5 citations · 12 across the 7 of their papers we have counts for
8 papers
Controlled diffusion Mean Field Games with common noise, and McKean-Vlasov second order backward SDEs
Adrien Barrasso, Nizar Touzi
We consider a mean field game with common noise in which the diffusion coefficients may be controlled. We prove existence of a weak relaxed solution under some continuity condition…
G{â}teaux type path-dependent PDEs and BSDEs with Gaussian forward processes
Adrien Barrasso, Francesco Russo
We are interested in path-dependent semilinear PDEs, where the derivatives are of G{â}teaux type in specific directions k and b, being the kernel functions of a Volterra Gaussian p…
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…
A note on time-dependent additive functionals
Adrien Barrasso, Francesco Russo
This note develops shortly the theory of time-inhomogeneous additive functionals and is a useful support for the analysis of time-dependent Markov processes and related topics. It…
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…