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Showing results 1-50 of 133 << Previous 1 2 3    Next >>

2024
1 Amine, Oussama; Baños, David Ruiz; Proske, Frank Norbert.
C-infinity-regularization by Noise of Singular ODE's. Journal of Dynamics and Differential Equations 2024
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2 Compagnoni, Enea; Orvieto, Antonio; Kersting, Hans; Proske, Frank Norbert; Lucchi, Aurelien.
SDEs for Minimax Optimization. Proceedings of Machine Learning Research (PMLR) 2024 ;Volume 206.
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2023
3 Agram, Nacira; Øksendal, Bernt Karsten; Proske, Frank Norbert; Tymoshenko, Olena.
Optimal control of SPDEs driven by time-space Brownian motion. arXiv.org 2023
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4 Amine, Oussama; Mansouri, Abdol-Reza; Proske, Frank Norbert.
Well-posedness of the deterministic transport equation with singular velocity field perturbed along fractional Brownian paths. Journal of Differential Equations 2023 ;Volume 362. p. 106-172
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5 Baños, David; Bauer, Martin; Meyer-Brandis, Thilo; Proske, Frank Norbert.
Restoration of Well-Posedness of Infinite-Dimensional Singular ODE’s via Noise. Potential Analysis 2023 p. -
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6 Bogso, Antoine-Marie; Menoukeu-Pamen, Olivier; Proske, Frank Norbert.
EXISTENCE OF STRONG SOLUTIONS OF FRACTIONAL BROWNIAN SHEET DRIVEN SDES WITH INTEGRABLE DRIFT.. arXiv.org 2023
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7 Coffie, Emmanuel; Mao, Xuerong; Proske, Frank Norbert.
On the Analysis of Ait-Sahalia-Type Model for Rough Volatility Modelling. Journal of theoretical probability 2023
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8 Compagnoni, Enea; Biggio, Luca; Orvieto, Antonio; Proske, Frank Norbert; Kersting, Hans; Lucchi, Aurelien.
An SDE for Modeling SAM: Theory and Insights. Proceedings of Machine Learning Research (PMLR) 2023 ;Volume 202. p. 25209-25253
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9 Kersting, Hans; Orvieto, Antonio; Proske, Frank Norbert; Lucchi, Aurelien.
Mean first exit times of Ornstein-Uhlenbeck processes in high-dimensional spaces. Journal of Physics A: Mathematical and Theoretical 2023 ;Volume 56.(21)
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2022
10 Amine, Oussama; Mansouri, Abdol-Reza; Proske, Frank Norbert.
Well-posedness of the Deterministic Transport Equation with Singular Velocity Field Perturbed along Fractional Brownian Paths. STORM workshop 2022; 2022-09-05 - 2022-09-08
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11 Amine, Oussama; Mansouri, Abdol-Reza; Proske, Frank Norbert.
Well-posedness of the Deterministic Transport Equation with Singular Velocity Field Perturbed along Fractional Brownian Paths. Second Norwegian Meeting on PDEs; 2022-06-08 - 2022-06-10
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12 Bogso, Antoine-Marie; Dieye, Moustapha; Menoukeu-Pamen, Olivier; Proske, Frank Norbert.
SMOOTHNESS OF SOLUTIONS OF HYPERBOLIC STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH L∞-VECTOR FIELDS. arXiv.org 2022
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13 Coffie, Emmanuel; Duedahl, Sindre; Proske, Frank Norbert.
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 2022 ;Volume 156. p. 156-195
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14 Coffie, Emmanuel; Mao, Xuerong; Proske, Frank Norbert.
On the Analysis of a Generalised Rough Ait-Sahalia Interest Rate Model. arXiv.org 2022
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15 Harang, Fabian Andsem; Nilssen, Torstein; Proske, Frank Norbert.
GIRSANOV THEOREM FOR MULTIFRACTIONAL BROWNIAN PROCESSES. Stochastics: An International Journal of Probability and Stochastic Processes 2022
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16 Kalinin, Alexander; Meyer-Brandis, Thilo; Proske, Frank Norbert.
Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs in arbitrary moments. arXiv.org 2022
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17 Lucchi, Aurelien; Proske, Frank Norbert; Orvieto, Antonio; Bach, Francis; Kersting, Hans.
On the Theoretical Properties of Noise Correlation in Stochastic Optimization. Advances in Neural Information Processing Systems 2022
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18 Orvieto, Antonio; Kersting, Hans; Proske, Frank Norbert; Bach, Francis; Lucchi, Aurelien.
Anticorrelated Noise Injection for Improved Generalization. Proceedings of Machine Learning Research (PMLR) 2022 ;Volume 162. p. 17094-17116
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2021
19 Agram, Nacira; Haadem, Sven; Øksendal, Bernt Karsten; Proske, Frank Norbert.
Optimal stopping, randomized stopping and singular control with general information flow. Theory of Probability and its Applications 2021 ;Volume 66.(4) p. 760-773
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20 Baños, David; Ortiz-Latorre, Salvador; Pilipenko, Andrey; Proske, Frank Norbert.
Strong Solutions of Stochastic Differential Equations with Generalized Drift and Multidimensional Fractional Brownian Initial Noise. Journal of theoretical probability 2021
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2020
21 Amine, Oussama; Baños, David; Proske, Frank Norbert.
Regularity properties of the stochastic flow of a skew fractional Brownian motion. Infinite Dimensional Analysis Quantum Probability and Related Topics 2020 ;Volume 23.(1)
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22 Amine, Oussama; Coffie, Emmanuel; Harang, Fabian Andsem; Proske, Frank Norbert.
Bismut–Elworthy–Li formula, singular SDEs, fractional Brownian motion, Malliavin calculus, stochastic flows, stochastic volatility. Communications in Mathematical Sciences 2020 ;Volume 18.(7) p. 1863-1890
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23 Amine, Oussama; Mansouri, Abdol-Reza; Proske, Frank Norbert.
Well-posedness of the Deterministic Transport Equation with Singular Velocity Field Perturbed along Fractional Brownian Paths. Malliavin Calculus and its Applications, Webinar University of Kiev; 2020-12-01 - 2020-12-01
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24 Amine, Oussama; Mansouri, Abdol-Reza; Proske, Frank Norbert.
Well-posedness of the Deterministic Transport Equation with Singular Velocity Field Perturbed along Fractional Brownian Paths. arXiv.org 2020 p. -
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2019
25 Agram, Nacira; Bachouch, Achref; Øksendal, Bernt; Proske, Frank Norbert.
Singular control and optimal stopping of memory mean-field processes. SIAM Journal on Mathematical Analysis 2019 ;Volume 51.(1) p. 450-468
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26 Baños, David; Bauer, Martin; Meyer-Brandis, Thilo; Proske, Frank Norbert.
Restoration of Well-Posedness of Infinite-dimensional Singular ODE's via Noise. arXiv.org 2019
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27 Banos, David; Bølviken, Erik; Duedahl, Sindre; Proske, Frank Norbert.
Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes. Scandinavian Actuarial Journal 2019
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28 Baños, David Ruiz; Nilssen, Torstein Kastberg; Proske, Frank Norbert.
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 2019 ;Volume 32. p. 1819-1866
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29 Proske, Frank Norbert.
Strong solutions of SDE's with generalized drift and multidimensional fractional Brownian initial nise. Colloquium in probability and other talks in winter term 2019/20; 2019-12-09
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2018
30 Agram, Nacira; Haadem, Sven; Øksendal, Bernt; Proske, Frank Norbert.
Optimal stopping, randomized stopping and singular control with partial information flow. arXiv.org 2018
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31 Amine, Oussama; Banos, David; Proske, Frank Norbert.
Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion. arXiv.org 2018
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32 Amine, Oussama; Coffie, Emmanuel; Harang, Fabian Andsem; Proske, Frank Norbert.
A Bismut-Elworthy-Li Formula for Singular SDE's Driven by a Fractional Brownian Motion and Applications to Rough Volatility Modeling. arXiv.org 2018
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33 Baños, David; Di Nunno, Giulia; Haferkorn, Hannes Hagen; Proske, Frank Norbert.
