Liste des Publications

La plupart des prépublications  (si pas encore publiées)
sont disponibles à l'adresse suivante.

http://www.physik.uni-bielefeld.de/bibos/

1
F. Russo: Etude de la propriété de Markov étroite en relation avec les processus planaires à accroissements indépendants, Sém. de Prob. XVIII, Lect. N. in Math.1059, Springer Verlag (1984), p. 353-387.
2
F. Oboni, P.L. Bourdeau, F. Russo: Utilisation des processus markoviens dans l'analyse de stabilité des pentes. Lausanne, EPFL, décembre 1984. (3e séminaire sur les méthodes probabilistes en géotechniqu).
3
F. Oboni, F. Russo: Implementation of a Probabilistic Stability Analysis Method on Microcomputers and Markovian Approach. Computer and Physical Modelling in Geotechnical Engeneering. Proceedings of the international symposium, Bangkok (3-6 dec. 1986). Edited by Asian Institute of Technology. Balkema Publishers 1989.
4
R. Dalang, F. Russo: A Prediction Problem for the Brownian Sheet. J. Multiv. Anal. 26, p. 16-47 (1988).
5
F. Russo: A Prediction Problem for Gaussian Planar Processes which are Markovianwith respect to Incresing and Decresing Paths, Lect. N. in Controland Information sciences, no. 96 (1987), p. 88-98.
6
F. Russo: Champs markoviens et prédictions. Thèse de doctorat ès sciences, no. 707, Ecole Polytechnique Fédérale de Lausanne (1987.
7
R. Léandre, F.Russo: Estimation de Varadhan pour des diffusions à deux paramètres. Probab. Th. and Rel. Fields 84, p. 429-451 (1990).
8
F.Russo: Linear extrapolation concerning Hilbert valued planar functions. Stochastic analysis and related topics II. Lect. N. in Math. 1444, Springer-Verlag (1990).
9
R. Léandre, F. Russo: Estimation de densité pour une équation des ondes faiblement perturbée par un bruit blanc. Note aux comptes rendus de l'Académie des sciences, t. 311, série A, p. 737-73, 1990. 
10
F.Russo, P.Vallois: Intégrale stochastique progressive, rétrograde ou symétrique de type non- causale. Note aux comptes rendus de l'Académie des sciences, t. 312, série I, p.615-18, 1991.
11
R.Léandre, F.Russo: Small stochastic perturbation of a non-linear stochastic wave equation. Stochastic analysis and related topics, H. Korezlioglu & A.S. Ustunel eds., Progressin Probability 31, 285-332 (1992). 
12
R.Léandre, F.Russo: Some problems about a stochastic non-linear wave equation. Proceedings of he Taniguchi Conference (August 1990). Asymptotic problems in probability theory: Wiener functionals and asymptotics, KD Elworthy and N Ikeda (Editors). Pitman research notes 284, p. 156-168 (1993)
13
S. Albeverio, Z. Haba, F. Russo: Stationary solutions of stochastic parabolic and hyperbolic Sine-Gordon equations. Journal of Physics A, 26, L 711-718 (1993)
14
F.Russo, P.Vallois: Forward, backward and symmetric stochastic integration. Probability Theory and Related Fields 97, 403-421 (1993).

