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 UiO
Untitled
|
|
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. UiO
Untitled
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
|
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. - UiO
Untitled
|
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
|
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) UiO
Untitled
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
|
14. |
Coffie, Emmanuel; Mao, Xuerong; Proske, Frank Norbert. On the Analysis of a Generalised Rough Ait-Sahalia Interest Rate Model. arXiv.org 2022 UiO
Untitled
|
|
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 UIA UiO
Untitled
|
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
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) UiO
Untitled
|
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
|
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. - UiO
Untitled
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
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 UiO
Untitled
|
|
31. |
Amine, Oussama; Banos, David; Proske, Frank Norbert. Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion. arXiv.org 2018 UiO
Untitled
|
|
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 UiO
Untitled
|
|
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 NHH UiO
Untitled
|
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
|
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) UiO
Untitled
|
|
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 UiO
Untitled
|
2017
|
38. |
Baños, David Ruiz; Haferkorn, Hannes Hagen; Proske, Frank Norbert. Strong Uniqueness of Singular Stochastic Delay Equations. arXiv.org 2017 UiO
Untitled
|
|
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 UiO
Untitled
|
|
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 HINN UiO
Untitled
|
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 UiO
Untitled
|
|
42. |
Pilipenko, Andrey; Proske, Frank Norbert. On perturbations of an ODE with non-Lipschitz coefficients by a small self-similar noise. arXiv.org 2016 UiO
Untitled
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
|
45. |
Pilipenko, Andrey; Proske, Frank Norbert. On a Selection Problem for Small Noise Perturbation in Multidimensional Case. arXiv.org 2015 UiO
Untitled
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
|
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 UiO
Untitled
|
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 UiO
Untitled
|