Edit Profile (opens in new tab) Russo, Francesco Co-Author Distance Author ID: russo.francesco.2 Published as: Russo, Francesco; Russo, F. Homepage: https://uma.ensta-paris.fr/~russo External Links: MGP · dblp Documents Indexed: 136 Publications since 1984, including 1 Book and 22 Additional arXiv Preprints 8 Contributions as Editor Co-Authors: 63 Co-Authors with 139 Joint Publications 1,499 Co-Co-Authors all top 5 Co-Authors 4 single-authored 15 Vallois, Pierre 13 Oudjane, Nadia 9 Flandoli, Franco 9 Ohashi, Alberto Masayoshi F. 8 Albeverio, Sergio A. 8 Dalang, Robert C. 8 Dozzi, Marco E. 7 Barrasso, Adrien 7 Cosso, Andrea 7 Di Girolami, Cristina 6 Issoglio, Elena 6 Léandre, Rémi 6 Röckner, Michael 5 Bandini, Elena 4 Barbu, Viorel 4 Fabbri, Giorgio 4 Goutte, Stéphane 4 Haba, Zbigniew 4 Le Cavil, Anthony 4 Oberguggenberger, Michael B. 3 Belaribi, Nadia 3 Coviello, Rosanna 3 Errami, Mohammed 3 Gielerak, Roman 3 Gozzi, Fausto 3 Izydorczyk, Lucas 3 Teixeira, Alan 3 Trutnau, Gerald 3 Viens, Frederi G. 3 Wolf, Jochen 2 Ceci, Claudia 2 Cretarola, Alessandra 2 Cuvelier, François 2 Gradinaru, Mihai 2 Gubinelli, Massimiliano 2 Kruk, Ida 2 Laachir, Ismail 2 Peszat, Szymon 2 Tudor, Ciprian A. 1 Andretto Castrequini, Rafael 1 Bessaih, Hakima 1 Bezerra, Sérgio C. 1 Blanchard, Philippe 1 Bolthausen, Erwin 1 Bourdais, Thibaut 1 Brzeźniak, Zdzisław 1 Ceccarelli, Michele 1 Ciotir, Ioana 1 de Souza, Francys Andrews 1 Goldys, Beniamin 1 Hénaff, Patrick 1 Leão, Dorival 1 Lieber, Jonas 1 Maratea, Antonio 1 Nourdin, Ivan 1 Ouknine, Youssef 1 Pagliarani, Stefano 1 Qian, Zhongmin M. 1 Rosestolato, Mauro 1 Shamarova, Èvelina Yur’evna 1 Tessitore, Gianmario 1 Trevisani, Davide 1 Wurzer, Lukas 1 Zanco, Giovanni 1 Zheng, Weian all top 5 Serials 11 Stochastic Processes and their Applications 8 Progress in Probability 7 Probability Theory and Related Fields 6 The Annals of Probability 5 Bernoulli 5 Stochastics and Dynamics 4 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 3 Journal of Functional Analysis 3 Osaka Journal of Mathematics 3 Stochastic Analysis and Applications 3 Stochastics and Stochastics Reports 3 Monte Carlo Methods and Applications 2 Journal of Theoretical Probability 2 Comptes Rendus de l’Académie des Sciences. Série I 2 Potential Analysis 2 Random Operators and Stochastic Equations 2 Electronic Journal of Probability 2 Markov Processes and Related Fields 2 Infinite Dimensional Analysis, Quantum Probability and Related Topics 2 Journal of Evolution Equations 2 Stochastics 2 ALEA. Latin American Journal of Probability and Mathematical Statistics 2 Stochastic and Partial Differential Equations. Analysis and Computations 1 Metrika 1 Journal of Applied Probability 1 Journal of Multivariate Analysis 1 SIAM Journal on Control and Optimization 1 Transactions of the American Mathematical Society 1 Differential and Integral Equations 1 Journal de Mathématiques Pures et Appliquées. Neuvième Série 1 Journal of Physics A: Mathematical and General 1 Expositiones Mathematicae 1 NoDEA. Nonlinear Differential Equations and Applications 1 Bulletin des Sciences Mathématiques 1 Integral Transforms and Special Functions 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Comptes Rendus de l’Académie des Sciences. Série I. Mathématique 1 Methodology and Computing in Applied Probability 1 Comptes Rendus. Mathématique. Académie des Sciences, Paris 1 SIAM Journal on Financial Mathematics 1 Bocconi & Springer Series 1 Modern Stochastics. Theory and Applications all top 5 Fields 119 Probability theory and stochastic processes (60-XX) 43 Partial differential equations (35-XX) 11 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 8 General and overarching topics; collections (00-XX) 7 Numerical analysis (65-XX) 6 Fluid mechanics (76-XX) 4 Operator theory (47-XX) 4 Global analysis, analysis on manifolds (58-XX) 4 Statistical mechanics, structure of matter (82-XX) 3 Calculus of variations and optimal control; optimization (49-XX) 3 Quantum theory (81-XX) 3 Systems theory; control (93-XX) 2 Potential theory (31-XX) 2 Computer science (68-XX) 1 History and biography (01-XX) 1 Ordinary differential equations (34-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Integral equations (45-XX) 1 Functional analysis (46-XX) 1 Statistics (62-XX) 1 Mechanics of deformable solids (74-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 101 Publications have been cited 1,333 times in 651 Documents Cited by ▼ Year ▼ Forward, backward and symmetric stochastic integration. Zbl 0792.60046 Russo, Francesco; Vallois, Pierre 133 1993 Stochastic calculus with respect to continuous finite quadratic variation processes. Zbl 0981.60053 Russo, Francesco; Vallois, Pierre 60 2000 \(m\)-order integrals and generalized Itô’s formula; the case of a fractional Brownian motion with any Hurst index. Zbl 1083.60045 Gradinaru, Mihai; Nourdin, Ivan; Russo, Francesco; Vallois, Pierre 58 2005 The generalized covariation process and Itô formula. Zbl 0840.60052 Russo, Francesco; Vallois, Pierre 56 1995 Elements of stochastic calculus via regularization. Zbl 1126.60045 Russo, Francesco; Vallois, Pierre 55 2007 On bifractional Brownian motion. Zbl 