15
F. Russo, P. Vallois: Non-causal stochastic integration for ladlag processes. Proceedings of the Oslo-Silivri Conference 1992. T. Lindstrom, B. Oksendal, A.S. Ustunel eds. Gordon and Breach, p. 227-263 (1993). 
16
F. Russo: Colombeau generalized functions and stochastic analysis. Stochastic analysis and applications in physics. Ed. AI Cardoso, M. de Faria, J. Potthoff, R. Sénéor, L. Streit. NATO ASI Series C: Mathematical and physical sciences. Vol 449 Kluwer, p. 329-350, Academic Publishers 1994
17
F. Russo, P. Vallois: Forward non-causal stochastic integration. Stochastic Processes, physics and Geometry II. Eds S. Albeverio, U. Cattaneo, D. Merlini, World scientific, p. 611-635, 1995.
18
R. Léandre, F. Russo: Estimations de densité pour l'équation de Zakai robuste. Journal of Potential Analysis 4, 521-545 (1995)
19
F. Russo, P. Vallois: The generalized covariation process and Itô formula. Stochastic Processes and their Applications, 59, p. 81-104 (1995)
20
R. Léandre, F. Russo: Density estimates for stochastic PDE's. Seminar on Stochastic Analysis, Random Fields and Applications, Ascona 1993, Eds. E. Bolthausen, M. Dozzi, F. Russo, p. 169-186, Progress in Probability 36, Birkäuser 1995
21
F. Russo, P. Vallois: Itô formula for C1 functions of a semimartingale.Probability theory and related fields. Vol. 104, 27-41 (1996)
22
S. Albeverio, Z. Haba, F. Russo: Trivial solutions for a non-linear two-space dimensional wave equation perturbed by space-time white noise. Stochastics and stochastic reports, Vol. 56, P. 127-160 (1996)
23
S. Albeverio, Z. Haba, F. Russo: On non-linear two-space dimensional wave equation perturbed by space-time white noise. Israel Math. Conf. Proc. 10, 1-25 (1996)
24
F. Russo, P. Vallois: Anticipative stochastic differential equations via Zvonkin method. Stochastic Processes and Related Topics, Series Stochastics Monograph, Vol. 10, Eds. H.J. Engelberdt, H. Föllmer, J. Zabczyk, Gordon & Breach Science Publishers, p. 129-138 (1996)
25
S. Albeverio, F. Russo: Stochastic partial differential equations, infinite dimensional stochastic processes and random fields: a short introduction. L. Vazquez, L. Streit, V.M. Perez-Garcia, Nonlinear Klein-Gordon and Schrödinger systems: theory and applications; p. 68-86. Singapore (1996).
26
S. Albeverio, R. Gielerak, F. Russo: Constructive approach to the Global Markov Property in the Euclidean quantum field theory. I. Constructions of transitions kernels. Markov ProcessesRelat. Fields, 3, 275-322 (1997)
27
S. Albeverio, R. Gielerak, F. Russo: General setting for stochastic processes associated with quantum fields. Stochastic Differential and Differential Equations, p. 77-89. Eds. I. Csiszhàr    and Gy. Michaletzky, Birkhäuser (1997)
28
M.  Oberguggenberger, F.  Russo: Nonlinear stochastic wave equations.  Integral transforms and special functions 6, 58-70 (1997).
29
F. Russo, P. Vallois: Product of two multiple stochastic integrals with respect to a normal martingale. Stochastic processes and its applications. 73, 47-68 (1998)
30
M.  Errami, F.  Russo: Covariation de convolution de martingales.  Comptes Rendus de l'Académie des Sciences.  t  326, Série 1, p.  601-606 (1998).
31
M. Oberguggenberger, F. Russo:  Nonlinear SPDEs: Colombeau  solutions and pathwise limits.  Stochastic analysis and related  topics.  Eds.  L.  Decreusefonds, J.  Gjerde, B.  Oksendal, A.S.  Ustunel eds.  Birkh{\"a}user 319-332 (1998).
32
F. Russo, M.  Oberguggenberger: White noise driven stochastic partial differential equations: triviality and non-triviality.  M.  Grosser, G.  Hörmann, M.  Kunzinger, M.  Oberguggenberger (Eds.), Nonlinear Theory of Generalized Functions.  Chapman \& Hall/CRC Research Notes in Mathematecis Series, CRC Press, p 315 - 333 (1999).

33
F. Russo, P.  Vallois: Stochastic calculus with respect to a continuous finite quadratic variation process.  Stochastics and Stochastics Reports 70, 1-40 (2000).

34
F.  Russo, P.  Vallois, J.  Wolf: On a generalized class of  Lyons-Zheng processes.  Bernoulli Society 7(2), 363-371 (2001).

