-357. ⟨10.1016/j.spa.2016.06.010⟩ Article dans une revue hal-01330684v1
	Multidimensional stochastic differential equations with distributional drift Franco Flandoli , Elena Issoglio , Francesco Russo Transactions of the American Mathematical Society, Series B, 2017, 369 (3), pp.1655-1688. ⟨10.1090/tran/6729⟩ Article dans une revue hal-00935399v2
	Infinite Dimensional Weak Dirichlet Processes and Convolution Type Processes Giorgio Fabbri , Francesco Russo Stochastic Processes and their Applications, 2017, 127 (1), pp.325-357. ⟨10.1016/j.spa.2016.06.010⟩ Article dans une revue halshs-01309384v1
	Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations Anthony Le Cavil , Nadia Oudjane , Francesco Russo Stochastics and Partial Differential Equations: Analysis and Computations, 2017, 5 (1), Stochastics and partial differential equations: Analysis and Computation., vol. 5 (1), pp. 1-37, Springer-Verlag, mar, 2017. ⟨10.1007/s40072-016-0079-9⟩ Article dans une revue hal-01241704v2
	FUNCTIONAL ITÔ VERSUS BANACH SPACE STOCHASTIC CALCULUS AND STRICT SOLUTIONS OF SEMILINEAR PATH-DEPENDENT EQUATIONS Andrea Cosso , Francesco Russo Infinite Dimensional Analysis, Quantum Probability and Related Topics, 2016, 19 (04), pp.1650024. ⟨10.1142/S0219025716500247⟩ Article dans une revue hal-01145300v1
	Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations Anthony Le Cavil , Nadia Oudjane , Francesco Russo ALEA : Latin American Journal of Probability and Mathematical Statistics, 2016, 13, pp.1189-1233. ⟨10.30757/ALEA.v13-43⟩ Article dans une revue hal-01241701v2
	BSDEs, càdlàg martingale problems and orthogonalisation under basis risk. Ismail Laachir , Francesco Russo SIAM Journal on Financial Mathematics, 2016, 7, pp.308-356. ⟨10.1137/140996239⟩ Article dans une revue hal-01086227v2
	The XJC-correspondence Luc Pirio , Francesco Russo Journal für die reine und angewandte Mathematik, 2016, 2016 (716), pp.229-250. ⟨10.1515/crelle-2014-0052⟩ Article dans une revue hal-01348148v1
	Cripto is essential to capture mouse epiblast stem cell and human embryonic stem cell pluripotency Alessandro Fiorenzano , Emilia Pascale , Cristina d'Aniello , Dario Acampora , Cecilia Bassalert Nature Communications, 2016, 7, pp.12589. ⟨10.1038/ncomms12589⟩ Article dans une revue hal-01923147v1
	Gaussian and non-Gaussian processes of zero power variation Francesco Russo , Frederi Viens ESAIM: Probability and Statistics, 2015, 19 (9), pp.414-439. ⟨10.1051/ps/2014031⟩ Article dans une revue inria-00438532v2
	GKW representation theorem and linear BSDEs under restricted information. An application to risk-minimization. Claudia Ceci , Alessandra Cretarola , Francesco Russo Stochastics and Dynamics, 2014, 14 (2), pp.1350019. ⟨10.1142/S0219493713500196⟩ Article dans une revue hal-00696616v1
	The covariation for Banach space valued processes and applications Cristina Di Girolami , Giorgio Fabbri , Francesco Russo Metrika, 2014, 77 (1), pp.51-104. ⟨10.1007/s00184-013-0472-6⟩ Article dans une revue hal-00780430v2
	Quadro-quadric cremona transformations in low dimensions via the JC-correspondence Luc Pirio , Francesco Russo Annales de l'Institut Fourier, 2014, 64 (1), pp.71-111. ⟨10.5802/aif.2839⟩ Article dans une revue hal-00709666v1
	Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets Stéphane Goutte , Nadia Oudjane , Francesco Russo The Journal of Computational Finance, 2014, 17 (2), pp.71-111. ⟨10.21314/JCF.2013.261⟩ Article dans une revue inria-00473032v2
	BSDEs under partial information and financial applications. Claudia Ceci , Alessandra Cretarola , Francesco Russo Stochastic Processes and their Applications, 2014, ⟨10.1016/j.spa.2014.03.003⟩ Article dans une revue hal-00822988v1
	Generalized covariation for Banach space valued processes, Itô formula and applications Cristina Di Girolami , Francesco Russo Osaka Journal of Mathematics, 2014, 51 (3) Article dans une revue inria-00545660v4
