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Showing 2010 · math.PRShow all
3 papers · 2 filters
math.PR2010
Generalized covariation for Banach space valued processes, Itô formula and applications
Cristina Di Girolami, Francesco Russo
This paper discusses a new notion of quadratic variation and covariation for Banach space valued processes (not necessarily semimartingales) and related Itô formula. If $\X$ and $\…
math.PR2010★ 15 cited
Malliavin-Skorohod calculus and Paley-Wiener integral for covariance singular processes
Ida Kruk, Francesco Russo
We develop a stochastic analysis for a Gaussian process with singular covariance by an intrinsic procedure focusing on several examples such as covariance measure structure pro…
math.PR2010
A probabilistic algorithm approximating solutions of a singular PDE of porous media type
Nadia Belaribi, François Cuvelier, Francesco Russo
The object of this paper is a one-dimensional generalized porous media equation (PDE) with possibly discontinuous coefficient , which is well-posed as an evolution problem in $L…