35
S. Albeverio, R. Gielerak, F. Russo: On the paths Hölder continuity in models of Euclidean Quantum Field Theory.
Stochastic analysis and its applications, 19(5), 677-702 (2001).

36
S. Albeverio, Z.  Haba, F.  Russo: A two space dimensional semilinear heat equation perturbed by white noise.
Probability Theory and Related Fields,  121, 319-366 (2001). 
37
M. Oberguggenberger, F. Russo: Singular limits in nonlinear stochastic wave equations.  In A.B. Cruzeiro, J.-C. Zambrini (Eds.), Stochastic Analysis and Mathematical Physics.  Progress in Probability 50, Birkäuser 2001.
38
F.  Flandoli, F.  Russo: Generalized stochastic integration and stochastic ODE's.
Annals of Probability, Vol 30, No 1, 270-292 (2002)

39
 F.  Flandoli, F.  Russo: Generalized calculus and SDEs with non-regular drift. Stochastics and stochastics reports,
 Vol. 72 (1-2), 11-54 (2002).

40
M.  Errami, F.  Russo, P.  Vallois: Itô formula for  $C^{1,\lambda}$-functions of a càdlàg semimartingale.
Probab.  Theory Rel.  Fields,  1122, 191-221 (2002)

42
M. Errami, F.  Russo: n-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.   Stochastic Processes and their Applications
104, 259-299 (2003)


43
E.  Andrianjakaherivola, F.  Russo: The quantile of a diffusion.  Pricing a quantile lookback option. Preprint Paris 13, LAGA, 2001-08.

44
M.  Oberguggenberger, F.  Russo: Fuzzy, probabilistic and stochastic modeling of an elastically bedded beam.
In: G. de Cooman, T. Fine, T. Seidenfeld (Eds.), ISIPTA'01, Proceedings of the Second Symposium on Imprecise
Probabilities and Their Applications. Shaker Publ. BV, Maastricht 2001, 293 - 300.

45
M. Gradinaru, F. Russo, P. Vallois: Generalized covariations, local time and Stratonovich Itô's formula  for fractional Brownian motion with Hurst index $H \ge \frac{1}{4}$. Paris  13, LAGA, 2001-16. Annals of Probability, Vol. 31, No 4, 1772-1820 (2003)

46
F.  Flandoli, F.  Russo, J.  Wolf: Some SDEs  with distributional drift. Part I: General calculus.
Osaka Journal of Mathematics.  Vol. 40, No 2, 493-542 (2003).


47
 F.  Flandoli, F.  Russo, J.  Wolf: Some SDEs  with distributional drift. Part II: Lyons-Zheng structure, Ito's formula and
semimartingale characterization.    Random Operators Stochastic Equations (ROSE),
Vol. 12, No. 2, 145--184 (2004).

48
S. Peszat,  F. Russo. Large noise  asymptotics for one-dimensional diffusions. Bernoulli 11 (2), 2005, 247-262.

49
M. Gradinaru, I. Nourdin, F. Russo, P. Vallois:
$m$-order integrals and generalized Itô's formula: the case of
fractional Brownian motion with any Hurst index.
Ann. Inst. H. Poincaré Probab. Statist. 41, no. 4, 781-806 (2005).

50
 Z. Qian, F. Russo, W. Zheng: Comparison theorem and estimates for
transition probability densities of diffusion processes.
 Probab. Theory and Relat. Fields 127, 388-406 (2003)

