Frank Norbert Proske

Image of Frank Norbert Proske
Norwegian version of this page
Phone +47-22855867
Room 820
Username
Visiting address Ullevål stadion Sognsveien 77 B 0855 OSLO
Postal address Postboks 1053 Blindern 0316 OSLO
Tags: Stochastic analysis and finance and insurance and risk, Statistics

Publications

  • Baños, David Ruiz; Duedahl, Sindre; Meyer-Brandis, Thilo & Proske, Frank Norbert (2018). Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle. Annales de l'I.H.P. Probabilites et statistiques.  ISSN 0246-0203.
  • Banos, David; Bølviken, Erik; Duedahl, Sindre & Proske, Frank Norbert (2018). Modeling and Estimation of Stochastic Transition Rates in Life Insurance with Regime Switching Based on Generalized Cox Processes. Preprint series (Universitetet i Oslo. Matematisk institutt).  ISSN 0806-2439.
  • Pilipenko, Andrey & Proske, Frank Norbert (2018). On perturbations of an ODE with non-Lipschitz coefficients by a small self-similar noise. Statistics and Probability Letters.  ISSN 0167-7152.  132, s 62- 73
  • Baños, David Ruiz; Di Nunno, Giulia; Haferkorn, Hannes Hagen & Proske, Frank Norbert (2017). Stochastic functional differential equations and sensitivity to their initial path. arXiv.org.  ISSN 2331-8422. Full text in Research Archive.
  • Baños, David Ruiz; Haferkorn, Hannes Hagen & Proske, Frank Norbert (2017). Strong Uniqueness of Singular Stochastic Delay Equations. arXiv.org.  ISSN 2331-8422.
  • Baños, David Ruiz; Meyer-Brandis, Thilo; Proske, Frank Norbert & Duedahl, Sindre (2017). Computing Deltas without Derivatives. Finance and Stochastics.  ISSN 0949-2984.  21(2), s 509- 549 . doi: 10.1007/s00780-016-0321-3 Full text in Research Archive.
  • Baños, David Ruiz; Ortiz-Latorre, Salvador; Pilipenko, Andrey & Proske, Frank Norbert (2017). Strong solutions of d-dimensional SDE's with generalized drift and fractional Brownian initial noise. arXiv.org.  ISSN 2331-8422. . doi: https://arxiv.org/abs/1705.01616 Full text in Research Archive.
  • Baños, David Ruiz & Proske, Frank Norbert (2017). C-infinity-regularization by Noise of Singular ODE's. arXiv.org.  ISSN 2331-8422. . doi: arXiv:1710.05760[math.FA] Full text in Research Archive.
  • Harang, Fabian Andsem; Proske, Frank Norbert & Nilssen, Torstein Kastberg (2017). Girsanov Theorem for Multifractional Brownian Processes. arXiv.org.  ISSN 2331-8422.

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  • Baños, David Ruiz; Ortiz-Latorre, Salvador; Pilipenko, Andrey & Proske, Frank Norbert (2017). Strong solutions of SDE's with generalized drift and multidimensional fractional Brownian initial noise.

View all works in Cristin

Published Nov. 30, 2010 11:20 PM - Last modified Sep. 26, 2012 11:25 AM