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43 papers · 1 filter
A non-local singular non-linear Fokker-Planck PDE
Luca Bondi, Elena Issoglio, Francesco Russo
The focus of this paper is a non-local singular non-linear Fokker-Planck partial differential equation (PDE). The peculiarity of this PDE feature is in its divergence coefficient,…
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…
Characteristics and It{ô}'s formula for weak Dirichlet processes: an equivalence result
Elena Bandini, Francesco Russo
The main objective consists in generalizing a well-known It{ô} formula of J. Jacod and A. Shiryaev: given a c{à}dl{à}g process S, there is an equivalence between the fact that S is…
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…
The -norm of the forward stochastic integral w.r.t. Fractional Brownian motion
Alberto Ohashi, Francesco Russo
In this article, we present the exact expression of the -norm of the forward stochastic integral driven by the multi-dimensional fractional Brownian motion with parameter $\fr…