Frank Norbert Proske

• Baños, David Ruiz; Ortiz-Latorre, Salvador; Pilipenko, Andrey & Proske, Frank Norbert (2021). Strong solutions of d-dimensional SDE's with generalized drift and fractional Brownian initial noise. Journal of theoretical probability.  ISSN 0894-9840. Fulltekst i vitenarkiv.
• 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
• 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.
• 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
• 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. Vis sammendrag

  In this paper we present a new method for the construction of strong solutions of SDE’s with merely integrable drift coefficients driven by a multidimensional fractional Brownian motion with Hurst parameter H<1/2. Furthermore, we prove the rather surprising result of the higher order Fréchet differentiability of stochastic flows of such SDE’s in the case of a small Hurst parameter. In establishing these results we use techniques from Malliavin calculus combined with new ideas based on a “local time variational calculus”. We expect that our general approach can be also applied to the study of certain types of stochastic partial differential equations as e.g. stochastic conservation laws driven by rough paths.

• 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.
• 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. Vis sammendrag

  In this paper we aim at modeling stochastic transition rates of state processes in life insurance by using generalized Cox processes. A feature of a our non-Gaussian model is that it can be used to capture ‘regime switching’ effects of data which may be due to regulatory changes in insurance markets or external ‘shocks’ caused e.g. by an economical crisis, natural disasters or epidemics. We propose a method how to estimate the unknown parameters of our model for stochastic transition rates from insurance data by using non-linear filtering techniques for Lévy processes. As a result we also obtain an explicit formula for the unnormalized density of a filtering problem with singular coefficients.

• 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.
• 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; Di Nunno, Giulia; Haferkorn, Hannes Hagen & Proske, Frank Norbert (2018). Stochastic functional differential equations and sensitivity to their initial path, In Elena Celledoni; Giulia Di Nunno; Kurusch Ebrahimi-Fard & Hans Munthe-Kaas (ed.),  Computation and Combinatorics in Dynamics, Stochastics and Control.  Springer.  ISBN 978-3-030-01592-3.  2.  s 37 - 70
• 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 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.
• 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
• 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.
• 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] Fulltekst i vitenarkiv.
• Harang, Fabian Andsem; Proske, Frank Norbert & Nilssen, Torstein Kastberg (2017). Girsanov Theorem for Multifractional Brownian Processes. arXiv.org.  ISSN 2331-8422. 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
• 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
• 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
• 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 Fulltekst i vitenarkiv.
• 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.
• 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.
• 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
• 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 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.
• 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
• 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.  s 363- 385 . doi: 10.1007/978-3-319-02069-3_17
• 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 . doi: 10.31390/cosa.5.3.06
• 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.  (25)
• 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.  (19)
• 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. Preprint series (Universitetet i Oslo. Matematisk institutt).  ISSN 0806-2439.  (21)
• 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.  (10)
• 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.  (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. Preprint series (Universitetet i Oslo. Matematisk institutt).  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. Preprint series (Universitetet i Oslo. Matematisk institutt).  ISSN 0806-2439.  11
• 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.  (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. Preprint series (Universitetet i Oslo. Matematisk institutt).  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. Preprint series (Universitetet i Oslo. Matematisk institutt).  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. Preprint series (Universitetet i Oslo. Matematisk institutt).  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. Preprint series (Universitetet i Oslo. Matematisk institutt).  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. Preprint series (Universitetet i Oslo. Matematisk institutt).  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. Preprint series (Universitetet i Oslo. Matematisk institutt).  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

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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.

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• 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.
• 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. Fulltekst i vitenarkiv.
• 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. Fulltekst i vitenarkiv.
• 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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