1100.60019 Russo, Francesco; Tudor, Ciprian A. 54 2006 Wiener integrals, Malliavin calculus and covariance measure structure. Zbl 1126.60046 Kruk, Ida; Russo, Francesco; Tudor, Ciprian A. 40 2007 Ito formula for \(C^ 1\)-functions of semimartingales. Zbl 0838.60045 Russo, F.; Vallois, P. 39 1996 Some SDEs with distributional drift. I: General calculus. Zbl 1054.60069 Flandoli, Franco; Russo, Francesco; Wolf, Jochen 37 2003 \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes. Zbl 1075.60531 Errami, Mohammed; Russo, Francesco 35 2003 Generalized covariations, local time and Stratonovich Itô’s formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\). Zbl 1059.60067 Gradinaru, Mihai; Russo, Francesco; Vallois, Pierre 34 2003 Multidimensional stochastic differential equations with distributional drift. Zbl 1355.60074 Flandoli, Franco; Issoglio, Elena; Russo, Francesco 33 2017 Some SDEs with distributional drift. II: Lyons-Zheng structure, Itô’s formula and semimartingale characterization. Zbl 1088.60058 Flandoli, Franco; Russo, Francesco; Wolf, Jochen 29 2004 Some parabolic PDEs whose drift is an irregular random noise in space. Zbl 1147.60042 Russo, Francesco; Trutnau, Gerald 24 2007 Weak Dirichlet processes with a stochastic control perspective. Zbl 1113.60036 Gozzi, Fausto; Russo, Francesco 22 2006 Itô’s formula for \(C^{1,\lambda}\)-functions of a càdlàg process and related calculus. Zbl 0999.60048 Errami, Mohammed; Russo, Francesco; Vallois, Pierre 20 2002 A two-space dimensional semilinear heat equation perturbed by (Gaussian) white noise. Zbl 0993.60062 Albeverio, Sergio; Haba, Zbignew; Russo, Francesco 20 2001 Verification theorems for stochastic optimal control problems via a time dependent Fukushima–Dirichlet decomposition. Zbl 1115.49023 Gozzi, Fausto; Russo, Francesco 19 2006 Probabilistic representation for solutions of an irregular porous media type equation. Zbl 1202.60111 Blanchard, Philippe; Röckner, Michael; Russo, Francesco 19 2010 Nonlinear stochastic wave equations. Zbl 0912.60072 Oberguggenberger, M.; Russo, F. 18 1998 Probabilistic representation for solutions of an irregular porous media type equation: The degenerate case. Zbl 1227.60088 Barbu, Viorel; Röckner, Michael; Russo, Francesco 18 2011 Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations. Zbl 1356.60085 Cosso, Andrea; Russo, Francesco 18 2016 Trivial solutions for a nonlinear two-space dimensional wave equation perturbed by space-time white noise. Zbl 0887.60069 Albeverio, Sergio; Haba, Zbigniew; Russo, Francesco 17 1996 Strong-viscosity solutions: classical and path-dependent PDEs. Zbl 1428.35079 Cosso, Andrea; Russo, Francesco 17 2019 BSDEs under partial information and financial applications. Zbl 1329.60174 Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco 16 2014 Generalized covariation for Banach space valued processes, Itō formula and applications. Zbl 1308.60039 Di Girolami, Cristina; Russo, Francesco 16 2014 Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations. Zbl 1390.60211 Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 14 2018 Probabilistic representation of a class of non-conservative nonlinear partial differential equations. Zbl 1355.60089 Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 14 2016 Generalized integration and stochastic ODEs. Zbl 1022.60054 Flandoli, Franco; Russo, Francesco 14 2002 Stochastic porous media equations in \(\mathbb R^d\). Zbl 1405.76047 Barbu, Viorel; Röckner, Michael; Russo, Francesco 14 2015 Comparison theorem and estimates for transition probability densities of diffusion processes. Zbl 1050.60061 Qian, Zhongmin; Russo, Francesco; Zheng, Weian 13 2003 Estimation de Varadhan pour des diffusions à deux paremètres. (Varadhan estimator for two-parameter diffusions). Zbl 0665.60057 Léandre, Rémi; Russo, Francesco 11 1990 Nonsemimartingales: stochastic differential equations and weak Dirichlet processes. Zbl 1127.60055 Coviello, Rosanna; Russo, Francesco 11 2007 Generalized covariation and extended Fukushima decomposition for Banach space-valued processes: applications to windows of Dirichlet processes. Zbl 1279.60067 Di Girolami, Cristina; Russo, Francesco 11 2012 Clark-Ocone type formula for non-semimartingales with finite quadratic variation. Zbl 1225.60087 Di Girolami, Cristina; Russo, Francesco 11 2011 On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model. Zbl 1171.76019 Flandoli, Franco; Gubinelli, Massimiliano; Russo, Francesco 11 2009 Nonlinear SPDEs: Colombeau solutions and pathwise limits. Zbl 0904.60048 Oberguggenberger, Michael; Russo, Francesco 11 1998 Intégrales progressive, rétrograde et symétrique de processus non adaptés. (Forward, backward and symmetric integrals of non adapted processes). Zbl 0723.60058 Russo, Francesco; Vallois, Pierre 11 1991 Second order PDEs with Dirichlet white noise boundary conditions. Zbl 1317.60075 Brzeźniak, Zdzisław; Goldys, Ben; Peszat, Szymon; Russo, Francesco 11 2015 Uniqueness for Fokker-Planck equations with measurable coefficients and applications to the fast diffusion equation. Zbl 1268.82024 Belaribi, Nadia; Russo, Francesco 10 2012 On countably skewed Brownian motion with