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Francesco Russo

19

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9202

	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
	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
	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
	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
	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
	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
	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
	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
	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
	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
	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
	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

	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
	Infinite dimensional weak Dirichlet processes, stochastic PDEs and optimal control Giorgio Fabbri , Francesco Russo 2014 Pré-publication, Document de travail hal-00720490v2
	Malliavin-Skorohod calculus and Paley-Wiener integral for covariance singular processes Ida Kruk , Francesco Russo 2010 Pré-publication, Document de travail inria-00540914v1
	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