Frank Norbert Proske

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

Publications

  • 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; Duedahl, Sindre; Meyer-Brandis, Thilo & Proske, Frank Norbert (2017). 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.
  • 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.  s 1- 41 . 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.
  • Baños, David Ruiz; Nilssen, Torstein Kastberg & Proske, Frank Norbert (2016). Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift. arXiv.org.  ISSN 2331-8422.
  • Pilipenko, Andrey & Proske, Frank Norbert (2016). On perturbations of an ODE with non-Lipschitz coefficients by a small self-similar noise. arXiv.org.  ISSN 2331-8422.
  • Banos, David Ruiz; Nilssen, Torstein Kastberg & Proske, Frank Norbert (2015). Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDE's with singular drift. arXiv.org.  ISSN 2331-8422.
  • Mohammed, Salah-Eldin; Nilssen, Torstein Kastberg & Proske, Frank Norbert (2015). Sobolev differentiable stochastic flows for sdes with singular coefficients: Applications to the transport equation. Annals of Probability.  ISSN 0091-1798.  43(3), s 1535- 1576 . doi: 10.1214/14-AOP909
  • Pilipenko, Andrey & Proske, Frank Norbert (2015). On a Selection Problem for Small Noise Perturbation in Multidimensional Case. arXiv.org.  ISSN 2331-8422.
  • Bølviken, Erik; Proske, Frank Norbert & Rubtsov, Mark (2014). Pricing of Margrabe options for large investors with application to asset-liability management in life insurance. Journal of Mathematical Finance.  ISSN 2162-2434.  4(2), s 113- 122 . doi: 10.4236/jmf.2014.42011
  • Haadem, Sven & Proske, Frank Norbert (2014). On the Construction and Malliavin Differentiability of Solutions of Levy Noise driven SDE's with Singular Coefficients. Journal of Functional Analysis.  ISSN 0022-1236.  266(8), s 5321- 5359 . doi: 10.1016/j.jfa.2014.02.009
  • Pamen, Olivier Menoukeu; Proske, Frank Norbert & Salleh, Hassilah Binti (2014). Stochastic differential games in insider markets via Malliavin calculus. Journal of Optimization Theory and Applications.  ISSN 0022-3239.  160(1), s 302- 343 . doi: 10.1007/s10957-013-0310-z
  • Agram, Nacira; Haadem, Sven; Øksendal, Bernt & Proske, Frank Norbert (2013). A maximum principle for infinite horizon delay equatations. SIAM Journal on Mathematical Analysis.  ISSN 0036-1410.  45(4), s 2499- 2522 . doi: 10.1137/120882809 Full text in Research Archive.
  • Agram, Nacira; Haadem, Sven; Øksendal, Bernt & Proske, Frank Norbert (2013). A maximum principle for infinite horizon delay equations. SIAM Journal on Mathematical Analysis.  ISSN 0036-1410.  45, s 2499- 2522 . doi: 10.1137/120882809
  • Flandoli, Franco; Nilssen, Torstein Kastberg & Proske, Frank Norbert (2013). Malliavin differentiability and strong solutions for a class of SDE in Hilbert spaces. Preprint series (Universitetet i Oslo. Matematisk institutt).  ISSN 0806-2439. Full text in Research Archive.
  • Haadem, Sven; Øksendal, Bernt & Proske, Frank Norbert (2013). Maximum principles for jump diffusion processes with infinite horizon. Automatica.  ISSN 0005-1098.  49(7), s 2267- 2275 . doi: 10.1016/j.automatica.2013.04.011 Full text in Research Archive.
  • Kettler, Paul Carlisle; Yablonski, Aleh & Proske, Frank Norbert (2013). Market microstructure and price discovery. Journal of Mathematical Finance.  ISSN 2162-2434.  3(1)
  • Menoukeu Pamen, Olivier; Meyer-Brandis, Thilo; Proske, Frank Norbert & Salleh, Hassilah Binti (2013). Malliavin Calculus Applied to Optimal Control of Stochastic Partial Differential Equations with Jumps. Stochastics: An International Journal of Probability and Stochastic Processes.  ISSN 1744-2508.  85(3), s 431- 463 . doi: 10.1080/17442508.2011.652964
  • Menoukeu, Olivier Pamen; Meyer-Brandis, Thilo; Nilssen, Torstein Kastberg; Proske, Frank Norbert & Zhang, Tusheng (2013). A variational approach to the construction and Malliavin differentiability of strong solutions of SDE's. Mathematische Annalen.  ISSN 0025-5831.  357(2), s 761- 799 . doi: 10.1007/s00208-013-0916-3
  • Agram, Nacira; Haadem, Sven; Øksendal, Bernt & Proske, Frank Norbert (2012). A MAXIMUM PRINCIPLE FOR INFINITE HORIZON DELAY EQUATIONS. Preprint series (Universitetet i Oslo. Matematisk institutt).  ISSN 0806-2439.  4 Full text in Research Archive.
