Zobrazeno 21 - 30
of 38
pro vyhledávání: '"Francesco Russo"'
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
This paper investigates a time-dependent multidimensional stochastic differential equation with drift being a distribution in a suitable class of Sobolev spaces with negative derivation order. This is done through a careful analysis of the correspond
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b56a36d71c6af5fe9658ec12a3a22761
http://arxiv.org/abs/1401.6010
http://arxiv.org/abs/1401.6010
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
Publikováno v:
Electron. J. Probab.
In this work we connect the theory of Dirichlet forms and direct stochastic calculus to obtain strong existence and pathwise uniqueness for Brownian motion that is perturbed by a series of constant multiples of local times at a sequence of points tha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f07bfdbbd63096ea8529f7a1ed2182de
https://hal.inria.fr/hal-00850095/document
https://hal.inria.fr/hal-00850095/document
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
Publikováno v:
Metrika
Metrika, Springer Verlag, 2014, 77 (1), pp.51-104. ⟨10.1007/s00184-013-0472-6⟩
Metrika, 2014, 77 (1), pp.51-104. ⟨10.1007/s00184-013-0472-6⟩
Metrika, Springer Verlag, 2014, 77 (1), pp.51-104. ⟨10.1007/s00184-013-0472-6⟩
Metrika, 2014, 77 (1), pp.51-104. ⟨10.1007/s00184-013-0472-6⟩
This article focuses on a new concept of quadratic variation for processes taking values in a Banach space B and a corresponding covariation. This is more general than the classical one of Métivier and Pellaumail. Those notions are associated with s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7838f5176a779969e832d4d3853989ec
http://arxiv.org/abs/1301.5715
http://arxiv.org/abs/1301.5715
Publikováno v:
The Journal of Computational Finance
The Journal of Computational Finance, 2014, 17 (2), pp.71-111. ⟨10.21314/JCF.2013.261⟩
The Journal of Computational Finance, 2014, 17 (2), pp.71-111. ⟨10.21314/JCF.2013.261⟩
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5ac81fda0b9677ad5d3c36105225bd98
https://hal.inria.fr/inria-00473032
https://hal.inria.fr/inria-00473032
Publikováno v:
Stochastic Analysis and Applications
Stochastic Analysis and Applications, 2013, 31, pp.108--141. ⟨10.1080/07362994.2013.741395⟩
Stochastic Analysis and Applications, 2013, 31, pp.108--141. ⟨10.1080/07362994.2013.741395⟩
Given a process with independent increments $X$ (not necessarily a martingale) and a large class of square integrable r.v. $H=f(X_T)$, $f$ being the Fourier transform of a finite measure $\mu$, we provide explicit Kunita-Watanabe and F\"ollmer-Schwei
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::79ea94bbfb9689821563a8fe8ff6a030
Publikováno v:
Probability Theory and Related Fields
Probability Theory and Related Fields, Springer Verlag, 2011, ⟨10.1007/s00440-010-0291-x⟩
Probability Theory and Related Fields, 2011, ⟨10.1007/s00440-010-0291-x⟩
Probability Theory and Related Fields, Springer Verlag, 2011, ⟨10.1007/s00440-010-0291-x⟩
Probability Theory and Related Fields, 2011, ⟨10.1007/s00440-010-0291-x⟩
50 pages; International audience; We consider a possibly degenerate porous media type equation over all of $\R^d$ with $d = 1$, with monotone discontinuous coefficients with linear growth and prove a probabilistic representation of its solution in te
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9241cfe78998d98f272b6c80ff9b3b70
https://hal.inria.fr/inria-00410248
https://hal.inria.fr/inria-00410248
Publikováno v:
Bulletin des Sciences Mathématiques
Bulletin des Sciences Mathématiques, Elsevier, 2011, 135, pp.733-774. ⟨10.1016/j.bulsci.2011.06.008⟩
Bulletin des Sciences Mathématiques, 2011, 135, pp.733-774. ⟨10.1016/j.bulsci.2011.06.008⟩
Bulletin des Sciences Mathématiques, Elsevier, 2011, 135, pp.733-774. ⟨10.1016/j.bulsci.2011.06.008⟩
Bulletin des Sciences Mathématiques, 2011, 135, pp.733-774. ⟨10.1016/j.bulsci.2011.06.008⟩
International audience; This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::861753daa9ff878176c17b82798ca530
https://hal.inria.fr/inria-00564756/document
https://hal.inria.fr/inria-00564756/document