	Variance optimal hedging for continuous time additive processes and applications Stéphane Goutte , Nadia Oudjane , Francesco Russo Stochastics: An International Journal of Probability and Stochastic Processes, 2014, 81 (1), pp.147--185. ⟨10.1080/17442508.2013.774402⟩ Article dans une revue hal-00786177v1
	The stochastic porous media equation in $\R^d$ Viorel Barbu , Michael Röckner , Francesco Russo Journal de Mathématiques Pures et Appliquées, 2014, 103 (4), pp.1024-1052. ⟨10.1016/j.matpur.2014.10.004⟩ Article dans une revue hal-00921597v2
	On some expectation and derivative operators related to integral representations of random variables with respect to a PII process Stéphane Goutte , Nadia Oudjane , Francesco Russo Stochastic Analysis and Applications, 2013, 31, pp.108--141. ⟨10.1080/07362994.2013.741395⟩ Article dans une revue hal-00665852v1
	Probabilistic and deterministic algorithms for space multidimensional irregular porous media equation. Nadia Belaribi , François Cuvelier , Francesco Russo Stochastics and Partial Differential Equations: Analysis and Computations, 2013, 1 (1), pp.3-62. ⟨10.1007/s40072-013-0001-7⟩ Article dans une revue hal-00723821v1
	About Fokker-Planck equation with measurable coefficients and applications to the fast diffusion equation Nadia Belaribi , Francesco Russo Electronic Journal of Probability, 2012, 17 (84), pp.1-28 Article dans une revue hal-00645483v2
	Clark-Ocone type formula for non-semimartingales with finite quadratic variation Cristina Di Girolami , Francesco Russo Comptes rendus de l'Académie des sciences. Série I, Mathématique, 2011, 349 (3-4), pp.209-214. ⟨10.1016/j.crma.2010.11.032⟩ Article dans une revue inria-00484993v2
	On stochastic calculus related to financial assets without semimartingales Rosanna Coviello , Cristina Di Girolami , Francesco Russo Bulletin des Sciences Mathématiques, 2011, 135, pp.733-774. ⟨10.1016/j.bulsci.2011.06.008⟩ Article dans une revue inria-00564756v1
	Probabilistic representation for solutions of an irregular porous media type equation: the degenerate case Viorel Barbu , Michael Roeckner , Francesco Russo Probability Theory and Related Fields, 2011, ⟨10.1007/s00440-010-0291-x⟩ Article dans une revue inria-00410248v1
	On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model Franco Flandoli , Massimiliano Gubinelli , Francesco Russo Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2009 Article dans une revue hal-00134623v1
	Wiener integrals, Malliavin calculus and covariance measure structure Ida Kruk , Francesco Russo , Ciprian A. Tudor Journal of Functional Analysis, 2007, 249 (1), pp.92-142. ⟨10.1016/j.jfa.2007.03.031⟩ Article dans une revue hal-00311406v1
	Elements of Stochastic Calculus via Regularisation Francesco Russo , Pierre Vallois Séminaire de Probabilités, 2007, 1899-2007, pp.147-185. ⟨10.1007/978-3-540-71189-6_7⟩ Article dans une revue hal-00020443v1
	On the bifractional Brownian motion Francesco Russo , Ciprian A. Tudor Stochastic Processes and their Applications, 2006, 116 (6), pp.830-856. ⟨10.1016/j.spa.2005.11.013⟩ Article dans une revue hal-00130627v1
	m-order integrals and generalized Ito's formula; the case of a fractional Brownian motion with any Hurst index Mihai Gradinaru , Ivan Nourdin , Francesco Russo , Pierre Vallois Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2005, 41, pp.781-806. ⟨10.1016/j.anihpb.2004.06.002⟩ Article dans une revue hal-00091310v1
	Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index H>=1/4 Mihai Gradinaru , Francesco Russo , Pierre Vallois Annals of Probability, 2003, 31, pp.1772-1820. ⟨10.1214/aop/1068646366⟩ Article dans une revue hal-00091324v1
	Itô's formula for C^1 functions of semimartingales Francesco Russo , Pierre Vallois Probability Theory and Related Fields, 1996 Article dans une revue hal-00974784v1