accumulation point. Zbl 1327.31023 Trutnau, Gerald; Ouknine, Youssef; Russo, Francesco 10 2015 Variance optimal hedging for continuous time additive processes and applications. Zbl 1306.60047 Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco 10 2014 GKW representation theorem under restricted information. An application to risk-minimization. Zbl 1300.60061 Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco 10 2014 About a construction and some analysis of time inhomogeneous diffusions on monotonely moving domains. Zbl 1071.60069 Russo, Francesco; Trutnau, Gerald 9 2005 Weak Dirichlet processes with jumps. Zbl 1374.60163 Bandini, Elena; Russo, Francesco 9 2017 Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales. Zbl 1453.60114 Barrasso, Adrien; Russo, Francesco 9 2020 The covariation for Banach space valued processes and applications. Zbl 1455.60073 Di Girolami, Cristina; Fabbri, Giorgio; Russo, Francesco 9 2014 Covariation of convolution of martingales. (Covariation de convolution de martingales.) Zbl 0917.60054 Errami, Mohammed; Russo, Francesco 8 1998 On stochastic calculus related to financial assets without semimartingales. Zbl 1233.91337 Coviello, Rosanna; di Girolami, Cristina; Russo, Francesco 8 2011 A generalized class of Lyons-Zheng processes. Zbl 0988.60053 Russo, Francesco; Vallois, Pierre; Wolf, Jochen 8 2001 Singular limiting behavior in nonlinear stochastic wave equations. Zbl 0987.60075 Oberguggenberger, Michael; Russo, Francesco 8 2001 Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations. Zbl 1368.65010 Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 8 2017 Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation. Zbl 1482.35072 Cosso, Andrea; Russo, Francesco 8 2022 The evolution of a random vortex filament. Zbl 1084.60030 Bessaih, Hakima; Gubinelli, Massimiliano; Russo, Francesco 7 2005 Functional and Banach space stochastic calculi: path-dependent Kolmogorov equations associated with the frame of a Brownian motion. Zbl 1338.60138 Cosso, Andrea; Russo, Francesco 7 2016 Special weak Dirichlet processes and BSDEs driven by a random measure. Zbl 1429.60051 Bandini, Elena; Russo, Francesco 6 2018 Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time. Zbl 1367.60086 Russo, Francesco; Wurzer, Lukas 6 2017 Probabilistic and deterministic algorithms for space multidimensional irregular porous media equation. Zbl 1426.76626 Belaribi, Nadia; Cuvelier, François; Russo, Francesco 6 2013 White noise driven stochastic partial differential equations: Triviality and non-triviality. Zbl 0937.35193 Russo, Francesco; Oberguggenberger, Michael 5 1999 Product of two multiple stochastic integrals with respect to a normal martingale. Zbl 0946.60033 Russo, Francesco; Vallois, Pierre 5 1998 Non-causal stochastic integration for lad lag processes. Zbl 0829.60046 Russo, Francesco; Vallois, Pierre 5 1993 A probabilistic algorithm approximating solutions of a singular PDE of porous media type. Zbl 1452.65023 Belaribi, Nadia; Cuvelier, François; Russo, Francesco 5 2011 Uniqueness for a class of stochastic Fokker-Planck and porous media equations. Zbl 1377.35297 Röckner, Michael; Russo, Francesco 5 2017 Generalized calculus and SDEs with non regular drift. Zbl 1007.60046 Flandoli, Franco; Russo, Francesco 5 2002 A prediction problem for the Brownian sheet. Zbl 0664.60052 Dalang, Robert C.; Russo, Francesco 4 1988 Doubly probabilistic representation for the stochastic porous media type equation. Zbl 1387.35635 Barbu, Viorel; Röckner, Michael; Russo, Francesco 4 2017 BSDEs, càdlàg martingale problems, and orthogonalization under basis risk. Zbl 1414.91381 Laachir, Ismail; Russo, Francesco 4 2016 Infinite-dimensional calculus under weak spatial regularity of the processes. Zbl 1429.60053 Flandoli, Franco; Russo, Francesco; Zanco, Giovanni 4 2018 Martingale driven BSDEs, PDEs and other related deterministic problems. Zbl 1469.60217 Barrasso, Adrien; Russo, Francesco 4 2021 Path-dependent martingale problems and additive functionals. Zbl 1418.60092 Barrasso, Adrien; Russo, Francesco 4 2019 Étude de la propriété de Markov étroite en rélation avec les processus planaires à accroissements indépendants. Zbl 0537.60025 Russo, Francesco 3 1984 Small stochastic perturbation of a one-dimensional wave equation. Zbl 0790.60053 Léandre, Rémi; Russo, Francesco 3 1992 A Feynman-Kac result via Markov BSDEs with generalised drivers. Zbl 1462.60075 Issoglio, Elena; Russo, Francesco 3 2020 Path dependent equations driven by Hölder processes. Zbl 1432.60058 Andretto Castrequini, Rafael; Russo, Francesco 3 2019 On the well-posedness of a class of McKean Feynman-Kac equations. Zbl 1458.60069 Lieber, Jonas; Oudjane, Nadia; Russo, Francesco 3 2019 About classical solutions of the path-dependent heat equation. Zbl 1457.60106 Di Girolami, Cristina; Russo, Francesco 3 2020 Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations. Zbl 1415.60056 Cosso, Andrea; Di Girolami, Cristina; Russo, Francesco 3 2016 Forward Feynman-Kac type representation for semilinear non-conservative partial differential equations. Zbl 1492.60174 Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 3 2019 