Frank Norbert Proske

Bilde av Frank Norbert Proske
English version of this page
Telefon +47 22855867
Rom 1014
Brukernavn
Besøksadresse Moltke Moes vei 35 Niels Henrik Abels hus 0851 Oslo
Postadresse Postboks 1053 Blindern 0316 Oslo
Emneord: Statistikk, Stokastisk analyse/Finans - forsikring og risiko

Publikasjoner

  • Kersting, Hans; Orvieto, Antonio; Proske, Frank Norbert & Lucchi, Aurelien (2022). Mean first exit times of Ornstein-Uhlenbeck processes in high-dimensional spaces. arXiv.org. ISSN 2331-8422.
  • Coffie, Emmanuel; Mao, Xuerong & Proske, Frank Norbert (2022). On the Analysis of a Generalised Rough Ait-Sahalia Interest Rate Model. arXiv.org. ISSN 2331-8422.
  • Kalinin, Alexander; Meyer-Brandis, Thilo & Proske, Frank Norbert (2022). Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs in arbitrary moments. arXiv.org. ISSN 2331-8422.
  • Harang, Fabian Andsem; Nilssen, Torstein & Proske, Frank Norbert (2022). Girsanov theorem for multifractional Brownian processes. Stochastics: An International Journal of Probability and Stochastic Processes. ISSN 1744-2508.
  • Orvieto, Antonio; Kersting, Hans; Proske, Frank Norbert; Bach, Francis & Lucchi, Aurelien (2022). Anticorrelated Noise Injection for Improved Generalization. Proceedings of Machine Learning Research (PMLR). ISSN 2640-3498.
  • Lucchi, Aurelien; Proske, Frank Norbert; Orvieto, Antonio; Bach, Francis & Kersting, Hans (2022). On the Theoretical Properties of Noise Correlation in Stochastic Optimization. Advances in Neural Information Processing Systems. ISSN 1049-5258.
  • Coffie, Emmanuel; Duedahl, Sindre & Proske, Frank Norbert (2022). Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs. Stochastic Processes and their Applications. ISSN 0304-4149. 156, s. 156–195. doi: 10.1016/j.spa.2022.11.001.
  • Agram, Nacira; Haadem, Sven; Øksendal, Bernt Karsten & Proske, Frank Norbert (2022). Optimal Stopping, Randomized Stopping, and Singular Control with General Information Flow. Theory of Probability and its Applications. ISSN 0040-585X. 66(4), s. 601–612. doi: 10.1137/S0040585X97T990642.
  • Harang, Fabian Andsem; Nilssen, Torstein & Proske, Frank Norbert (2022). GIRSANOV THEOREM FOR MULTIFRACTIONAL BROWNIAN PROCESSES. Stochastics: An International Journal of Probability and Stochastic Processes. ISSN 1744-2508. doi: 10.1080/17442508.2022.2027948. Fulltekst i vitenarkiv
  • Baños, David; Ortiz-Latorre, Salvador; Pilipenko, Andrey & Proske, Frank Norbert (2021). Strong Solutions of Stochastic Differential Equations with Generalized Drift and Multidimensional Fractional Brownian Initial Noise. Journal of theoretical probability. ISSN 0894-9840. doi: 10.1007/s10959-021-01084-7. Fulltekst i vitenarkiv
  • Agram, Nacira; Haadem, Sven; Øksendal, Bernt Karsten & Proske, Frank Norbert (2021). Optimal stopping, randomized stopping and singular control with general information flow . Theory of Probability and its Applications. ISSN 0040-585X. 66(4), s. 760–773. doi: 10.4213/tvp5514.
  • Amine, Oussama; Mansouri, Abdol-Reza & Proske, Frank Norbert (2020). Well-posedness of the Deterministic Transport Equation with Singular Velocity Field Perturbed along Fractional Brownian Paths. arXiv.org. ISSN 2331-8422.
  • Amine, Oussama; Baños, David & Proske, Frank Norbert (2020). Regularity properties of the stochastic flow of a skew fractional Brownian motion. Infinite Dimensional Analysis Quantum Probability and Related Topics. ISSN 0219-0257. 23(1). doi: 10.1142/S0219025720500058. Fulltekst i vitenarkiv
  • Amine, Oussama; Coffie, Emmanuel; Harang, Fabian Andsem & Proske, Frank Norbert (2020). Bismut–Elworthy–Li formula, singular SDEs, fractional Brownian motion, Malliavin calculus, stochastic flows, stochastic volatility. Communications in Mathematical Sciences. ISSN 1539-6746. 18(7), s. 1863–1890. doi: 10.4310/CMS.2020.v18.n7.a3.
  • Baños, David; Bauer, Martin; Meyer-Brandis, Thilo & Proske, Frank Norbert (2019). Restoration of Well-Posedness of Infinite-dimensional Singular ODE's via Noise. arXiv.org. ISSN 2331-8422. Fulltekst i vitenarkiv
  • Agram, Nacira; Bachouch, Achref; Øksendal, Bernt & Proske, Frank Norbert (2019). Singular control and optimal stopping of memory mean-field processes. SIAM Journal on Mathematical Analysis. ISSN 0036-1410. 51(1), s. 450–468. doi: 10.1137/18M1174787.
  • Banos, David; Bølviken, Erik; Duedahl, Sindre & Proske, Frank Norbert (2019). Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes. Scandinavian Actuarial Journal. ISSN 0346-1238. doi: 10.1080/03461238.2019.1636858. Fulltekst i vitenarkiv
  • Baños, David Ruiz; Nilssen, Torstein Kastberg & Proske, Frank Norbert (2019). Strong Existence and Higher Order Fréchet Differentiability of Stochastic Flows of Fractional Brownian Motion Driven SDEs with Singular Drift. Journal of Dynamics and Differential Equations. ISSN 1040-7294. 32, s. 1819–1866. doi: 10.1007/s10884-019-09789-4. Fulltekst i vitenarkiv
  • Baños, David; Di Nunno, Giulia; Haferkorn, Hannes Hagen & Proske, Frank Norbert (2018). Stochastic functional differential equations and sensitivity to their initial path. I Celledoni, Elena; Di Nunno, Giulia; Ebrahimi-Fard, Kurusch & Munthe-Kaas, Hans (Red.), Computation and Combinatorics in Dynamics, Stochastics and Control. Springer. ISSN 978-3-030-01592-3. s. 37–70. doi: 10.1007/978-3-030-01593-0_2.
  • Agram, Nacira; Haadem, Sven; Øksendal, Bernt & Proske, Frank Norbert (2018). Optimal stopping, randomized stopping and singular control with partial information flow. arXiv.org. ISSN 2331-8422.
  • Amine, Oussama; Banos, David & Proske, Frank Norbert (2018). Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion. arXiv.org. ISSN 2331-8422. doi: 10.1142/s0219025720500058.
  • Amine, Oussama; Coffie, Emmanuel; Harang, Fabian Andsem & Proske, Frank Norbert (2018). A Bismut-Elworthy-Li Formula for Singular SDE's Driven by a Fractional Brownian Motion and Applications to Rough Volatility Modeling. arXiv.org. ISSN 2331-8422.
