451 citations
- École Nationale Supérieure de Techniques AvancéesFR146 papers
- Centre National de la Recherche ScientifiqueFR70 papers
- École PolytechniqueFR55 papers
- Laboratoire d'Optique AppliquéeFR43 papers
- Université Paris-SaclayFR43 papers
- Institut national de recherche en sciences et technologies du numériqueFR27 papers
- Commissariat à l'Énergie Atomique et aux Énergies AlternativesFR17 papers
- Institut Polytechnique de ParisFR16 papers
- POEMS: Propagation des Ondes : Etude Mathématique et SimulationanFR11 papers
- Unité de Mathématiques AppliquéesFR10 papers
- Centre de Mathématiques Appliquées de l'École polytechniqueFR7 papers
- CERMICSFR7 papers
Showing 2013 · math.PRShow all
3 papers · 2 filters
math.PR2013★ 16 cited
On countably skewed Brownian motion with accumulation point
Youssef Ouknine, Francesco Russo, Gerald Trutnau
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 s…
math.PR2013★ 38 cited
BSDEs under partial information and financial applications
Claudia Ceci, Alessandra Cretarola, Francesco Russo
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 spec…
math.PR2013
The covariation for Banach space valued processes and applications
Cristina Di Girolami, Giorgio Fabbri, Francesco Russo
This article focuses on a new concept of quadratic variation for processes taking values in a Banach space and a corresponding covariation. This is more general than the classi…