Frank Proske

发表

Singular Control Optimal Stopping of Memory Mean-Field Processes

Bernt Øksendal, Achref Bachouch, Nacira Agram, 2018, SIAM J. Math. Anal..

Maximum principles for jump diffusion processes with infinite horizon

Bernt Øksendal, Frank Proske, Sven Haadem, 2012, Autom..

Stochastic Differential Games in Insider Markets via Malliavin Calculus

Olivier Menoukeu Pamen, Frank Proske, H. Binti Salleh, 2014, J. Optim. Theory Appl..

Optimal stopping, randomized stopping and singular control with partial information flow

Nacira Agram, Frank Proske, Sven Haadem, 2018 .

A Maximum Principle for Infinite Horizon Delay Equations

Bernt Øksendal, Nacira Agram, Frank Proske, 2012, SIAM J. Math. Anal..

Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach

Thilo Meyer-Brandis, Frank Proske, Alexander Kalinin, 2021, 2107.07838.

Sensitivity Analysis with respect to a Stock Price Model with Rough Volatility via a Bismut-Elworthy-Li Formula for Singular SDEs

Frank Proske, Emmanuel Coffie, Sindre Duedahl, 2021 .

Strong Solutions of Stochastic Differential Equations with Generalized Drift and Multidimensional Fractional Brownian Initial Noise

Salvador Ortiz-Latorre, Frank Proske, Andrey Pilipenko, 2021, Journal of Theoretical Probability.

Girsanov theorem for multifractional Brownian processes

Frank Proske, Fabian A. Harang, Torstein Nilssen, 2017, Stochastics.

Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting

Frank Proske, Paul C. Kettler, Mark Rubtsov, 2014 .

Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes

Frank Proske, Bernt Oksendal, Giulia Di Nunno, 2003 .

White Noise of Poisson Random Measures

Bernt Øksendal, Frank Proske, B. Øksendal, 2004 .

MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES

Bernt Øksendal, Thilo Meyer-Brandis, Frank Proske, 2005 .

Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada–Watanabe principle

Thilo Meyer-Brandis, Frank Proske, Sindre Duedahl, 2015, Annales de l'Institut Henri Poincaré, Probabilités et Statistiques.

Strong Existence and Higher Order Fréchet Differentiability of Stochastic Flows of Fractional Brownian Motion Driven SDEs with Singular Drift

Frank Proske, Torstein Nilssen, F. Proske, 2015, Journal of Dynamics and Differential Equations.

On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients

Frank Proske, Sven Haadem, F. Proske, 2014 .

Central limit theorems for generalized set-valued random variables

Yukio Ogura, Shoumei Li, Frank Proske, 2003 .

Central limit theorem for Banach space valued fuzzy random variables

Frank Proske, Madan L. Puri, M. Puri, 2001 .

Malliavin Calculus for Lévy Processes with Applications to Finance

Bernt Øksendal, Frank Proske, Giulia Di Nunno, 2008 .

Construction of strong solutions of SDE's via Malliavin calculus

Thilo Meyer-Brandis, Frank Proske, F. Proske, 2010 .

Optimal portfolio for an insider in a market driven by Lévy processes

Bernt Øksendal, Thilo Meyer-Brandis, Frank Proske, 2006 .

A strong law of large numbers for generalized random sets from the viewpoint of empirical processes

Frank Proske, Madan L. Puri, M. Puri, 2003 .

The Stochastic Transport Equation Driven by Levy White Noise

Frank Proske, 2004 .

Strong Solutions of Mean-Field Stochastic Differential Equations with irregular drift

Martin Bauer, Thilo Meyer-Brandis, Frank Proske, 2018, 1806.11451.

White Noise Analysis for Lévy Processes.

Bernt Øksendal, Frank Proske, Giulia Di Nunno, 2004 .

A Maximum Principle Approach to Risk Indifference Pricing with Partial Information

Bernt Øksendal, Frank Proske, B. Øksendal, 2008 .

A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s

Thilo Meyer-Brandis, Frank Proske, Tusheng Zhang, 2013 .

Central limit theorems for generalized set-valued random variables

Yukio Ogura, Shoumei Li, Frank Proske, 2004 .