Constructive approach to the global Markov property in Euclidean quantum field theory. I: Construction of transition kernels. Zbl 0934.60049 Albeverio, S.; Gielerak, R.; Russo, F. 2 1997 Density estimates for stochastic partial differential equations. Zbl 0831.60073 Léandre, Rémi; Russo, Francesco 2 1995 On the paths Hölder continuity in models of Euclidean quantum field theory. Zbl 0994.60096 Albeverio, Sergio; Gielerak, Roman; Russo, Francesco 2 2001 Large-noise asymptotic for one-dimensional diffusions. Zbl 1072.60014 Peszat, Szymon; Russo, Francesco 2 2005 Infinite dimensional weak Dirichlet processes and convolution type processes. Zbl 1353.60062 Fabbri, Giorgio; Russo, Francesco 2 2017 Stochastic analysis: a series of lectures. Centre Interfacultaire Bernoulli, January – June 2012, École Polytechnique Fédérale Lausanne, Switzerland. Zbl 1330.60004 2 2015 Fokker-Planck equations with terminal condition and related McKean probabilistic representation. Zbl 1490.60168 Izydorczyk, Lucas; Oudjane, Nadia; Russo, Francesco; Tessitore, Gianmario 2 2022 McKean Feynman-Kac probabilistic representations of non-linear partial differential equations. Zbl 1499.60189 Izydorczyk, Lucas; Oudjane, Nadia; Russo, Francesco 2 2021 On path-dependent SDEs involving distributional drifts. Zbl 1489.60104 Ohashi, Alberto; Russo, Francesco; Teixeira, Alan 2 2022 Smoothness of densities for path-dependent SDEs under Hörmander’s condition. Zbl 1495.60046 Ohashi, Alberto; Russo, Francesco; Shamarova, Evelina 2 2021 On some expectation and derivative operators related to integral representations of random variables with respect to a PII process. Zbl 1288.60058 Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco 2 2013 Backward stochastic differential equations with no driving martingale, Markov processes and associated pseudo-partial differential equations. II: Decoupled mild solutions and examples. Zbl 1484.60060 Barrasso, Adrien; Russo, Francesco 2 2021 A prediction problem for Gaussian planar processes which are Markovian with respect to increasing and decreasing paths. Zbl 0632.60033 Russo, Francesco 1 1987 Estimation of the density of the solution of the robust Zakaï equation. (Estimation de la densité de la solution de l’équation de Zakaï robuste.) Zbl 0842.60059 Léandre, R.; Russo, F. 1 1995 Stochastic partial differential equations, infinite dimensional stochastic processes and random fields: A short introduction. Zbl 0919.35152 Albeverio, Sergio; Russo, Francesco 1 1996 Seminar on stochastic analysis, random fields and applications IV, Centro Stefano Franscini, Ascona, Switzerland, May 20–24, 2002. Proceedings. Zbl 1048.60002 1 2004 Estimation de densité pour une équation des ondes faiblement perturbée par un bruit blanc. (Density estimates for a wave equation which is slightly perturbed by a white noise). Zbl 0713.60084 Léandre, Rémi; Russo, Francesco 1 1990 Stationary solutions of stochastic parabolic and hyperbolic sine-Gordon equations. Zbl 0793.60069 Albeverio, S.; Haba, Z.; Russo, F. 1 1993 A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems. Zbl 1480.60181 Izydorczyk, Lucas; Oudjane, Nadia; Russo, Francesco 1 2021 Discrete-type approximations for non-Markovian optimal stopping problems. I. Zbl 1427.60069 Leão, Dorival; Ohashi, Alberto; Russo, Francesco 1 2019 Discrete-type approximations for non-Markovian optimal stopping problems. II. Zbl 1455.93208 Bezerra, Sérgio C.; Ohashi, Alberto; Russo, Francesco; de Souza, Francys 1 2020 Stochastic calculus via regularizations. Zbl 07555486 Russo, Francesco; Vallois, Pierre 1 2022 Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation. Zbl 1482.35072 Cosso, Andrea; Russo, Francesco 8 2022 Fokker-Planck equations with terminal condition and related McKean probabilistic representation. Zbl 1490.60168 Izydorczyk, Lucas; Oudjane, Nadia; Russo, Francesco; Tessitore, Gianmario 2 2022 On path-dependent SDEs involving distributional drifts. Zbl 1489.60104 Ohashi, Alberto; Russo, Francesco; Teixeira, Alan 2 2022 Stochastic calculus via regularizations. Zbl 07555486 Russo, Francesco; Vallois, Pierre 1 2022 Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes. Zbl 1495.60060 Barrasso, Adrien; Russo, Francesco 1 2022 Martingale driven BSDEs, PDEs and other related deterministic problems. Zbl 1469.60217 Barrasso, Adrien; Russo, Francesco 4 2021 McKean Feynman-Kac probabilistic representations of non-linear partial differential equations. Zbl 1499.60189 Izydorczyk, Lucas; Oudjane, Nadia; Russo, Francesco 2 2021 Smoothness of densities for path-dependent SDEs under Hörmander’s condition. Zbl 1495.60046 Ohashi, Alberto; Russo, Francesco; Shamarova, Evelina 2 2021 Backward stochastic differential equations with no driving martingale, Markov processes and associated pseudo-partial differential equations. II: Decoupled mild solutions and examples. Zbl 1484.60060 Barrasso, Adrien; Russo, Francesco 2 2021 A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems. Zbl 1480.60181 Izydorczyk, Lucas; Oudjane, Nadia; Russo, Francesco 1 2021 Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales. Zbl 1453.60114 Barrasso, Adrien; Russo, Francesco 9 2020 A