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pro vyhledávání: '"Francesco Russo"'
Autor:
Francesco Russo, Adrien Barrasso
Publikováno v:
Stochastics and Dynamics
Stochastics and Dynamics, 2022, 22, pp.2250007,. ⟨10.1142/S0219493722500071⟩
Stochastics and Dynamics, 2022, 22, pp.2250007,. ⟨10.1142/S0219493722500071⟩
We are interested in path-dependent semilinear PDEs, where the derivatives are of Gâteaux type in specific directions [Formula: see text] and [Formula: see text], being the kernel functions of a Volterra Gaussian process [Formula: see text]. Under s
Autor:
Elena Bandini, Francesco Russo
In this paper we focus on the so called identification problem for a backward SDE driven by a continuous local martingale and a possibly non quasi-left-continuous random measure. Supposing that a solution (Y, Z, U) of a backward SDE is such that $Y(t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::446bd9a4e488c310c6362e44c99292e6
https://hal.archives-ouvertes.fr/hal-02448562/document
https://hal.archives-ouvertes.fr/hal-02448562/document
Autor:
Francesco Russo, Adrien Barrasso
The paper introduces and investigates the natural extension to the path-dependent setup of the usual concept of canonical Markov class introduced by Dynkin and which is at the basis of the theory of Markov processes. That extension, indexed by starti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d5cf75c643e0bf3951a3e3380808d81b
https://hal.archives-ouvertes.fr/hal-01775200/document
https://hal.archives-ouvertes.fr/hal-01775200/document
Autor:
Adrien Barrasso, Francesco Russo
We focus on a class of BSDEs driven by a cadlag martingale and the corresponding Markovian BSDEs which arise when the randomness of the driver appears through a Markov process. To those BSDEs we associate a deterministic equation which, when the Mark
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f18d635e49aa2e04b4de0be213ff1b97
http://arxiv.org/abs/1707.07879
http://arxiv.org/abs/1707.07879
Autor:
Elena Bandini, Francesco Russo
This paper develops systematically the stochastic calculus via regularization in the case of jump processes. In particular one continues the analysis of real-valued c\`adl\`ag weak Dirichlet processes with respect to a given filtration. Such a proces
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::228d0d89dc49c279b8398daf0b2d5c79
We discuss numerical aspects related to a new class of nonlinear Stochastic Differential Equations in the sense of McKean, which are supposed to represent non conservative nonlinear Partial Differential equations (PDEs). We propose an original intera
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fafee0563838fff8eb49a30a8dfff48f
http://arxiv.org/abs/1608.00832
http://arxiv.org/abs/1608.00832
Autor:
Giorgio Fabbri, Francesco Russo
Publikováno v:
Stochastic Processes and their Applications
Stochastic Processes and their Applications, 2017, 127 (1), pp.325-357. ⟨10.1016/j.spa.2016.06.010⟩
Stochastic Processes and their Applications, Elsevier, 2017, 127 (1), pp.325-357. ⟨10.1016/j.spa.2016.06.010⟩
Stochastic Processes and their Applications, 2017, 127 (1), pp.325-357. ⟨10.1016/j.spa.2016.06.010⟩
Stochastic Processes and their Applications, Elsevier, 2017, 127 (1), pp.325-357. ⟨10.1016/j.spa.2016.06.010⟩
The present paper continues the study of infinite dimensional calculus via regularization, started by C. Di Girolami and the second named author, introducing the notion of weak Dirichlet process in this context. Such a process X, taking values in a B
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7aa98e3b43fa1a1c68c0a463e2733caf
Autor:
Francesco Russo, Lukas Wurzer
We introduce a generalized notion of semilinear elliptic partial differential equations where the corresponding second order partial differential operator [Formula: see text] has a generalized drift. We investigate existence and uniqueness of general
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1bb78261b8d1d2051669934accdc9749
http://arxiv.org/abs/1407.3218
http://arxiv.org/abs/1407.3218
Publikováno v:
Stochastic Processes and their Applications
Stochastic Processes and their Applications, Elsevier, 2014, ⟨10.1016/j.spa.2014.03.003⟩
Stochastic Processes and their Applications, Elsevier, 2014, ⟨10.1016/j.spa.2014.03.003⟩
In this paper we provide existence and uniqueness results for the solution of BSDEs driven by a general square integrable martingale under partial information. We discuss some special cases where the solution to a BSDE under restricted information ca
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::24ae05978aada58ac07be174c87db5ef
https://hal.inria.fr/hal-00822988
https://hal.inria.fr/hal-00822988
For a large class of vanilla contingent claims, we establish an explicit F\"ollmer-Schweizer decomposition when the underlying is an exponential of an additive process. This allows to provide an efficient algorithm for solving the mean variance hedgi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d673bca2b2bb7cd6aef9bd4a106276be
http://arxiv.org/abs/1302.1965
http://arxiv.org/abs/1302.1965