Zobrazeno 1 - 10
of 38
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
We propose a fully backward representation of semilinear PDEs with application to stochastic control. Based on this, we develop a fully backward Monte-Carlo scheme allowing to generate the regression grid, backwardly in time, as the value function is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1bdcbd7129c993c2dd95dc1fd19044b6
http://arxiv.org/abs/2104.13641
http://arxiv.org/abs/2104.13641
Autor:
Francesco Russo, Cristina Di Girolami
This paper investigates two existence theorems for the path-dependent heat equation, which is the Kolmogorov equation related to the window Brownian motion, considered as a C ( [ - T , 0 ] ) {C([-T,0])} -valued process. We concentrate on two gene
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::db43bd941a903ed9213c1a1816c45d34
https://hal.archives-ouvertes.fr/hal-01762783v3/document
https://hal.archives-ouvertes.fr/hal-01762783v3/document
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
Publikováno v:
Journal of Applied Probability
Journal of Applied Probability, Cambridge University press, 2019, 56 (4), pp.981-1005. ⟨10.1017/jpr.2019.57⟩
Journal of Applied Probability, Cambridge University press, 2019, 56 (4), pp.981-1005. ⟨10.1017/jpr.2019.57⟩
In this paper, we present a discrete-type approximation scheme to solve continuous-time optimal stopping problems based on fully non-Markovian continuous processes adapted to the Brownian motion filtration. The approximations satisfy suitable variati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6e1aba651a08a18ad16fdc3ec093aeb3
https://hal.archives-ouvertes.fr/hal-02572450
https://hal.archives-ouvertes.fr/hal-02572450
Autor:
Elena Bandini, Francesco Russo
Publikováno v:
Bernoulli 24, no. 4A (2018), 2569-2609
This paper considers a forward BSDE driven by a random measure, when the underlying forward process $X$ is a special semimartingale, or even more generally, a special weak Dirichlet process. Given a solution $(Y,Z,U)$, generally $Y$ appears to be of
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:
Francesco Russo, Adrien Barrasso
This note develops shortly the theory of time-inhomogeneous additive functionals and is a useful support for the analysis of time-dependent Markov processes and related topics. It is a significant tool for the analysis of BSDEs in law. In particular
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9bf3d7b628e39952d3d2cc4b03cc6859
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