  • Haadem, Sven; Øksendal, Bernt & Proske, Frank Norbert (2012). Maximum principles for jump diffusion processes with infinite horizon. Preprint series (Universitetet i Oslo. Matematisk institutt).  ISSN 0806-2439.  April(3) Full text in Research Archive.
  • Yolcu, Okur Yeliz; Proske, Frank Norbert & Salleh, Hassilah Binti (2012). SDE Solutions in the Space of Smooth Random Variables. Communications on Stochastic Analysis.  ISSN 0973-9599.  6(3), s 451- 470
  • Di Nunno, Giulia; Pamen, Olivier Menoukeu; Øksendal, Bernt & Proske, Frank Norbert (2011). A general maximum principle for anticipative stochastic control and applications to insider trading, In Giulia Di Nunno & Bernt Øksendal (ed.),  Advanced Mathematical Methods for Finance.  Springer.  ISBN 978-3-642-18411-6.  Chapter.  s 181 - 221
  • Di Nunno, Giulia; Øksendal, Bernt; Menoukeu Pamen, Olivier & Proske, Frank Norbert (2011). Uniqueness of Decompositions of Skorohod-Semimartingales. Infinite Dimensional Analysis Quantum Probability and Related Topics.  ISSN 0219-0257.  14(1), s 15- 24 . doi: 10.1142/S0219025711004274
  • Kettler, Paul Carlisle; Proske, Frank Norbert & Rubtsov, Mark (2011). Sensitivity with respect to the yield curve: duration in a stochastic setting. Springer Series in Statistics.  ISSN 0172-7397.
  • Mandrekar, Vidyadhar; Meyer-Brandis, Thilo & Proske, Frank Norbert (2011). A Bayes Formula for Nonlinear Filtering with Gaussian and Cox Noise. Journal of Probability and Statistics.  ISSN 1687-952X. . doi: 10.1155/2011/259091
  • Proske, Frank Norbert; Rubtsov, Mark & Ta, An Thi Kieu (2011). RISK INDIFFERENCE PRICING OF FUNCTIONAL CLAIMS OF THE YIELD SURFACE IN THE PRESENCE OF PARTIAL INFORMATION TA. Communications on Stochastic Analysis.  ISSN 0973-9599.  5(3), s 541- 563
  • An, Ta Thi Kieu; Proske, Frank Norbert & Rubtsov, Mark (2010). Risk Indifference Pricing of Functional Claims of the Yield Surface in the Presence of Partial Information. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (19)
  • Menoukeu, Olivier Pamen; Meyer-Brandis, Thilo & Proske, Frank Norbert (2010). A Gel'fand triple approach to the small noise problem for discontinuous ODE's. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (25)
  • Meyer-Brandis, Thilo & Proske, Frank Norbert (2010). Construction of strong solutions of SDE's via Malliavin calculus. Journal of Functional Analysis.  ISSN 0022-1236.  258(11), s 3922- 3953 . doi: 10.1016/j.jfa.2009.11.010
  • Meyer-Brandis, Thilo & Proske, Frank Norbert (2010). Explicit Representation of Strong Solutions of SDEs Driven by Infinite-Dimensional L,vy Processes. Journal of theoretical probability.  ISSN 0894-9840.  23(1), s 301- 314 . doi: 10.1007/s10959-009-0226-6
  • Ta, An Thi Kieu; Proske, Frank Norbert & Rubtsov, Mark (2010). A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets. Stochastics: An International Journal of Probability and Stochastic Processes.  ISSN 1744-2508.  82(1), s 3- 23 . doi: 10.1080/17442500902723542
  • Benth, Fred Espen & Proske, Frank Norbert (2009). Utility indifference pricing of interest rate guarantees. International Journal of Theoretical and Applied Finance.  ISSN 0219-0249.  12(1), s 63- 82 . doi: 10.1142/S0219024909005117
  • Di Nunno, Giulia; Øksendal, Bernt; Pamen, Olivier Menoukeu & Proske, Frank Norbert (2009). A general maximum principle for anticipative stochastic control and applications to insider trading. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (21)
  • Di Nunno, Giulia; Øksendal, Bernt; Pamen, Olivier Menoukeu & Proske, Frank Norbert (2009). Uniqueness of Decompositions of Skorohod-Semimartingales. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (10)