Feynman-Kac result via Markov BSDEs with generalised drivers. Zbl 1462.60075 Issoglio, Elena; Russo, Francesco 3 2020 About classical solutions of the path-dependent heat equation. Zbl 1457.60106 Di Girolami, Cristina; Russo, Francesco 3 2020 Discrete-type approximations for non-Markovian optimal stopping problems. II. Zbl 1455.93208 Bezerra, Sérgio C.; Ohashi, Alberto; Russo, Francesco; de Souza, Francys 1 2020 Strong-viscosity solutions: classical and path-dependent PDEs. Zbl 1428.35079 Cosso, Andrea; Russo, Francesco 17 2019 Path-dependent martingale problems and additive functionals. Zbl 1418.60092 Barrasso, Adrien; Russo, Francesco 4 2019 Path dependent equations driven by Hölder processes. Zbl 1432.60058 Andretto Castrequini, Rafael; Russo, Francesco 3 2019 On the well-posedness of a class of McKean Feynman-Kac equations. Zbl 1458.60069 Lieber, Jonas; Oudjane, Nadia; Russo, Francesco 3 2019 Forward Feynman-Kac type representation for semilinear non-conservative partial differential equations. Zbl 1492.60174 Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 3 2019 Discrete-type approximations for non-Markovian optimal stopping problems. I. Zbl 1427.60069 Leão, Dorival; Ohashi, Alberto; Russo, Francesco 1 2019 Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations. Zbl 1390.60211 Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 14 2018 Special weak Dirichlet processes and BSDEs driven by a random measure. Zbl 1429.60051 Bandini, Elena; Russo, Francesco 6 2018 Infinite-dimensional calculus under weak spatial regularity of the processes. Zbl 1429.60053 Flandoli, Franco; Russo, Francesco; Zanco, Giovanni 4 2018 Multidimensional stochastic differential equations with distributional drift. Zbl 1355.60074 Flandoli, Franco; Issoglio, Elena; Russo, Francesco 33 2017 Weak Dirichlet processes with jumps. Zbl 1374.60163 Bandini, Elena; Russo, Francesco 9 2017 Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations. Zbl 1368.65010 Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 8 2017 Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time. Zbl 1367.60086 Russo, Francesco; Wurzer, Lukas 6 2017 Uniqueness for a class of stochastic Fokker-Planck and porous media equations. Zbl 1377.35297 Röckner, Michael; Russo, Francesco 5 2017 Doubly probabilistic representation for the stochastic porous media type equation. Zbl 1387.35635 Barbu, Viorel; Röckner, Michael; Russo, Francesco 4 2017 Infinite dimensional weak Dirichlet processes and convolution type processes. Zbl 1353.60062 Fabbri, Giorgio; Russo, Francesco 2 2017 Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations. Zbl 1356.60085 Cosso, Andrea; Russo, Francesco 18 2016 Probabilistic representation of a class of non-conservative nonlinear partial differential equations. Zbl 1355.60089 Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 14 2016 Functional and Banach space stochastic calculi: path-dependent Kolmogorov equations associated with the frame of a Brownian motion. Zbl 1338.60138 Cosso, Andrea; Russo, Francesco 7 2016 BSDEs, càdlàg martingale problems, and orthogonalization under basis risk. Zbl 1414.91381 Laachir, Ismail; Russo, Francesco 4 2016 Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations. Zbl 1415.60056 Cosso, Andrea; Di Girolami, Cristina; Russo, Francesco 3 2016 Stochastic porous media equations in \(\mathbb R^d\). Zbl 1405.76047 Barbu, Viorel; Röckner, Michael; Russo, Francesco 14 2015 Second order PDEs with Dirichlet white noise boundary conditions. Zbl 1317.60075 Brzeźniak, Zdzisław; Goldys, Ben; Peszat, Szymon; Russo, Francesco 11 2015 On countably skewed Brownian motion with accumulation point. Zbl 1327.31023 Trutnau, Gerald; Ouknine, Youssef; Russo, Francesco 10 2015 Stochastic analysis: a series of lectures. Centre Interfacultaire Bernoulli, January – June 2012, École Polytechnique Fédérale Lausanne, Switzerland. Zbl 1330.60004 2 2015 BSDEs under partial information and financial applications. Zbl 1329.60174 Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco 16 2014 Generalized covariation for Banach space valued processes, Itō formula and applications. Zbl 1308.60039 Di Girolami, Cristina; Russo, Francesco 16 2014 Variance optimal hedging for continuous time additive processes and applications. Zbl 1306.60047 Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco 10 2014 GKW representation theorem under restricted information. An application to risk-minimization. Zbl 1300.60061 Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco 10 2014 The covariation for Banach space valued processes and applications. Zbl 1455.60073 Di Girolami, Cristina; Fabbri, Giorgio; Russo, Francesco 9 2014 Probabilistic and deterministic algorithms for space multidimensional irregular porous media equation. Zbl 1426.76626 Belaribi, Nadia; Cuvelier, François; Russo, Francesco 6 2013 On some expectation and derivative operators related to integral representations of random variables with respect to a PII process. Zbl 1288.60058 Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco 2 2013 Generalized covariation and extended Fukushima decomposition for Banach space-valued processes: applications