Frank Norbert Proske
Professor
-
Risiko og Stokastikk

English version of this page
E-post
proske@math.uio.no
Telefon
+47-22855867
Rom
1014
Brukernavn
Besøksadresse
Moltke Moes vei 35
Niels Henrik Abels hus
0851 OSLO
Postadresse
Postboks 1053 Blindern
0316 OSLO
Publikasjoner
- 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. . doi: https://doi.org/10.1007/s10884-019-09789-4 Vis sammendrag
- 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.
- 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
- 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.
- 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
- 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. ISSN 1083-6489. 23(132), s 1- 35 . doi: 10.1214/18-EJP259
- 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; 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 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.
- 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 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)
- 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) 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
- 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. Preprint series (Universitetet i Oslo. Matematisk institutt). 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. Preprint series (Universitetet i Oslo. Matematisk institutt). 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. 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
- 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
- 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.
- 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.
Publisert 13. nov. 2010 14:42
- Sist endret 6. nov. 2018 11:55