  • Bauer, Martin; Meyer-Brandis, Thilo & Proske, Frank Norbert (2018). Strong solutions of mean-field stochastic differential equations with irregular drift. Electronic Journal of Probability (EJP). ISSN 1083-6489. 23(132), s. 1–35. doi: 10.1214/18-EJP259. Fulltekst i vitenarkiv
  • 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. doi: 10.1016/j.spl.2017.09.005.
  • Pilipenko, Andrey & Proske, Frank Norbert (2018). On a selection problem for small noise perturbation in the multidimensional case. Stochastics and Dynamics. ISSN 0219-4937. 18(6). doi: 10.1142/S0219493718500454. Fulltekst i vitenarkiv
  • 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. 54(3), s. 1464–1491. doi: 10.1214/17-AIHP845. Fulltekst i vitenarkiv
  • Baños, David Ruiz & Proske, Frank Norbert (2017). C-infinity-regularization by Noise of Singular ODE's. arXiv.org. ISSN 2331-8422. Fulltekst i vitenarkiv
  • 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. Fulltekst i vitenarkiv
  • 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. doi: 10.1016/j.spl.2017.09.005.
  • Pilipenko, Andrey & Proske, Frank Norbert (2015). On a Selection Problem for Small Noise Perturbation in Multidimensional Case. arXiv.org. ISSN 2331-8422. doi: 10.1142/s0219493718500454.
  • 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. doi: 10.1007/s10884-019-09789-4.
  • 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.
  • 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.
  • 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.
  • 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.
  • Kettler, Paul Carlisle; Yablonski, Aleh & Proske, Frank Norbert (2013). Market microstructure and price discovery. Journal of Mathematical Finance. ISSN 2162-2434. 3(1). doi: 10.4236/jmf.2013.31001.
  • 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.
  • 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. Fulltekst i vitenarkiv
  • 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. Fulltekst i vitenarkiv
  • 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. Fulltekst i vitenarkiv
  • 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.
  • 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. doi: 10.31390/cosa.6.3.07.
  • 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. Fulltekst i vitenarkiv
  • 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). doi: 10.1016/j.automatica.2013.04.011. Fulltekst i vitenarkiv
  • 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. doi: 10.31390/cosa.5.3.06.
  • 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.
  • 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. I Di Nunno, Giulia & Øksendal, Bernt (Red.), Advanced Mathematical Methods for Finance. Springer. ISSN 978-3-642-18411-6. s. 181–221. doi: 10.1007/978-3-642-18412-3_7.
  • 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. s. 363–385. doi: 10.1007/978-3-319-02069-3_17.
  • 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.
  • Menoukeu, Olivier Pamen; Meyer-Brandis, Thilo & Proske, Frank Norbert (2010). A Gel'fand triple approach to the small noise problem for discontinuous ODE's. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 0806-2439.
  • 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. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 0806-2439.
  • 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.
  • 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.
  • 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.
  • 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. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 0806-2439. 11.
  • 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. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 0806-2439.
  • Pamen, Olivier Menoukeu; Proske, Frank Norbert & Salleh, Hassilah Binti (2009). Stochastic Differential Games in Insider Markets via Malliavin Calculus. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 0806-2439.
  • 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.
  • Di Nunno, Giulia; Øksendal, Bernt; Pamen, Olivier Menoukeu & Proske, Frank Norbert (2009). Uniqueness of Decompositions of Skorohod-Semimartingales. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 0806-2439.
  • Kettler, Paul Carlisle; Pamen, Olivier Menoukeu & Proske, Frank Norbert (2009). On Local Times: Application to Pricing Using Bid-Ask. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 0806-2439.
  • Di Nunno, Giulia; Øksendal, Bernt; Pamen, Olivier Menoukeu & Proske, Frank Norbert (2009). Uniqueness of Decompositions of Skorohod-Semimartingales. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 0806-2439.
  • 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. I Bensoussan, Alain; Qiang, Zhang & Ciarlet, Philippe G (Red.), MATHEMATICAL MODELLING AND NUMERICAL METHODS IN FINANCE. Elsevier. ISSN 978-0-444-51879-8.
  • 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.
  • 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.
  • Meyer-Brandis, Thilo & Proske, Frank Norbert (2008). Explicit representation of strong solutions of SDE's driven by infinite dimensional Lévy processes. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 0806-2439. s. 1–18.
  • 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. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 0806-2439.
  • 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. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 0806-2439.
  • Proske, Frank Norbert (2007). Stochastic differential equations- some new ideas. Stochastics and Stochastics Reports. ISSN 1045-1129. 79(6), s. 563–600.
  • 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).
  • 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.
  • 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, Frank Norbert (2005). Malliavin calculus and anticipative Ito formulae for Levy processes. Infinite Dimensional Analysis Quantum Probability and Related Topics. ISSN 0219-0257. 8(2), s. 235–258. doi: 10.1142/S0219025705001950.
  • 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.
  • 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. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 0806-2439.