to windows of Dirichlet processes. Zbl 1279.60067 Di Girolami, Cristina; Russo, Francesco 11 2012 Uniqueness for Fokker-Planck equations with measurable coefficients and applications to the fast diffusion equation. Zbl 1268.82024 Belaribi, Nadia; Russo, Francesco 10 2012 Probabilistic representation for solutions of an irregular porous media type equation: The degenerate case. Zbl 1227.60088 Barbu, Viorel; Röckner, Michael; Russo, Francesco 18 2011 Clark-Ocone type formula for non-semimartingales with finite quadratic variation. Zbl 1225.60087 Di Girolami, Cristina; Russo, Francesco 11 2011 On stochastic calculus related to financial assets without semimartingales. Zbl 1233.91337 Coviello, Rosanna; di Girolami, Cristina; Russo, Francesco 8 2011 A probabilistic algorithm approximating solutions of a singular PDE of porous media type. Zbl 1452.65023 Belaribi, Nadia; Cuvelier, François; Russo, Francesco 5 2011 Probabilistic representation for solutions of an irregular porous media type equation. Zbl 1202.60111 Blanchard, Philippe; Röckner, Michael; Russo, Francesco 19 2010 On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model. Zbl 1171.76019 Flandoli, Franco; Gubinelli, Massimiliano; Russo, Francesco 11 2009 Elements of stochastic calculus via regularization. Zbl 1126.60045 Russo, Francesco; Vallois, Pierre 55 2007 Wiener integrals, Malliavin calculus and covariance measure structure. Zbl 1126.60046 Kruk, Ida; Russo, Francesco; Tudor, Ciprian A. 40 2007 Some parabolic PDEs whose drift is an irregular random noise in space. Zbl 1147.60042 Russo, Francesco; Trutnau, Gerald 24 2007 Nonsemimartingales: stochastic differential equations and weak Dirichlet processes. Zbl 1127.60055 Coviello, Rosanna; Russo, Francesco 11 2007 On bifractional Brownian motion. Zbl 1100.60019 Russo, Francesco; Tudor, Ciprian A. 54 2006 Weak Dirichlet processes with a stochastic control perspective. Zbl 1113.60036 Gozzi, Fausto; Russo, Francesco 22 2006 Verification theorems for stochastic optimal control problems via a time dependent Fukushima–Dirichlet decomposition. Zbl 1115.49023 Gozzi, Fausto; Russo, Francesco 19 2006 \(m\)-order integrals and generalized Itô’s formula; the case of a fractional Brownian motion with any Hurst index. Zbl 1083.60045 Gradinaru, Mihai; Nourdin, Ivan; Russo, Francesco; Vallois, Pierre 58 2005 About a construction and some analysis of time inhomogeneous diffusions on monotonely moving domains. Zbl 1071.60069 Russo, Francesco; Trutnau, Gerald 9 2005 The evolution of a random vortex filament. Zbl 1084.60030 Bessaih, Hakima; Gubinelli, Massimiliano; Russo, Francesco 7 2005 Large-noise asymptotic for one-dimensional diffusions. Zbl 1072.60014 Peszat, Szymon; Russo, Francesco 2 2005 Some SDEs with distributional drift. II: Lyons-Zheng structure, Itô’s formula and semimartingale characterization. Zbl 1088.60058 Flandoli, Franco; Russo, Francesco; Wolf, Jochen 29 2004 Seminar on stochastic analysis, random fields and applications IV, Centro Stefano Franscini, Ascona, Switzerland, May 20–24, 2002. Proceedings. Zbl 1048.60002 1 2004 Some SDEs with distributional drift. I: General calculus. Zbl 1054.60069 Flandoli, Franco; Russo, Francesco; Wolf, Jochen 37 2003 \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes. Zbl 1075.60531 Errami, Mohammed; Russo, Francesco 35 2003 Generalized covariations, local time and Stratonovich Itô’s formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\). Zbl 1059.60067 Gradinaru, Mihai; Russo, Francesco; Vallois, Pierre 34 2003 Comparison theorem and estimates for transition probability densities of diffusion processes. Zbl 1050.60061 Qian, Zhongmin; Russo, Francesco; Zheng, Weian 13 2003 Itô’s formula for \(C^{1,\lambda}\)-functions of a càdlàg process and related calculus. Zbl 0999.60048 Errami, Mohammed; Russo, Francesco; Vallois, Pierre 20 2002 Generalized integration and stochastic ODEs. Zbl 1022.60054 Flandoli, Franco; Russo, Francesco 14 2002 Generalized calculus and SDEs with non regular drift. Zbl 1007.60046 Flandoli, Franco; Russo, Francesco 5 2002 A two-space dimensional semilinear heat equation perturbed by (Gaussian) white noise. Zbl 0993.60062 Albeverio, Sergio; Haba, Zbignew; Russo, Francesco 20 2001 A generalized class of Lyons-Zheng processes. Zbl 0988.60053 Russo, Francesco; Vallois, Pierre; Wolf, Jochen 8 2001 Singular limiting behavior in nonlinear stochastic wave equations. Zbl 0987.60075 Oberguggenberger, Michael; Russo, Francesco 8 2001 On the paths Hölder continuity in models of Euclidean quantum field theory. Zbl 0994.60096 Albeverio, Sergio; Gielerak, Roman; Russo, Francesco 2 2001 Stochastic calculus with respect to continuous finite quadratic variation processes. Zbl 0981.60053 Russo, Francesco; Vallois, Pierre 60 2000 White noise driven stochastic partial differential equations: Triviality and non-triviality. Zbl 0937.35193 Russo, Francesco; Oberguggenberger, Michael 5 1999 Nonlinear stochastic wave equations. Zbl 0912.60072 Oberguggenberger, M.; Russo, F. 18 1998 Nonlinear SPDEs: Colombeau solutions and pathwise limits. Zbl 0904.60048 Oberguggenberger, Michael; Russo, Francesco 11 1998 Covariation of convolution