1 citations · 1 across the 5 of their papers we have counts for
6 papers · 1 filter
Forward stochastic integration for adapted processes w.r.t. Riemann-Liouville fractional Brownian motion (Full version)
Paulo Henrique da Costa, Alberto Ohashi, Francesco Russo
This paper provides the time-dependent -martingale representation of the forward stochastic integral where the driving noise is the Riemann-Liouville fractional Brownian motio…
About semilinear low dimension Bessel PDEs
Alberto Ohashi, Francesco Russo, Alan Teixeira
We prove existence and uniqueness of solutions of a semilinear PDE driven by a Bessel type generator with low dimension . is a local operator, whose drift is t…
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…
The isometry of symmetric-Stratonovich integrals w.r.t. Fractional Brownian motion
Alberto Ohashi, Francesco Russo, Frederi Viens
In this work, we present a detailed analysis on the exact expression of the -norm of the symmetric-Stratonovich stochastic integral driven by a multi-dimensional fractional Br…
Discrete-type approximations for non-Markovian optimal stopping problems: Part I
Dorival Leão, Alberto Ohashi, Francesco Russo
In this paper, we present a discrete-type approximation scheme to solve continuous-time optimal stopping problems based on fully non-Markovian continuous processes adapted to the B…
Gaussian and non-Gaussian processes of zero power variation, and related stochastic calculus
Francesco Russo, Frederi Viens
We consider a class of stochastic processes defined by for , where is a square-integr…