	McKean Feynman-Kac probabilistic representations of non-linear partial differential equations Lucas Izydorczyk , Nadia Oudjane , Francesco Russo Geometry and Invariance in Stochastic Dynamics, S. Ugolini et alia, 2019, Verona, Italy. ⟨10.1007/978-3-030-87432-2⟩ Communication dans un congrès hal-02397045v1

	Stochastic analysis : A series of lectures Franco Flandoli , Francesco Russo , Robert C. Dalang , Marco Dozzi Birkhäuser Verlag, 68, pp.xiii + 393, 2015, Progress in Probability Ouvrages hal-01273031v1
	Stochastic analysis, random fields and applications VII Francesco Russo , Robert C. Dalang , Marco Dozzi Birkhäuser Verlag, 67, pp.xi + 469, 2013, Progress in Probability Ouvrages hal-01273017v1
	Stochastic analysis, random fields and applications VI Robert C. Dalang , Francesco Russo , Marco Dozzi Birkhäuser Verlag, 63, pp.xi + 492, 2011, Progress in Probability Ouvrages hal-01272999v1
	Seminar on stochastic analysis, random fields and applications V Robert C. Dalang (ed.) , Marco Dozzi (ed.) , Francesco Russo Birkhäuser Verlag, pp.xi + 523, 2007 Ouvrages hal-00170032v1
	Seminar on stochastic analysis, random fields and applications IV Robert C. Dalang (ed.) , Marco Dozzi (ed.) , Francesco Russo Birkhäuser Verlag, pp.xii + 328, 2004 Ouvrages hal-00144001v1

	ABOUT SEMILINEAR LOW DIMENSION BESSEL PDEs Alberto Ohashi , Francesco Russo , Alan Teixeira 2024 Pré-publication, Document de travail hal-04530685v1
	Degenerate McKean-Vlasov equations with drift in anisotropic negative Besov spaces Elena Issoglio , Stefano Pagliarani , Francesco Russo , Davide Trevisani 2024 Pré-publication, Document de travail hal-04398701v1
	Characteristics and Itô's formula for weak Dirichlet processes: an equivalence result Elena Bandini , Francesco Russo 2023 Pré-publication, Document de travail hal-04019358v1
	An entropy penalized approach for stochastic control problems. Complete version Thibaut Bourdais , Nadia Oudjane , Francesco Russo 2023 Pré-publication, Document de travail hal-04193113v1
	REDUCED DISSIPATION EFFECT IN STOCHASTIC TRANSPORT BY GAUSSIAN NOISE WITH REGULARITY GREATER THAN 1/2 Franco Flandoli , Francesco Russo 2023 Pré-publication, Document de travail hal-04108818v1
	Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions Andrea Cosso , Fausto Gozzi , Mauro Rosestolato , Francesco Russo 2023 Pré-publication, Document de travail hal-03285204v3
	Path-dependent SDEs with jumps and irregular drift: well-posedness and Dirichlet properties Elena Bandini , Francesco Russo 2022 Pré-publication, Document de travail hal-03840544v1
	The identification problem for BSDEs driven by possibly non quasi-left-continuous random measures Elena Bandini , Francesco Russo 2020 Pré-publication, Document de travail hal-02448562v1
	A regularization approach to functional Itô calculus and strong-viscosity solutions to path-dependent PDEs Andrea Cosso , Francesco Russo 2015 Pré-publication, Document de travail hal-00933678v2
	Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations Anthony Lecavil , Nadia Oudjane , Francesco Russo 2015 Pré-publication, Document de travail hal-01142337v1
	Infinite dimensional weak Dirichlet processes, stochastic PDEs and optimal control Giorgio Fabbri , Francesco Russo 2014 Pré-publication, Document de travail hal-00720490v2
	A stochastic Fokker-Planck equation and double probabilistic representation for the stochastic porous media type equation. Viorel Barbu , Michael Röckner , Francesco Russo 2014 Pré-publication, Document de travail hal-00981113v1
	Gaussian and non-Gaussian processes of zero power variation, and related stochastic calculus. Francesco Russo , Frederi Viens 2014 Pré-publication, Document de travail hal-01024974v1
	Second Order PDEs with Dirichlet White Noise Boundary Condition Zdzislaw Brzezniak , Ben Goldys , Szymon Peszat , Francesco Russo 2013 Pré-publication, Document de travail hal-00825120v1
	On countably skewed Brownian motion with accumulation point. Youssef Ouknine , Francesco Russo , Gerald Trutnau 2013 Pré-publication, Document de travail hal-00850095v1
	Probabilistic representation for solutions of a porous media type equation with Neumann boundary condition: the case of the half-line. Ioana Ciotir , Francesco Russo 2013 Pré-publication, Document de travail hal-00812842v1
	Generalized covariation and extended Fukushima decompositions for Banach valued processes. Application to windows of Dirichlet processes. Cristina Di Girolami , Francesco Russo 2011 Pré-publication, Document de travail inria-00594871v1
	Infinite dimensional stochastic calculus via regularization Francesco Russo , Cristina Di Girolami 2010 Pré-publication, Document de travail inria-00473947v1
	A probabilistic algorithm approximating solutions of a singular PDE of porous media type Nadia Belaribi , François Cuvelier , Francesco Russo 2010 Pré-publication, Document de travail inria-00535806v1
	Malliavin-Skorohod calculus and Paley-Wiener integral for covariance singular processes Ida Kruk , Francesco Russo 2010 Pré-publication, Document de travail inria-00540914v1
	{Probabilistic representation for solutions of an irregular porous media type equation. Philippe Blanchard , Michael Röckner , Francesco Russo 2009 Pré-publication, Document de travail hal-00279975v2
	Variance Optimal Hedging for continuous time processes with independent increments and applications Stéphane Goutte , Nadia Oudjane , Francesco Russo 2009 Pré-publication, Document de travail inria-00437984v1
	SOME PARABOLIC PDEs WHOSE DRIFT IS AN IRREGULAR RANDOM NOISE IN SPACE Francesco Russo , Gerald Trutnau 2007 Pré-publication, Document de travail hal-00019856v3
	Wiener integrals, Malliavin calculus and covariance measure structure Ida Kruk , Francesco Russo , Ciprian Tudor 2007 Pré-publication, Document de travail hal-00078163v2
	Weak Dirichlet processes with a stochastic control perspective. Fausto Gozzi , Francesco Russo 2006 Pré-publication, Document de travail hal-00022839v1
	Modeling financial assets without semimartingale Rosanna Coviello , Francesco Russo 2006 Pré-publication, Document de travail hal-00082050v1
	Verification Theorems for Stochastic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition Fausto Gozzi , Francesco Russo 2006 Pré-publication, Document de travail hal-00022840v1
	Non-semimartingales: stochastic differential equations and weak Dirichlet processes Rosanna Coviello , Francesco Russo 2006 Pré-publication, Document de travail hal-00020068v1

