15 citations
- École Nationale Supérieure de Techniques AvancéesFR5 papers
- École Nationale Supérieure de Techniques Avancées ParisFR5 papers
- École PolytechniqueFR4 papers
- Institut Polytechnique de ParisFR2 papers
- Université Paris DiderotFR2 papers
- Aix-Marseille Sciences EconomiquesFR1 paper
- Centre National de la Recherche ScientifiqueFR1 paper
- Laboratoire de Finance des Marchés de l'ÉnergieFR1 paper
- Laboratoire de Probabilités et Modèles AléatoiresFR1 paper
- Laboratoire des signaux et systèmesFR1 paper
- Laboratoire Jacques-Louis LionsFR1 paper
- Laboratoire Univers et ThéoriesFR1 paper
11 papers
The Geometry of Isochrone Orbits: from Archimedes' parabolae to Kepler's third law
Paul Ramond, Jérôme Perez
In classical mechanics, the Kepler potential and the Harmonic potential share the following remarkable property: in either of these potentials, a bound test particle orbits with a…
On the well-posedness of a class of McKean Feynman-Kac equations
Jonas Lieber, Nadia Oudjane, Francesco Russo
We analyze the well-posedness of a so called McKean Feynman-Kac Equation (MFKE), which is a McKean type equation with a Feynman-Kac perturbation. We provide in particular weak and…
A Feynman-Kac result via Markov BSDEs with generalized driver
Elena Issoglio, Francesco Russo
In this paper we investigate BSDEs where the driver contains a distributional term (in the sense of generalised functions) and derive general Feynman-Kac formulae related to these…
Path-dependent Martingale Problems and Additive Functionals
Adrien Barrasso, Francesco Russo
The paper introduces and investigates the natural extension to the path-dependent setup of the usual concept of canonical Markov class introduced by Dynkin and which is at the basi…
Decoupled mild solutions of path-dependent PDEs and IPDEsrepresented by BSDEs driven by cadlag martingales
Adrien Barrasso, Francesco Russo
We focus on a class of path-dependent problems which include path-dependent (possibly Integro) PDEs, and their representation via BSDEs driven by a cadlag martingale. For those equ…
Martingale driven BSDEs, PDEs and other related deterministic problems
Adrien Barrasso, Francesco Russo
We focus on a class of BSDEs driven by a cadlag martingale and corresponding Markov type BSDE which arise when the randomness of the driver appears through a Markov process. To tho…