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5 papers · 2 filters
Weak Dirichlet processes with jumps
Elena Bandini, Francesco Russo
This paper develops systematically the stochastic calculus via regularization in the case of jump processes. In particular one continues the analysis of real-valued càdlàg weak Dir…
Special weak Dirichlet processes and BSDEs driven by a random measure
Elena Bandini, Francesco Russo
This paper considers a forward BSDE driven by a random measure, when the underlying forward process X is special semimartingale, or even more generally, a special weak Dirichlet pr…
Randomization method and backward SDEs for optimal control of partially observed path-dependent stochastic systems
Elena Bandini, Andrea Cosso, Marco Fuhrman +1
We consider a unifying framework for stochastic control problem including the following features: partial observation, path-dependence (both with respect to the state and the contr…
Functional it{ô} versus banach space stochastic calculus and strict solutions of semilinear path-dependent equations
Andrea Cosso, Francesco Russo
Functional Itô calculus was introduced in order to expand a functional depending on time , past and present values of the process . Another possibi…
Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations
Anthony Lecavil, Nadia Oudjane, Francesco Russo
We introduce a new class of nonlinear Stochastic Differential Equations in the sense of McKean, related to non conservative nonlinear Partial Differential equations (PDEs). We disc…