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Showing results 1-50 of 108 << Previous 1 2 3    Next >>

2020
1 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
UiO Untitled
 
2 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. Communications in Mathematical Sciences 2020
UiO Untitled
 
2019
3 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
 
4 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
 
5 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
 
6 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
UiO Untitled
 
2018
7 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
 
8 Amine, Oussama; Banos, David; Proske, Frank Norbert.
Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion. arXiv.org 2018
UiO Untitled
 
9 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
 
10 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
 
11 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
 
12 Bauer, Martin; Meyer-Brandis, Thilo; Proske, Frank Norbert.
Strong solutions of mean-field stochastic differential equations with irregular drift. Electronic Journal of Probability 2018 ;Volume 23.(132) p. 1-35
UiO Untitled
 
13 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
 
14 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
15 Baños, David Ruiz; Haferkorn, Hannes Hagen; Proske, Frank Norbert.
Strong Uniqueness of Singular Stochastic Delay Equations. arXiv.org 2017
UiO Untitled
 
16 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
 
17 Baños, David Ruiz; Ortiz-Latorre, Salvador; Pilipenko, Andrey; Proske, Frank Norbert.
Strong solutions of d-dimensional SDE's with generalized drift and fractional Brownian initial noise. arXiv.org 2017
UiO Untitled
 
18 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
 
19 Baños, David Ruiz; Proske, Frank Norbert.
C-infinity-regularization by Noise of Singular ODE's. arXiv.org 2017
UiO Untitled
 
20 Harang, Fabian Andsem; Proske, Frank Norbert; Nilssen, Torstein Kastberg.
Girsanov Theorem for Multifractional Brownian Processes. arXiv.org 2017
UiO Untitled
 
2016
21 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
 
22 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
23 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
 
24 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
 
25 Pilipenko, Andrey; Proske, Frank Norbert.
On a Selection Problem for Small Noise Perturbation in Multidimensional Case. arXiv.org 2015
UiO Untitled
 
2014
26 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
 
27 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
 
28 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
 
29 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
30 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
 
31 Agram, Nacira; Haadem, Sven; Øksendal, Bernt; Proske, Frank Norbert.
A maximum principle for infinite horizon delay equations. SIAM Journal on Mathematical Analysis 2013 ;Volume 45. p. 2499-2522
UiO Untitled
 
32 Flandoli, Franco; Nilssen, Torstein Kastberg; Proske, Frank Norbert.
Malliavin differentiability and strong solutions for a class of SDE in Hilbert spaces. Preprint series (Universitetet i Oslo. Matematisk institutt) 2013
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33 Haadem, Sven; Proske, Frank Norbert.
On the Construction and Malliavin Differentiability of Strong Solutions to Levy Noise Driven SDEs with Singular Coefficients. foredrag; 2013-05-20 - 2013-05-20
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34 Haadem, Sven; Øksendal, Bernt; Proske, Frank Norbert.
Maximum principles for jump diffusion processes with infinite horizon. Automatica 2013 ;Volume 49.(7) p. 2267-2275
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35 Kettler, Paul Carlisle; Yablonski, Aleh; Proske, Frank Norbert.
Market microstructure and price discovery. Journal of Mathematical Finance 2013 ;Volume 3.(1)
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36 Menoukeu, Olivier Pamen; Meyer-Brandis, Thilo; Nilssen, Torstein Kastberg; Proske, Frank Norbert; Zhang, Tusheng.
A variational approach to the construction and Malliavin differentiability of strong solutions of SDE's. Mathematische Annalen 2013 ;Volume 357.(2) p. 761-799
UiO Untitled
 
37 Menoukeu Pamen, Olivier; Meyer-Brandis, Thilo; Proske, Frank Norbert; Salleh, Hassilah Binti.
Malliavin Calculus Applied to Optimal Control of Stochastic Partial Differential Equations with Jumps. Stochastics: An International Journal of Probability and Stochastic Processes 2013 ;Volume 85.(3) p. 431-463
UiO Untitled
 