  • Di Nunno, Giulia; Øksendal, Bernt; Pamen, Olivier Menoukeu & Proske, Frank Norbert (2009). Uniqueness of Decompositions of Skorohod-Semimartingales. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (10)
  • Henriksen, Pål Nikolai; Hove, Arne; Meyer-Brandis, Thilo & Proske, Frank Norbert (2009). Pricing interest rate guarantees in a defined benefit pension system. Statistical research report (Universitetet i Oslo. Matematisk institut.  ISSN 0806-3842.  (3)
  • Kettler, Paul Carlisle; Pamen, Olivier Menoukeu & Proske, Frank Norbert (2009). On Local Times: Application to Pricing Using Bid-Ask. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (13)
  • Meyer-Brandis, Thilo & Proske, Frank Norbert (2009). Explicit Representation of Strong Solutions of SDEs Driven by Infinite-Dimensional Lévy Processes. Journal of theoretical probability.  ISSN 0894-9840.  s 1- 14 . doi: 10.1007/s10959-009-0226-6
  • Ocur, Yeliz Yolcu; Proske, Frank Norbert & Salleh, Hassilah Binti (2009). SDE solutions in the space of smooth random variables. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  11
  • Pamen, Olivier Menoukeu; Proske, Frank Norbert & Salleh, Hassilah Binti (2009). Stochastic Differential Games in Insider Markets via Malliavin Calculus. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (24)
  • An, Ta Thi Kieu; Proske, Frank Norbert & Rubtsov, Mark (2008). A SPDE Maximum Principle for Stochastic Differential Games under Partial Information with Application to Optimal Portfolios on Fixed Income Markets. Stochastics: An International Journal of Probability and Stochastic Processes.  ISSN 1744-2508.
  • Di Nunno, Giulia; Kohatsu-Higa, Arturo; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank Norbert & Sulem, Agnès (2008). Anticipative stochastic control for Lévy processes with application to insider trading, In Alain Bensoussan; Zhang Qiang & Philippe G Ciarlet (ed.),  MATHEMATICAL MODELLING AND NUMERICAL METHODS IN FINANCE.  Elsevier.  ISBN 978-0-444-51879-8.  15.
  • Meyer-Brandis, Thilo & Proske, Frank Norbert (2008). Explicit representation of strong solutions of SDE's driven by infinite dimensional Lévy processes. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (27), s 1- 18
  • Øksendal, Bernt; Proske, Frank Norbert & Ta, An Thi Kieu (2008). A Maximum Principle Approach to Risk Indifference Pricing with Partial Information. Journal of Applied Mathematics and Stochastic Analysis.  ISSN 1048-9533.  2008(3) . doi: 10.1155/2008/821243
  • Menoukeu, Olivier Pamen; Meyer-Brandis, Thilo; Proske, Frank Norbert & Salleh, Hassilah B. (2007). Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (23)
  • Proske, Frank Norbert (2007). Stochastic differential equations- some new ideas. Stochastics and Stochastics Reports.  ISSN 1045-1129.  79(6), s 563- 600
  • Ta, An Thi Kieu; Proske, Frank Norbert & Rubtsov, Mark (2007). A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (19)
  • Øksendal, Bernt; Proske, Norbert Frank & Signahl, Mikael (2006). The Cauchy problem for the wave equation with Levy noise initial data. Infinite Dimensional Analysis Quantum Probability and Related Topics.  ISSN 0219-0257.  9, s 249- 270
  • Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt & Proske, Norbert Frank (2006). Optimal portfolio for an insider in a market driven by Levy processes. Quantitative finance (Print).  ISSN 1469-7688.  6, s 83- 94
  • Løkka, Arne & Proske, Frank Norbert (2006). Infinite dimensional analysis of pure jump Levy processes on Poisson space. Mathematica Scandinavica.  ISSN 0025-5521.  98, s 237- 261