51
 F. Russo, G. Trutnau:
About a construction and some analysis of time inhomogeneous diffusions on monotonely moving domains.
J. Funct. Anal.  221  (2005),  no. 1, 37--82.
52
H. Bessaih, M. Gubinelli, F. Russo.
The evolution of a random vortex filament. Preprint LAGA, 2004-19.
Ann. Probab.  33  (2005),  no. 5, 1825--1855.
53
F. Russo, C. Tudor.
On the bifractional Brownian motion.
Stochastic Processes and their applications,
116 (2006), 830-856.
Most cited articles 2005-2010
  54
 F. Russo. Stochastic Differential Equations (SDEs).
Preprint LAGA 2005-23.
Encyclopedia of Mathematical Physics, eds. J.-P. Françoise, G.L. Naber and
Tsou S.T.  Oxford: Elsevier, 2006 (ISBN 978-0-1251-2666-3), volume 5 page p. 63-70.
55
F. Russo, P. Vallois.
Elements of stochastic calculus via regularization.
http://fr.arXiv.org/abs/math.PR/0603224
Séminaire de Probabilités XL,
Lecture Notes in Math., Vol. 1899, Berlin Heidelberg New-York,
Springer, 147-186 (2007).
56
R. Coviello, F. Russo.
Non-semimartingales: stochastic differential equations and weak Dirichlet processes.
Annals of Probability 2007, Vol. 35, No. 1, 255-308.
http://front.math.ucdavis.edu/math.PR/0602384

57
F. Gozzi, F. Russo.
Weak Dirichlet processes with a stochastic control perspective.
http://arxiv.org/abs/math/0604326
Stochastic Processes and their applications.
116,  (2006) 1563-1583.
58
F. Gozzi, F. Russo.
 Verification theorems for stochastic optimal control problems via a time dependent Fukushima - Dirichlet decomposition.
http://arxiv.org/abs/math/0604327
Stochastic Processes and their applications.
Volume 116,  (2006) 1530-1562.
59
  F. Russo, G. Trutnau, Some parabolic PDEs whose drift is an irregular random noise in space.
Preprint Paris 13, LAGA, 2006-02.
Annals of Probability 2007, Vol. 35, No. 6, 2213-2362.
 60
I. Kruk,  F. Russo, C. Tudor.
Wiener integrals, Malliavin calculus and covariance structure measure.
http://fr.arxiv.org/abs/math.PR/0606069.
  J. Funct. Anal.  249  (2007),  no. 1, 92--142.
61
R. Coviello,  F. Russo.
Modeling financial assets without semimartingales.
Preprint BiBoS Bielefeld 2006-06-06-219
http://arxiv.org/abs/math.PR/0606642
62
F. Flandoli, M. Gubinelli and F. Russo:
On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model.
 Annales de l'Institut Henri Poincaré. Section: Probabilités et
 Statistiques 45  (2009),  no. 2, 545--576.
http://arxiv.org/abs/math.PR/0703100
63
Ph. Blanchard, M. Röckner, F. Russo:
Probabilistic representation for solutions of an irregular porous
media type equation.
Annals of Probability, vol. 38, no. 5, pp. 1870–1900, oct, 2010
http://aps.arxiv.org/abs/0805.2383
64
V. Barbu, M. Röckner, F. Russo:
Probabilistic representation for solutions of an irregular porous media
 type equation: the degenerate case
http://fr.arxiv.org/abs/0908.2701
Probability Theory and Related Fields, vol. 151, no 1-2, pp. 1-43, Springer, sep, 2011.
65
S. Goutte, N. Oudjane, F. Russo:
Variance Optimal Hedging for
 continuous time processes
with independent increments and applications.
Preprint HAL inria-00437984, 2009.
http://fr.arxiv.org/abs/0912.0372
66
 F. Russo, F. Viens.
 Gaussian and non-Gaussian processes of zero power variation.
Preprint HAL inria-00438532, 2009.
http://hal.archives-ouvertes.fr/inria-00438532/fr
67
 S. Goutte, N. Oudjane, F. Russo.
Variance Optimal Hedging for discrete time processes
with independent increments. Applications to Electricity Markets.
To appear: Journal of Computational Finance.
In implementation progress  on "PREMIA" (MathFi Project, INRIA).
http://uma.ensta-paristech.fr/publication.php?id=1169
Previous version:
http://hal.archives-ouvertes.fr/inria-00473032/fr/
(21 pages)
68
 C. Di Girolami, F. Russo.
 Infinite dimensional stochastic calculus via regularization.
Preprint HAL : inria-00473947, 2010.
http://hal.archives-ouvertes.fr/inria-00473947/fr/
(160 pages)
 N. Belaribi, F. Russo.
About Fokker-Planck equation with measurable coefficients:
 application to the fast diffusion equation.
Preprint HAL-INRIA-00645483 (2011).