Francesco Russo

Présentation

Publications

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

Weak Dirichlet processes and generalized martingale problems

McKean SDEs with singular coefficients

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

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

On some path-dependent SDEs involving distributional drifts

ROUGH PATHS AND REGULARIZATION

Martingale driven BSDEs, PDEs and other related deterministic problems

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.

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

Path-dependent Martingale Problems and Additive Functionals

Path dependent equations driven by Hölder processes

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

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

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

Special weak Dirichlet processes and BSDEs driven by a random measure

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

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

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

Weak Dirichlet processes with jumps

A note on time-dependent additive functionals

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

Doubly probabilistic representation for the stochastic porous media type equation.

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

Infinite dimensional weak Dirichlet processes and convolution type processes

Multidimensional stochastic differential equations with distributional drift

Infinite Dimensional Weak Dirichlet Processes and Convolution Type Processes

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

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

BSDEs, càdlàg martingale problems and orthogonalisation under basis risk.

The XJC-correspondence

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

Gaussian and non-Gaussian processes of zero power variation

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

The covariation for Banach space valued processes and applications

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

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

BSDEs under partial information and financial applications.

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

Variance optimal hedging for continuous time additive processes and applications

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

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

Probabilistic and deterministic algorithms for space multidimensional irregular porous media 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

On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model

Wiener integrals, Malliavin calculus and covariance measure structure

Elements of Stochastic Calculus via Regularisation

On the bifractional Brownian motion

m-order integrals and generalized Ito's formula; the case of a fractional Brownian motion with any Hurst index

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

Itô's formula for C^1 functions of semimartingales

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

Stochastic analysis : A series of lectures

Stochastic analysis, random fields and applications VII

Stochastic analysis, random fields and applications VI

Seminar on stochastic analysis, random fields and applications V

Seminar on stochastic analysis, random fields and applications IV

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

An entropy penalized approach for stochastic control problems. Complete version

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

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

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

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

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

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