  • Meyer-Brandis, Thilo & Proske, Norbert Frank (2006). On the existence and explicit representability of strong solutions of Levy noise driven SDE's with irregular coefficients. Communications in Mathematical Sciences.  ISSN 1539-6746.  4(1)
  • Kettler, Paul; Proske, Frank Norbert & Yablonski, Aleh (2005). Market micro structure and price discovery. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (31)
  • Øksendal, Bernt; Proske, Frank Norbert & Zhang, Tusheng (2005). Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields. Stochastics and Stochastics Reports.  ISSN 1045-1129.  77(5)
  • Di Nunno, Giulia; Kohatsu-Higa, Arturo; Meyer-Brandis, Thilo; Proske, Frank Norbert; Øksendal, Bernt & Sulem, Agnès (2005). Optimal portfolio for a "large" insider in a market driven by Lévy processes. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (30)
  • Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt & Proske, Norbert Frank (2005). Malliavin calculus and anticipative Ito formulae for Levy processes. Infinite Dimensional Analysis Quantum Probability and Related Topics.  ISSN 0219-0257.  8, s 235- 258
  • Lanconelli, Alberto & Proske, Frank Norbert (2004). A new approach to strong solutions of SDE's with non-Lipschitzian coefficients. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (2)
  • Mataramvura, Sure; Øksendal, Bernt & Proske, Frank Norbert (2004). The Donsker delta function of a Levy process with applications to chaos expansion of local time. Annales de l'I.H.P. Probabilites et statistiques.  ISSN 0246-0203.  40(5), s 553- 567
  • Proske, Frank Norbert (2004). The stochastic transport equation driven by Levy white noise. Communications in Mathematical Sciences.  ISSN 1539-6746.  2(4), s 627- 641
  • Di Nunno, Giulia; Øksendal, Bernt & Proske, Norbert Frank (2004). White noise analysis for Levy processes. Journal of Functional Analysis.  ISSN 0022-1236.  206, s 109- 148
  • Lanconelli, Alberto & Proske, Frank Norbert (2004). On explicit strong solutions of Ito-SDE's and the Donsker delta function of a diffusion. Infinite Dimensional Analysis Quantum Probability and Related Topics.  ISSN 0219-0257.  7(3)
  • Løkka, Arne; Øksendal, Bernt & Proske, Frank Norbert (2004). Stochastic partial differential equations driven by Levy space-time white noise. The Annals of Applied Probability.  ISSN 1050-5164.  14(3), s 1506- 1528
  • Meyer-Brandis, Thilo & Proske, Frank Norbert (2004). Explicit solution of a non-linear filtering problem for Levy processes with application to finance. Applied mathematics and optimization.  ISSN 0095-4616.  50, s 119- 134
  • Lanconelli, Alberto & Proske, Frank Norbert (2003). Explicit strong solutions of stochastic differential equations on Hilbert spaces. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (34)
  • Li, Shoumei; Ogura, Y.; Proske, Frank Norbert & Puri, Madan L. (2003). Central limit theorem for generalized set-valued random variables. Journal of Mathematical Analysis and Applications.  ISSN 0022-247X.  285(1), s 250- 263
  • Proske, Frank Norbert & Puri, Madan L. (2003). A strong law of large numbers for generalized random sets from the viewpoint of the theory of empirical processes. Proceedings of the American Mathematical Society.  ISSN 0002-9939.  131(9), s 2937- 2944
  • Øksendal, Bernt; Proske, Frank Norbert & Signahl, Mikael (2003). The Cauchy problem for the wave equation with Levy noise initial data. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (3)
  • Li, Shoumei; Ogura, Y.; Proske, Frank Norbert & Puri, Madan L. (2002). Limit theorems for set-valued random variables, In  Limit theorems and applications to set- and fuzzy-valued random variables.  Springer Science+Business Media B.V..  ISBN 1-4020-0918-6.  3.
