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Showing results 1-50 of 109 << 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 ;Volume 23.(1)
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
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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
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7 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
8 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
 
9 Amine, Oussama; Banos, David; Proske, Frank Norbert.
Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion. arXiv.org 2018
UiO Untitled
 
10 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
 
11 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
 
12 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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13 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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14 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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15 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
16 Baños, David Ruiz; Haferkorn, Hannes Hagen; Proske, Frank Norbert.
Strong Uniqueness of Singular Stochastic Delay Equations. arXiv.org 2017
UiO Untitled
 
17 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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18 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
 
19 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
 
20 Baños, David Ruiz; Proske, Frank Norbert.
C-infinity-regularization by Noise of Singular ODE's. arXiv.org 2017
UiO Untitled
 
21 Harang, Fabian Andsem; Proske, Frank Norbert; Nilssen, Torstein Kastberg.
Girsanov Theorem for Multifractional Brownian Processes. arXiv.org 2017
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2016
22 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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23 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
24 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
 
25 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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26 Pilipenko, Andrey; Proske, Frank Norbert.
On a Selection Problem for Small Noise Perturbation in Multidimensional Case. arXiv.org 2015
UiO Untitled
 
2014
27 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
 
28 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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29 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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30 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
31 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
 
32 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
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33 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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34 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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35 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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36 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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37 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
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38 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
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2012
39 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.
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40 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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41 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
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42 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)
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43 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.
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44 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
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45 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
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2011
46 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
 
47 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
 
48 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 p. 363-385
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49 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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50 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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