World's Best Scientists 2026 revealed!

Overview

Francesco Russo is affiliated with the École Nationale Supérieure de Techniques Avancées in France. Their research spans several intersecting fields, primarily focusing on Economics, Econometrics and Finance, with a significant presence in Mathematics.

The scientist's main areas of study include:

  • Economics, Econometrics and Finance
  • Mathematics

More detailed subfields covered in their work comprise:

  • Finance
  • Mathematical Physics
  • Applied Mathematics
  • Economics and Econometrics
  • Statistics and Probability

The central topics in their research are:

  • Stochastic processes and financial applications
  • Financial Risk and Volatility Modeling
  • Stochastic processes and statistical mechanics
  • Economic theories and models
  • Stability and Controllability of Differential Equations
  • Markov Chains and Monte Carlo Methods
  • Complex Systems and Time Series Analysis

They have contributed to numerous publication venues, among which the most frequent are:

  • arXiv (Cornell University)
  • Stochastics and Dynamics
  • Journal of Stochastic Analysis
  • Bernoulli
  • Annales de l Institut Henri Poincaré Probabilités et Statistiques

Selected recent papers demonstrate the scope of their research:

  • Crandall-Lions viscosity solutions for path-dependent PDEs: The case of heat equation, 2021, Bernoulli
  • Discrete-type Approximations for Non-Markovian Optimal Stopping Problems: Part II, 2020, Methodology And Computing In Applied Probability
  • Martingale driven BSDEs, PDEs and other related deterministic problems, 2020, Stochastic Processes and their Applications
  • McKean SDEs with singular coefficients, 2023, Annales de l Institut Henri Poincaré Probabilités et Statistiques
  • Fokker-Planck equations with terminal condition and related McKean probabilistic representation, 2022, Nonlinear Differential Equations and Applications NoDEA

Francesco Russo collaborates frequently with a group of co-authors, including:

  • Pierre Vallois
  • Nadia Oudjane
  • Lucas Izydorczyk
  • Alberto Ohashi
  • Adrien Barrasso

In addition to journal articles, they have authored books, including a publication by Springer International Publishing titled Geometry and Invariance in Stochastic Dynamics, released in 2021.

Best Publications

  • Forward, backward and symmetric stochastic integration

    Francesco Russo;Pierre Vallois

  • Elements of Stochastic Calculus via Regularization

    Francesco Russo;Pierre Vallois

  • Stochastic calculus with respect to continuous finite quadratic variation processes

    Francesco Russo;Pierre Vallois

  • On bifractional Brownian motion

    Francesco Russo;Ciprian A. Tudor

  • The generalized covariation process and Ito formula

    Francesco Russo;Pierre Vallois

  • Ito formula for C 1 -functions of semimartingales

    Francesco Russo;Francesco Russo;Pierre Vallois

  • m-order integrals and generalized Ito's formula; the case of a fractional Brownian motion with any Hurst index

    Mihai Gradinaru;Ivan Nourdin;Francesco Russo;Pierre Vallois

  • Homaloidal hypersurfaces and hypersurfaces with vanishing Hessian

    Ciro Ciliberto;Francesco Russo;Aron Simis

  • Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index H>=1/4

    Mihai Gradinaru;Francesco Russo;Pierre Vallois

  • n-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes

    Mohammed Errami;Francesco Russo

  • Some SDEs with distributional drift. Part II: Lyons-Zheng structure, Ito's formula and semimartingale characterization

    Franco Flandoli;Francesco Russo;Jochen Wolf

  • Seminar on stochastic analysis, random fields and applications IV

    Robert C. Dalang;Marco Dozzi;Francesco Russo

  • Some SDEs with distributional drift Part I: General calculus

    Franco Flandoli;Francesco Russo;Jochen Wolf

  • On Birational Maps and Jacobian Matrices

    Francesco Russo;Aron Simis

  • Multidimensional stochastic differential equations with distributional drift

    Franco Flandoli;Elena Issoglio;Francesco Russo

  • Generalized Integration and Stochastic ODEs

    Franco Flandoli;Francesco Russo

  • Nonlinear stochastic wave equations

    M. Oberguggenberger;F. Russo

  • Weak Dirichlet processes with a stochastic control perspective

    Fausto Gozzi;Francesco Russo

  • A two-space dimensional semilinear heat equation perturbed by (Gaussian) white noise

    Sergio Albeverio;Zbignew Haba;Francesco Russo

  • Itô's formula for C1,λ-functions of a càdlàg process and related calculus

    Mohammed Errami;Francesco Russo;Pierre Vallois

Frequent Co-Authors

Franco Flandoli
Franco Flandoli Scuola Normale Superiore di Pisa
Michael Röckner
Michael Röckner Bielefeld University
Viorel Barbu
Viorel Barbu Alexandru Ioan Cuza University
Sergio Albeverio
Sergio Albeverio University of Bonn
Massimiliano Gubinelli
Massimiliano Gubinelli University of Oxford
Michael Oberguggenberger
Michael Oberguggenberger University of Innsbruck
Frederi Viens
Frederi Viens Rice University
Zdzisław Brzeźniak
Zdzisław Brzeźniak University of York
Ivan Nourdin
Ivan Nourdin University of Luxembourg

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