of martingales. (Covariation de convolution de martingales.) Zbl 0917.60054 Errami, Mohammed; Russo, Francesco 8 1998 Product of two multiple stochastic integrals with respect to a normal martingale. Zbl 0946.60033 Russo, Francesco; Vallois, Pierre 5 1998 Constructive approach to the global Markov property in Euclidean quantum field theory. I: Construction of transition kernels. Zbl 0934.60049 Albeverio, S.; Gielerak, R.; Russo, F. 2 1997 Ito formula for \(C^ 1\)-functions of semimartingales. Zbl 0838.60045 Russo, F.; Vallois, P. 39 1996 Trivial solutions for a nonlinear two-space dimensional wave equation perturbed by space-time white noise. Zbl 0887.60069 Albeverio, Sergio; Haba, Zbigniew; Russo, Francesco 17 1996 Stochastic partial differential equations, infinite dimensional stochastic processes and random fields: A short introduction. Zbl 0919.35152 Albeverio, Sergio; Russo, Francesco 1 1996 The generalized covariation process and Itô formula. Zbl 0840.60052 Russo, Francesco; Vallois, Pierre 56 1995 Density estimates for stochastic partial differential equations. Zbl 0831.60073 Léandre, Rémi; Russo, Francesco 2 1995 Estimation of the density of the solution of the robust Zakaï equation. (Estimation de la densité de la solution de l’équation de Zakaï robuste.) Zbl 0842.60059 Léandre, R.; Russo, F. 1 1995 Forward, backward and symmetric stochastic integration. Zbl 0792.60046 Russo, Francesco; Vallois, Pierre 133 1993 Non-causal stochastic integration for lad lag processes. Zbl 0829.60046 Russo, Francesco; Vallois, Pierre 5 1993 Stationary solutions of stochastic parabolic and hyperbolic sine-Gordon equations. Zbl 0793.60069 Albeverio, S.; Haba, Z.; Russo, F. 1 1993 Small stochastic perturbation of a one-dimensional wave equation. Zbl 0790.60053 Léandre, Rémi; Russo, Francesco 3 1992 Intégrales progressive, rétrograde et symétrique de processus non adaptés. (Forward, backward and symmetric integrals of non adapted processes). Zbl 0723.60058 Russo, Francesco; Vallois, Pierre 11 1991 Estimation de Varadhan pour des diffusions à deux paremètres. (Varadhan estimator for two-parameter diffusions). Zbl 0665.60057 Léandre, Rémi; Russo, Francesco 11 1990 Estimation de densité pour une équation des ondes faiblement perturbée par un bruit blanc. (Density estimates for a wave equation which is slightly perturbed by a white noise). Zbl 0713.60084 Léandre, Rémi; Russo, Francesco 1 1990 A prediction problem for the Brownian sheet. Zbl 0664.60052 Dalang, Robert C.; Russo, Francesco 4 1988 A prediction problem for Gaussian planar processes which are Markovian with respect to increasing and decreasing paths. Zbl 0632.60033 Russo, Francesco 1 1987 ...and 1 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 717 Authors 68 Russo, Francesco 25 Nualart, David 24 Yan, Litan 23 Tudor, Ciprian A. 19 Gubinelli, Massimiliano 17 Röckner, Michael 14 Flandoli, Franco 14 Nourdin, Ivan 12 Olivera, Christian 11 Albeverio, Sergio A. 11 Øksendal, Bernt Karsten 10 Barbu, Viorel 9 Catuogno, Pedro José 9 Hu, Yaozhong 9 Issoglio, Elena 9 Tindel, Samy 9 Trutnau, Gerald 9 Vallois, Pierre 8 Belopol’skaya, Yana Isaevna 8 León, Jorge A. 8 Ohashi, Alberto Masayoshi F. 8 Oudjane, Nadia 8 Perkowski, Nicolas 8 Rovira, Carles 7 Cosso, Andrea 7 Di Girolami, Cristina 7 Sun, Xichao 6 Bandini, Elena 6 Barrasso, Adrien 6 Ceci, Claudia 6 Cretarola, Alessandra 6 Di Nunno, Giulia 6 Sanz-Solé, Marta 6 Shen, Guangjun 6 Zähle, Martina 5 Chen, Chao 5 Cordoni, Francesco Giuseppe 5 Dalang, Robert C. 5 Di Persio, Luca 5 Diop, Mamadou Abdoul 5 Gozzi, Fausto 5 Harnett, Daniel 5 Hinz, Michael 5 Márquez-Carreras, David 5 Oberguggenberger, Michael B. 5 Oh, Tadahiro 5 Peszat, Szymon 5 Proske, Frank Norbert 5 Seleši, Dora 5 Unterberger, Jérémie M. 5 Yu, Xianye 4 Chaudru De Raynal, Paul-Eric 4 Colaneri, Katia 4 Es-Sebaiy, Khalifa 4 Gess, Benjamin 4 Hairer, Martin 4 Le Cavil, Anthony 4 Le, Khoa 4 Léandre, Rémi 4 Leão, Dorival 4 Liu, Junfeng 4 Menozzi, Stéphane 4 Mishura, Yuliya Stepanivna 4 Pilipović, Stevan 4 Torres, Soledad 4 Viens, Frederi G. 4 Xiao, Yimin 4 Xu, Yong 4 Zanco, Giovanni 3 Baños, David R. 3 Bardina, Xavier 3 Benabdallah, Mohsine 3 Bérard Bergery, Blandine 3 Bessaih, Hakima 3 Biagini, Francesca 3 Bogachev, Vladimir Igorevich 3 Bouchard, Bruno 3 Cont, Rama 3 Čoupek, Petr 3 da Silva, José Luís 3 Fabbri, Giorgio 3 Gordić, Snežana 3 Grothaus, Martin 3 Hummel, Felix 3 Hutzenthaler, Martin 3 Izydorczyk, Lucas 3 Jentzen, Arnulf 3 Jolis, Maria 3 Khodabin, Morteza 3 Kim, Yoontae 3 Kohatsu-Higa, Arturo 3 Kruse, Thomas 3 Liu, Yanghui 3 Meyer-Brandis, Thilo 3 Mytnik, Leonid 3 Pei, Bin 3 Prömel, David J. 3 Qian, Zhongmin M. 3 Rajter-Ćirić, Danijela 3 Shaposhnikov, Stanislav V. ...and 617 more Authors all top 5 Cited in 163 Serials 60 Stochastic Processes and their Applications 39 The Annals of Probability 24 Stochastics 22 Stochastic Analysis and Applications 20 Stochastics and Dynamics 17 Journal of Functional Analysis 17 Bernoulli 16 Journal of Theoretical Probability 16 Potential Analysis 15 Journal of Differential Equations 15 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 15 Infinite Dimensional Analysis, Quantum Probability and Related