2012
38 Agram, Nacira; Haadem, Sven; Øksendal, Bernt; Proske, Frank Norbert.
A MAXIMUM PRINCIPLE FOR INFINITE HORIZON DELAY EQUATIONS. Preprint series (Universitetet i Oslo. Matematisk institutt) 2012 ;Volume 4.
UiO Untitled
 
39 Di Nunno, Giulia; L'Aurora, Edoardo; Moschetta, Marina; Proske, Frank Norbert; Ruiz-Banos, David.
Market with memory and sensitivity to the past. Baschelier Seminars, IHP, Paris; 2012-12-14
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40 Di Nunno, Giulia; L'Aurora, Edoardo; Moschetta, Marina; Proske, Frank Norbert; Ruiz-Banos, David.
Market with memory: pricing and sensitivity analysis. SAMSA 2012; 2012-11-25 - 2012-11-29
UiO Untitled
 
41 Haadem, Sven; Øksendal, Bernt; Proske, Frank Norbert.
Maximum principles for jump diffusion processes with infinite horizon. Preprint series (Universitetet i Oslo. Matematisk institutt) 2012 ;Volume April.(3)
UiO Untitled
 
42 Nilssen, Torstein Kastberg; Mohammed, Salah-Eldin; Proske, Frank Norbert.
Sobolev Diļ¬€erentiable Stochastic Flows for SDE’s with SingularCoeļ¬ƒcients: Applications to the Transport Equation. : Matematisk institutt, UiO 2012 43 p.
UiO Untitled
 
43 Proske, Frank Norbert.
Construction and Malliavin differentiability of strong solutions of SDEs with merely measurable drift. SEMINARI DI PROBABILITÀ, ANALISI STOCASTICA E STATISTICA; 2012-05-03 - 2012-05-03
UiO Untitled
 
44 Yolcu, Okur Yeliz; Proske, Frank Norbert; Salleh, Hassilah Binti.
SDE Solutions in the Space of Smooth Random Variables. Communications on Stochastic Analysis 2012 ;Volume 6.(3) p. 451-470
UiO Untitled
 
2011
45 Di Nunno, Giulia; Pamen, Olivier Menoukeu; Øksendal, Bernt; Proske, Frank Norbert.
A general maximum principle for anticipative stochastic control and applications to insider trading. I: Advanced Mathematical Methods for Finance. Springer 2011 ISBN 978-3-642-18411-6. p. 181-221
NHH UiO Untitled
 
46 Di Nunno, Giulia; Øksendal, Bernt; Menoukeu Pamen, Olivier; Proske, Frank Norbert.
Uniqueness of Decompositions of Skorohod-Semimartingales. Infinite Dimensional Analysis Quantum Probability and Related Topics 2011 ;Volume 14.(1) p. 15-24
NHH UiO Untitled
 
47 Kettler, Paul Carlisle; Proske, Frank Norbert; Rubtsov, Mark.
Sensitivity with respect to the yield curve: duration in a stochastic setting. Springer Series in Statistics 2011
UiO Untitled
 
48 Mandrekar, Vidyadhar; Meyer-Brandis, Thilo; Proske, Frank Norbert.
A Bayes Formula for Nonlinear Filtering with Gaussian and Cox Noise. Journal of Probability and Statistics 2011 p. -
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49 Meyer-Brandis, Thilo; Nilssen, Torstein Kastberg; Pamen, Olivier Menoukeu; Proske, Frank Norbert; Zhang, Tusheng.
A variational approach to the construction and Malliavin differentiability of strong solutions of SDE's. : Universitetet i Oslo 2011 20 p. Preprint series (Universitetet i Oslo. Matematisk institutt)(2011)
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50 Proske, Frank Norbert; Rubtsov, Mark; Ta, An Thi Kieu.
RISK INDIFFERENCE PRICING OF FUNCTIONAL CLAIMS OF THE YIELD SURFACE IN THE PRESENCE OF PARTIAL INFORMATION TA. Communications on Stochastic Analysis 2011 ;Volume 5.(3) p. 541-563
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