  • Li, Shoumei; Ogura, Y.; Proske, Frank Norbert & Puri, Madan L. (2002). Survey on central limit theorem for set valued random sets, In  Recent developments in stochastic analysis and related topics.  S. Albeverio, Z-M. Ma, M. Roeckner.  ISBN 981-256-104-8.  contributions.  s 271 - 288

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  • Di Nunno, Giulia; Øksendal, Bernt & Proske, Frank Norbert (2009). Malliavin Calculus for Lévy Processes and Applications to Finance. Springer.  ISBN 978-3-540-78571-2.  413 s.

View all works in Cristin

  • Nilssen, Torstein Kastberg; Baños, David Ruiz & Proske, Frank Norbert (2016). Strong Existence and higher order differentiability of stochastic flows of fractional Brownian motion driven SDE's with singular drift.
  • Proske, Frank Norbert & Haadem, Sven (2014). On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients.
  • Haadem, Sven & Proske, Frank Norbert (2013). On the Construction and Malliavin Differentiability of Strong Solutions to Levy Noise Driven SDEs with Singular Coefficients.
  • Di Nunno, Giulia; L'Aurora, Edoardo; Moschetta, Marina; Proske, Frank Norbert & Ruiz-Banos, David (2012). Market with memory and sensitivity to the past.
  • Di Nunno, Giulia; L'Aurora, Edoardo; Moschetta, Marina; Proske, Frank Norbert & Ruiz-Banos, David (2012). Market with memory: pricing and sensitivity analysis.
  • Nilssen, Torstein Kastberg; Mohammed, Salah-Eldin & Proske, Frank Norbert (2012). Sobolev Differentiable Stochastic Flows for SDE’s with SingularCoefficients: Applications to the Transport Equation. Full text in Research Archive.
  • Proske, Frank Norbert (2012). Construction and Malliavin differentiability of strong solutions of SDEs with merely measurable drift.
  • Meyer-Brandis, Thilo; Nilssen, Torstein Kastberg; Pamen, Olivier Menoukeu; Proske, Frank Norbert & Zhang, Tusheng (2011). A variational approach to the construction and Malliavin differentiability of strong solutions of SDE's. Preprint series (Universitetet i Oslo. Matematisk institutt). 2011. Full text in Research Archive.
  • Proske, Frank Norbert (2010). Computing Greeks without Derivatives (joint paper with Menoukeu-Pamen, O., Meyer-Brandis, T. in progress).
  • Henriksen, Pål Nikolai; Hove, Arne; Meyer-Brandis, Thilo & Proske, Frank Norbert (2009). Pricing interest rate guarantees in Norwegian defined benefit pension.
  • Proske, Frank Norbert (2009). Construction of Strong Solutions of SDE's via Malliavin Calculus.
  • Proske, Frank Norbert (2008). "Gratis lunsj" og finans.
  • Proske, Frank Norbert (2008). On the construction of strong solutions of SDE's without pathwise uniqueness.
  • Meyer-Brandis, Thilo; Proske, Frank Norbert & Mandrekar, Vidyadhar (2007). A Bayes formula for non-linear filtering with Gaussian and Cox noise.
  • Proske, Frank Norbert (2005). Stochastic differential equations from the perspective of white noise analysis.
  • Proske, Frank Norbert (2005). Stochastic differential equations- some new ideas.
  • Proske, Frank Norbert (2005). Stochastic partial differential equations with application to partial observation control.
  • Di Nunno, Giulia; Kohatsu-Higa, Arturo; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank Norbert & Sulem, Agnès (2005). Optimal portfolio for a "small" and a "large" insider in a market driven by Levy processes.
  • Meyer-Brandis, Thilo & Proske, Frank Norbert (2004). "podium discussion: characterization theorems for the Meyer-Watanabe test function and distribution space".
  • Meyer-Brandis, Thilo & Proske, Norbert Frank (2004). Explicit Representation of Solutions of Forward Stochastic Differential Equations.
  • Meyer-Brandis, Thilo & Proske, Norbert Frank (2004). On the Existence and Explicit Representability of Strong Solutions of Lévy Noise Driven SDE's with Irregular Coefficients.
  • Proske, Frank Norbert (2004). Explicit solution of a non-linear filtering problem for Levy processes with application to finance.
  • Proske, Frank Norbert (2004). On explicit strong solutions of Ito-SDE's and the Donsker delta function of a diffusion.

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