Topics 14 Journal of Mathematical Analysis and Applications 12 Probability Theory and Related Fields 11 Electronic Journal of Probability 10 Statistics & Probability Letters 10 Stochastic and Partial Differential Equations. Analysis and Computations 9 The Annals of Applied Probability 8 Communications in Mathematical Physics 8 Random Operators and Stochastic Equations 8 Journal of Evolution Equations 7 International Journal of Theoretical and Applied Finance 7 Discrete and Continuous Dynamical Systems. Series B 6 Osaka Journal of Mathematics 6 Transactions of the American Mathematical Society 6 Monte Carlo Methods and Applications 6 Advances in Difference Equations 5 SIAM Journal on Control and Optimization 5 Journal of Mathematical Sciences (New York) 5 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 5 Comptes Rendus. Mathématique. Académie des Sciences, Paris 4 Insurance Mathematics & Economics 4 SIAM Journal on Mathematical Analysis 4 Bulletin des Sciences Mathématiques 4 Mathematical Finance 4 SIAM Journal on Financial Mathematics 4 International Journal of Stochastic Analysis 3 Journal of Statistical Physics 3 Reports on Mathematical Physics 3 Theory of Probability and its Applications 3 Journal of Applied Probability 3 Monatshefte für Mathematik 3 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI 3 NoDEA. Nonlinear Differential Equations and Applications 3 Applied Mathematical Finance 3 Finance and Stochastics 3 Abstract and Applied Analysis 3 Journal of Inequalities and Applications 3 Fractional Calculus & Applied Analysis 3 Decisions in Economics and Finance 3 Stochastic Models 3 Mediterranean Journal of Mathematics 3 Science China. Mathematics 3 Modern Stochastics. Theory and Applications 2 Applicable Analysis 2 Communications on Pure and Applied Mathematics 2 Reviews in Mathematical Physics 2 Chaos, Solitons and Fractals 2 Applied Mathematics and Optimization 2 Czechoslovak Mathematical Journal 2 Journal of the London Mathematical Society. Second Series 2 Mathematische Nachrichten 2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 2 Communications in Partial Differential Equations 2 Communications in Statistics. Theory and Methods 2 Journal de Mathématiques Pures et Appliquées. Neuvième Série 2 Theory of Probability and Mathematical Statistics 2 Annales Mathématiques Blaise Pascal 2 Discrete and Continuous Dynamical Systems 2 Mathematical Problems in Engineering 2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 2 Annales Henri Poincaré 2 Boundary Value Problems 2 Journal of the Korean Statistical Society 2 ALEA. Latin American Journal of Probability and Mathematical Statistics 2 Frontiers of Mathematics in China 2 Communications in Mathematics and Statistics 2 Electronic Journal of Mathematical Analysis and Applications EJMAA 1 Advances in Applied Probability 1 Archive for Rational Mechanics and Analysis 1 Journal of the Franklin Institute 1 Journal of Mathematical Physics 1 Metrika 1 Nonlinearity 1 Rocky Mountain Journal of Mathematics 1 Acta Mathematica 1 Annales de l’Institut Fourier 1 International Journal of Mathematics and Mathematical Sciences 1 Inventiones Mathematicae 1 Journal of Multivariate Analysis 1 Journal of Optimization Theory and Applications 1 Journal of Statistical Planning and Inference 1 Manuscripta Mathematica 1 Mathematische Zeitschrift 1 Proceedings of the American Mathematical Society 1 Systems & Control Letters 1 Zeitschrift für Analysis und ihre Anwendungen 1 Acta Mathematicae Applicatae Sinica 1 Probability and Mathematical Statistics 1 Chinese Annals of Mathematics. Series B ...and 63 more Serials all top 5 Cited in 38 Fields 588 Probability theory and stochastic processes (60-XX) 175 Partial differential equations (35-XX) 76 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 35 Ordinary differential equations (34-XX) 33 Functional analysis (46-XX) 32 Operator theory (47-XX) 32 Systems theory; control (93-XX) 31 Numerical analysis (65-XX) 23 Calculus of variations and optimal control; optimization (49-XX) 20 Statistics (62-XX) 19 Fluid mechanics (76-XX) 17 Dynamical systems and ergodic theory (37-XX) 16 Real functions (26-XX) 15 Statistical mechanics, structure of matter (82-XX) 14 Quantum theory (81-XX) 11 Global analysis, analysis on manifolds (58-XX) 8 Potential theory (31-XX) 8 Integral equations (45-XX) 7 Measure and integration (28-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 5 Biology and other natural sciences (92-XX) 4 Computer science (68-XX) 3 Approximations and expansions (41-XX) 3 Mechanics of particles and systems (70-XX) 2 Associative rings and algebras (16-XX) 1 General and overarching topics; collections (00-XX) 1 Mathematical logic and foundations (03-XX) 1 Combinatorics (05-XX) 1 Nonassociative rings and algebras (17-XX) 1 Category theory; homological algebra (18-XX) 1 Functions of a complex variable (30-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Special functions (33-XX) 1 Difference and functional equations (39-XX) 1 Differential geometry (53-XX) 1 Optics, electromagnetic theory (78-XX) 1 Geophysics (86-XX) 1 Operations research, mathematical programming (90-XX) Citations by Year