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Author ID: russo.francesco.2 Recent zbMATH articles by "Russo, Francesco"
Published as: Russo, Francesco; Russo, F.
Homepage: https://uma.ensta-paris.fr/~russo
External Links: MGP · dblp
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

Publications by Year

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
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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
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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
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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