69
C. Di Girolami, F. Russo.
Clark-Ocone type formula for non-semimartingales with
non-trivial quadratic variation.
Comptes rendus de l'Acad\'emie des Sciences  349(3-4), pp. 209 – 214.
http://hal.archives-ouvertes.fr/inria-00484993/fr/
70
N. Belaribi, F. Cuvelier, F. Russo.
A probabilistic algorithm approximating solutions of a singular PDE of porous media type.
To appear:  Monte Carlo Methods and Applications.
http://uma.ensta-paristech.fr/publication.php?id=1044
Previous version. Preprint HAL : inria--00535806, 2010.
http://hal.archives-ouvertes.fr/inria-00535806/en
(44 pages).
71
R. Coviello,  C. Di Girolami, F. Russo.
On stochastic calculus related to  financial assets without semimartingales.
Bulletin Scienses Mathématiques, vol. 135, pp. 733–774, jul, 2011.
http://uma.ensta-paristech.fr/files/publis/2011/2011-art-uma1127-NSModels20juillet2011.pdf
72
C. Di Girolami, F. Russo.
Generalized covariation for Banach valued processes and Itô formula
Preprint: HAL-inria 00545660, Submitted. 53 pages.
http://hal.archives-ouvertes.fr/inria-00545660/en/
73
C. Di Girolami, F. Russo.
Generalized covariation and extended Fukushima decompositions for
Banach valued processes. Application to windows of Dirichlet processes.
44 pages.
Preprint HAL  inria-00594871.
http://hal-ensta.archives-ouvertes.fr/ENSTA/inria-00594871/fr/
74
 N. Belaribi, F. Russo.
About Fokker-Planck equation with measurable coefficients:
 application to the fast diffusion equation.
44 pages.
Preprint HAL-INRIA-00645483 (2011).
 http://hal.inria.fr/hal-00645483/fr/


Edition
1

E.  Bolthausen, M.  Dozzi, F.  Russo, eds.  Progress in  Probability, Vol.  36.  Seminar on Stochastic Analysis, Random Fields
and Applications, Centro Stefano Franscini, Ascona 1993.  Birkhäuser  (1995).
2
R.  Dalang, M.  Dozzi, F.  Russo, eds.  Seminar on Stochastis, Analysis, Random Fields and Applications.  Progress in Probability, Vol.  45, Birkhäuser, Basel (1999) ISBN 3-7643-6106-9.


3
R.  Dalang, M.  Dozzi, F.  Russo, eds.   Seminar on Stochastis  Analysis, Random Fields and Applications III,
Centro Stefano Franscini, Ascona 1999. Progress in Probability, Vol. 52, Birkhäuser, Basel-Boston-Berlin (2002).
ISBN 3-7643-6721

4
 R.  Dalang, M.  Dozzi, F.  Russo, eds.
Seminar on stochastic analysis, random fields and applications IV,
Progress in Probability 58, Birkhäuser Verlag 2004
ISBN 3-7643-7131-5

  5
R. Dalang, M.  Dozzi, F.  Russo, eds.
Seminar on stochastic analysis, random fields and applications V,
Ascona 2005,  Progress in Probability 59, Birkäuser Verlag 2008
ISBN 978-3-7643-8457-9

  6
R.  Dalang, M.  Dozzi, F.  Russo, eds.
Seminar on stochastic analysis, random fields and applications VI,
Ascona 2008,  Progress in Probability 63, Birkhäuser Verlag 2011.
ISBN 978-3-0348-0020-4



Dernière mise à jour: 5 janvier  2012