Publications

2017

  • A note on time-dependent additive functionals
    Adrien Barrasso and Francesco Russo
    Communications on Stochastic Analysis, vol. 11 no 3, pp. 313-334, sep, 2017   images/icons/doctype_pdf.png  images/icons/icon_doi.png images/icons/icon_hal.png images/icons/icon_arxiv.png

2019

  • Path-dependent Martingale Problems and Additive Functionals
    Adrien Barrasso and Francesco Russo
    Stochastics and Dynamics, vol. 19 (4), pp. 1950027 (39 pages), apr, 2019    images/icons/doctype_pdf.png   images/icons/icon_doi.png images/icons/icon_hal.png images/icons/icon_arxiv.png

2020

  • Decoupled mild solutions of path-dependent PDEs and Integro PDEs represented by BSDEs driven by cadlag martingales
    Adrien Barrasso and Francesco Russo
    Potential Analysis., vol. 53, pp. 449-481, jul, 2020    images/icons/doctype_pdf.png   images/icons/icon_doi.png images/icons/icon_hal.png images/icons/icon_arxiv.png

2021

  • Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations. Part II: Decoupled mild solutions and Examples.
    Adrien Barrasso and Francesco Russo
    Journal of Theoretical Probabililty., may, 2021     images/icons/doctype_pdf.png images/icons/icon_doi.png images/icons/icon_hal.png images/icons/icon_arxiv.png
  • Martingale driven BSDEs, PDEs and other related deterministic problems
    Adrien Barrasso and Francesco Russo
    Stochastic Processes and their Applications, vol. 133, 193-228, feb, 2021   images/icons/doctype_pdf.png  images/icons/icon_doi.png images/icons/icon_hal.png images/icons/icon_arxiv.png
  • Controlled diffusion Mean Field Games with common noise, and McKean-Vlasov second order backward SDEs.                                                                                                                                Adrien Barrasso and Nizar Touzi                                                                                                                          Theory of Probability and its Applications,  2021, Volume 66, Issue 4, Pages 774–805 images/icons/icon_doi.png images/icons/icon_arxiv.png

To appear

  • Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes.
    Adrien Barrasso and Francesco Russo  in Stochastics and Dynamics. images/icons/doctype_pdf.png images/icons/icon_hal.png images/icons/icon_arxiv.png

Preprints

  • Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations.
    Adrien Barrasso and Francesco Russo. ArXiv.