Author

Frank Proske

Observed names: F. N. Proske, F. Proske, F. Ν. PROSKE, FRANK N. PROSKE, FRANK PROSKE, FRANK Ν. PROSKE, Frank Norbert Proske, Frank N. Proske, Frank Norbert Proske, Frank Proske ,, Frank Proske,, Proske, F., Proske, F.N., Proske, Frank, Proske, Frank Norbert

Institution: University of Oslo

Observed institutions: Universiti Malaysia Terengganu, University of Oslo, University of Basel, Universität Ulm, Middle East Technical University, Indiana University Bloomington, Indiana University, Norwegian School of Economics

ORCID: 0000-0002-0463-0726

Observed ORCID: 0000-0002-0463-0726

OpenAlex ID: A5079213730

Malliavin Calculus for Lévy Processes with Applications to Finance

2008 · Nunno, Giulia, Øksendal, Bernt, et al. · Springer eBooks · 459

White noise analysis for Lévy processes

2003 · Giulia Di Nunno, Bernt Øksendal, et al. · Journal of Functional Analysis · 107

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

2003 · Fred Espen Benth, Giulia Di Nunno, et al. · Mathematical Finance · 87

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

2006 · Giulia Di Nunno, Thilo Meyer-Brandis, et al. · Quantitative Finance · 78

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Malliavin Calculus and Anticipative Itô Formulae for Lévy Processes

2005 · GIULIA DI NUNNO, THILO MEYER-BRANDIS, et al. · Infinite Dimensional Analysis Quantum Probability and Related Topics · 77

Sobolev differentiable stochastic flows for SDEs with singular coefficients: Applications to the transport equation

2015 · Salah-Eldin A. Mohammed, Torstein K. Nilssen, et al. · The Annals of Probability · 76

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

2013 · Olivier Menoukeu-Pamen, Thilo Meyer-Brandis, et al. · Mathematische Annalen · 68

Construction of strong solutions of SDE's via Malliavin calculus

2009 · Thilo Meyer-Brandis, Frank Proske · Journal of Functional Analysis · 63

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A Maximum Principle for Infinite Horizon Delay Equations

2013 · N. Agram, S. Haadem, et al. · SIAM Journal on Mathematical Analysis · 62

Stochastic Partial Differential Equations driven by Lévy Space-Time White Noise

2002 · Løkka, Arne, Øksendal, Bernt, et al. · NORA - Norwegian Open Research Archives · 57

Strong solutions of mean-field stochastic differential equations with irregular drift

2018 · Martin Bauer, Thilo Meyer-Brandis, et al. · Electronic Journal of Probability · 46

Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields

2005 · Bernt Øksendal, Frank Proske, et al. · Stochastics · 44

White Noise of Poisson Random Measures

2004 · Bernt Øksendal, Frank Proske · Potential Analysis · 44

Maximum principles for jump diffusion processes with infinite horizon

2013 · Sven Haadem, Bernt Øksendal, et al. · Automatica · 38

Central limit theorems for generalized set-valued random variables

2003 · Shoumei Li, Yukio Ogura, et al. · Journal of Mathematical Analysis and Applications · 37

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

2019 · David Baños, Torstein Nilssen, et al. · Journal of Dynamics and Differential Equations · 30

Strong Law of Large Numbers for Banach Space Valued Fuzzy Random Variables

2002 · Frank N. Proske, Madan L. Puri · Journal of Theoretical Probability · 28

On Explicit Strong Solution of Itô–sde's and the Donsker Delta Function of a Diffusion

2004 · ALBERTO LANCONELLI, FRANK PROSKE · Infinite Dimensional Analysis Quantum Probability and Related Topics · 24

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Explicit Solution of a Non-Linear Filtering Problem for L�vy Processes with Application to Finance

2004 · Thilo Meyer-Brandis, Frank Proske · Applied Mathematics & Optimization · 23

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

2014 · Sven Haadem, Frank Proske · Journal of Functional Analysis · 22

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On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients

2006 · Thilo Meyer-Brandis, Frank Proske · Communications in Mathematical Sciences · 22

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Computing deltas without derivatives

2017 · D. Baños, T. Meyer-Brandis, et al. · Finance and Stochastics · 19

Infinite dimensional analysis of pure jump Lévy processes on the Poisson space

2006 · Arne Løkka, Frank Norbert Proske · MATHEMATICA SCANDINAVICA · 19

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Central limit theorem for Banach space valued fuzzy random variables

2001 · Frank Proske, Madan Puri · Proceedings of the American Mathematical Society · 19

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2022 · Orvieto, Antonio, Kersting, Hans, et al. · arXiv (Cornell University) · 13

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Works count: 145

Citation count: 1,859

H-index: 21

I10-index: 36