51 citations
- Université Sorbonne Paris NordFR30 papers
- Centre National de la Recherche ScientifiqueFR14 papers
- Laboratoire de Mathématiques d'OrsayFR7 papers
- Université Paris CitéFR5 papers
- Institut de Mathématiques de BourgogneFR3 papers
- Institut Universitaire de FranceFR3 papers
- Laboratoire de Mathématiques Blaise PascalFR3 papers
- Laboratoire de Mathématiques Raphaël SalemFR3 papers
- Centre de Mathématiques Appliquées de l'École polytechniqueFR2 papers
- Humboldt-Universität zu BerlinDE2 papers
- Institut de Mathématiques de BordeauxFR2 papers
- Institut de recherche mathématique de RennesFR2 papers
8 papers · 2 filters
How do random Fibonacci sequences grow?
Elise Janvresse, Benoît Rittaud, Thierry De La Rue
We study two kinds of random Fibonacci sequences defined by and for , (linear case) or (non-linear…
Slow movement of random walk in random environment on a regular tree
Yueyun Hu, Zhan Shi
We consider a recurrent random walk in random environment on a regular tree. Under suitable general assumptions upon the distribution of the environment, we show that the walk exhi…
Modeling financial assets without semimartingales
Rosanna Coviello, Francesco Russo
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 p…
Wiener integrals, Malliavin calculus and covariance measure structure
Ida Kruk, Francesco Russo, Ciprian Tudor
We introduce the notion of {\em covariance measure structure} for square integrable stochastic processes. We define Wiener integral, we develop a suitable formalism for stochastic…
Verification Theorems for Stochastic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition
Fausto Gozzi, Francesco Russo
This paper is devoted to present a method of proving verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion…
Weak Dirichlet processes with a stochastic control perspective
Fausto Gozzi, Francesco Russo
The motivation of this paper is to prove verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term, in th…