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Francesco Russo  - - - 
Top co-authors
Antonio Comi

45 shared publications

Department of Enterprise Engineering, “Tor Vergata” University of Rome, Italy

Giovanni Staglianò

32 shared publications

Instituto de Matemática, Universidade Federal Fluminense, Niterói, Brazil

Giuseppe Musolino

16 shared publications

DIIES – Dipartimento di ingegneria dell’Informazione, delle Infrastrutture e dell’Energia Sostenibile, Università degli Studi Mediterranea di Reggio Calabria, Italy

Vincenzo Assumma

2 shared publications

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Publication Record
Distribution of Articles published per year 
(2010 - 2017)
Total number of journals
published in
 
3
 
Publications See all
PREPRINT 0 Reads 0 Citations A note on time-dependent additive functionals Adrien Barrasso, Francesco Russo Published: 17 August 2017
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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 is a significant tool for the analysis of BSDEs in law. In particular we extend to a non-homogeneous setup some results concerning the quadratic variation and the angular bracket of Martin-gale Additive Functionals (in short MAF) associated to a homogeneous Markov processes.
PREPRINT 0 Reads 0 Citations Martingale driven BSDEs, PDEs and other related deterministic problems Adrien Barrasso, Francesco Russo Published: 25 July 2017
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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 those BSDEs we associate a deterministic problem which, when the Markov process is a Brownian diffusion, is nothing else but a parabolic type PDE. The solution of the deterministic problem is intended as decoupled mild solution, and it is formulated with the help of a time-inhomogeneous semigroup.
PREPRINT 0 Reads 0 Citations Discrete-type approximations for non-Markovian optimal stopping problems: Part I Dorival Leão, Alberto Ohashi, Francesco Russo Published: 17 July 2017
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In this paper, we present an approximation scheme to solve optimal stopping problems based on fully non-Markovian reward continuous processes adapted to the filtration generated by the multi-dimensional Brownian motion. The approximations satisfy suitable variational inequalities which allow us to construct $\epsilon$-optimal stopping times and optimal values in full generality. More importantly, the methodology allows us to design concrete Monte-Carlo schemes for non-Markovian optimal stopping time problems as demonstrated in the companion paper [5] . The framework is applied to path-dependent SDEs driven by Brownian motion and to SDEs with additive noise driven by fractional Brownian motion.
PREPRINT 0 Reads 0 Citations Discrete-type approximations for non-Markovian optimal stopping problems: Part II Sérgio C. Bezerra, Alberto Ohashi, Francesco Russo Published: 17 July 2017
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In this paper, we present a Longstaff-Schwartz-type algorithm for the discretization method designed in Le\~ao, Ohashi and Russo [28]. In contrast to previous works, our methodology applies to optimal stopping problems for fully non-Markovian and non-semimartingale state processes. Based on statistical learning theory techniques, we provide overall error estimates in terms of concrete approximation architecture spaces with finite Vapnik-Chervonenkis dimension. Analytical properties of continuation values for path-dependent SDEs and concrete linear architecture approximating spaces are also discussed.
PREPRINT 0 Reads 0 Citations Congruences of 5-secant conics and the rationality of some admissible cubic fourfolds Giovanni Staglianò, Francesco Russo Published: 04 July 2017
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Kuznetsov Conjecture and the work of Hassett predict that a general cubic fourfold belonging to an irreducible divisor $\mathcal C_d$ parametrizing smooth cubic hypersurfaces in $\mathbb{P}^5$ of discriminant $d$ is rational if and only if $d$ is an admissible value in the sense of Hassett, that is if and only if $d$ is a positive integer not divisible by 4, by 9 and nor by any odd prime of the form $2+3m$. Our main result is the proof of this conjecture for the smallest admissible values $d=26$ and $d=38$ for which the problem is open (the case $d=14$ being classical), via the construction of a congruence of 5-secant conics to a surface $S_d$ contained in the general element of $\mathcal C_d$ for $d=14,26,38$.
Article 0 Reads 1 Citation Competition between ro–ro and lo–lo services in short sea shipping market: The case of Mediterranean countries Francesco Russo, Giuseppe Musolino, Vincenzo Assumma Published: 01 June 2016
Research in Transportation Business & Management, doi: 10.1016/j.rtbm.2016.03.002
DOI See at publisher website
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