Stochastic functional differential equations and sensitivity to their initial path. I: Computation and Combinatorics in Dynamics, Stochastics and Control. Springer 2018 ISBN 978-3-030-01592-3. p. 37-70
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34 Baños, David Ruiz; Duedahl, Sindre; Meyer-Brandis, Thilo; Proske, Frank Norbert.
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 2018 ;Volume 54.(3) p. 1464-1491
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35 Bauer, Martin; Meyer-Brandis, Thilo; Proske, Frank Norbert.
Strong solutions of mean-field stochastic differential equations with irregular drift. Electronic Journal of Probability (EJP) 2018 ;Volume 23.(132) p. 1-35
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36 Pilipenko, Andrey; Proske, Frank Norbert.
On a selection problem for small noise perturbation in the multidimensional case. Stochastics and Dynamics 2018 ;Volume 18.(6)
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37 Pilipenko, Andrey; Proske, Frank Norbert.
On perturbations of an ODE with non-Lipschitz coefficients by a small self-similar noise. Statistics and Probability Letters 2018 ;Volume 132. p. 62-73
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2017
38 Baños, David Ruiz; Haferkorn, Hannes Hagen; Proske, Frank Norbert.
Strong Uniqueness of Singular Stochastic Delay Equations. arXiv.org 2017
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39 Baños, David Ruiz; Meyer-Brandis, Thilo; Proske, Frank Norbert; Duedahl, Sindre.
Computing Deltas without Derivatives. Finance and Stochastics 2017 ;Volume 21.(2) p. 509-549
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40 Baños, David Ruiz; Ortiz-Latorre, Salvador; Pilipenko, Andrey; Proske, Frank Norbert.
Strong solutions of SDE's with generalized drift and multidimensional fractional Brownian initial noise. FINEWSTOCH Networkshop II; 2017-11-08 - 2017-11-09
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2016
41 Nilssen, Torstein Kastberg; Baños, David Ruiz; Proske, Frank Norbert.
Strong Existence and higher order differentiability of stochastic flows of fractional Brownian motion driven SDE's with singular drift. seminar; 2016-03-09 - 2016-03-09
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42 Pilipenko, Andrey; Proske, Frank Norbert.
On perturbations of an ODE with non-Lipschitz coefficients by a small self-similar noise. arXiv.org 2016
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2015
43 Banos, David Ruiz; Nilssen, Torstein Kastberg; Proske, Frank Norbert.
Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDE's with singular drift. arXiv.org 2015
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44 Mohammed, Salah-Eldin; Nilssen, Torstein Kastberg; Proske, Frank Norbert.
Sobolev differentiable stochastic flows for sdes with singular coefficients: Applications to the transport equation. Annals of Probability 2015 ;Volume 43.(3) p. 1535-1576
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45 Pilipenko, Andrey; Proske, Frank Norbert.
On a Selection Problem for Small Noise Perturbation in Multidimensional Case. arXiv.org 2015
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2014
46 Bølviken, Erik; Proske, Frank Norbert; Rubtsov, Mark.
Pricing of Margrabe options for large investors with application to asset-liability management in life insurance. Journal of Mathematical Finance 2014 ;Volume 4.(2) p. 113-122
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47 Haadem, Sven; Proske, Frank Norbert.
On the Construction and Malliavin Differentiability of Solutions of Levy Noise driven SDE's with Singular Coefficients. Journal of Functional Analysis 2014 ;Volume 266.(8) p. 5321-5359
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48 Pamen, Olivier Menoukeu; Proske, Frank Norbert; Salleh, Hassilah Binti.
Stochastic differential games in insider markets via Malliavin calculus. Journal of Optimization Theory and Applications 2014 ;Volume 160.(1) p. 302-343
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49 Proske, Frank Norbert; Haadem, Sven.
On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients. Interrnational Congress of Mathematicians; 2014-08-13 - 2014-08-21
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2013
50 Agram, Nacira; Haadem, Sven; Øksendal, Bernt; Proske, Frank Norbert.
A maximum principle for infinite horizon delay equatations. SIAM Journal on Mathematical Analysis 2013 ;Volume 45.(4) p. 2499-2522
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