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24 papers · 1 filter
McKean-Vlasov equations with singular coefficients - a review of recent results
Luca Bondi, Elena Issoglio, Francesco Russo
This paper focuses on recent works on McKean-Vlasov stochastic differential equations (SDEs) involving singular coefficients. After recalling the classical framework, we review exi…
-It{ô} chain rules and generalized solutions of parabolic PDEs
Carlo Ciccarella, Francesco Russo
In this paper we first establish an Itô formula for a finite quadratic variation process expanding when is of class in space and is absolutely continuous…
Estimation of the lifetime distribution from fluctuations in Bellman-Harris processes
Jules Olayé, Hala Bouzidi, Andrey Aristov +4
The growth of a population is often modeled as branching process where each individual at the end of its life is replaced by a certain number of offspring. An example of these bran…
Weak Dirichlet processes and generalized martingale problems
Elena Bandini, Francesco Russo
In this paper we explain how the notion of ''weak Dirichlet process'' is the suitable generalization of the one of semimartingale with jumps. For such a process we provide a unique…
McKean SDEs with singular coefficients
Elena Issoglio, Francesco Russo
The paper investigates existence and uniqueness for a stochastic differential equation (SDE) with distributional drift depending on the law density of the solution. Those equations…
On some path-dependent SDEs involving distributional drifts
Alberto Ohashi, Francesco Russo, Alan Teixeira
In this paper, we study (strong and weak) existence and uniqueness of a class of non-Markovian SDEs whose drift contains the derivative in the sense of distributionsof a continuous…