Se alle arbeider i Cristin

  • 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.

Se alle arbeider i Cristin

  • Amine, Oussama; Mansouri, Abdol-Reza & Proske, Frank Norbert (2022). Well-posedness of the Deterministic Transport Equation with Singular Velocity Field Perturbed along Fractional Brownian Paths.
  • Amine, Oussama; Mansouri, Abdol-Reza & Proske, Frank Norbert (2022). Well-posedness of the Deterministic Transport Equation with Singular Velocity Field Perturbed along Fractional Brownian Paths.
  • Amine, Oussama; Mansouri, Abdol-Reza & Proske, Frank Norbert (2020). Well-posedness of the Deterministic Transport Equation with Singular Velocity Field Perturbed along Fractional Brownian Paths.
  • Proske, Frank Norbert (2019). Strong solutions of SDE's with generalized drift and multidimensional fractional Brownian initial nise.
  • 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.
  • 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.
  • Proske, Frank Norbert (2012). Construction and Malliavin differentiability of strong solutions of SDEs with merely measurable drift.
  • 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.
  • 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). On the construction of strong solutions of SDE's without pathwise uniqueness.
  • Proske, Frank Norbert (2008). "Gratis lunsj" og finans.
  • Nilssen, Torstein Kastberg; Mohammed, Salah-Eldin & Proske, Frank Norbert (2012). Sobolev Differentiable Stochastic Flows for SDE’s with SingularCoefficients: Applications to the Transport Equation. Matematisk institutt, UiO. Fulltekst i vitenarkiv
  • 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. Universitetet i Oslo. ISSN 0806-2439. Fulltekst i vitenarkiv
  • Meyer-Brandis, Thilo; Proske, Frank Norbert & Mandrekar, Vidyadhar (2007). A Bayes formula for non-linear filtering with Gaussian and Cox noise. Preprint Series in Pure Mathematics (13).
  • Di Nunno, Giulia; Kohatsu-Higa, Arturo; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank Norbert & Sulem, Agnès (2005). Optimal Portfolio for a "large" Insider in a Market driven by Lévy Processes. Universitetet i Oslo.

Se alle arbeider i Cristin

Publisert 13. nov. 2010 14:42 - Sist endret 26. aug. 2022 14:55

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