Person:1686367

Available identifiers

zbMath Open proske.frank-norbertMaRDI QIDQ1686367

List of research outcomes

Publication	Date of Publication	Type
Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach	2024-12-06	Paper
Stability, uniqueness and existence of solutions to McKean-Vlasov stochastic differential equations in arbitrary moments	2024-11-05	Paper
\(C^{\infty}\)-regularization by noise of singular ODE's	2024-07-04	Paper
On the analysis of Ait-Sahalia-type model for rough volatility modelling	2024-04-02	Paper
Restoration of well-posedness of infinite-dimensional singular ODE's via noise	2024-02-21	Paper
Existence of strong solutions of fractional Brownian sheet driven SDEs with integrable drift	2023-07-18	Paper
Mean first exit times of Ornstein–Uhlenbeck processes in high-dimensional spaces	2023-05-04	Paper
Well-posedness of the deterministic transport equation with singular velocity field perturbed along fractional Brownian paths	2023-05-03	Paper
Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs	2023-01-02	Paper
Smoothness of solutions of hyperbolic stochastic partial differential equations with $L^{\infty}$-vector fields	2022-12-16	Paper
Girsanov theorem for multifractional Brownian processes	2022-12-08	Paper
Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise	2022-05-04	Paper
Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs in arbitrary moments	2022-05-04	Paper
On the Analysis of a Generalised Rough Ait-Sahalia Interest Rate Model	2022-05-02	Paper
Optimal Stopping, Randomized Stopping, and Singular Control with General Information Flow	2022-02-25	Paper
Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach	2021-07-16	Paper
Small Noise Perturbations in Multidimensional Case	2021-06-18	Paper
Bismut-Elworthy-Li formula, singular SDEs, fractional Brownian motion, Malliavin calculus, stochastic flows, stochastic volatility	2021-05-03	Paper
Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift	2020-11-11	Paper
Regularity properties of the stochastic flow of a skew fractional Brownian motion	2020-07-14	Paper
Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes	2020-01-17	Paper
Stochastic functional differential equations and sensitivity to their initial path	2019-03-22	Paper
Singular Control Optimal Stopping of Memory Mean-Field Processes	2019-02-20	Paper
Strong solutions of mean-field stochastic differential equations with irregular drift	2019-02-14	Paper
Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting	2018-12-13	Paper
On a selection problem for small noise perturbation in the multidimensional case	2018-12-10	Paper
Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle	2018-11-09	Paper
On perturbations of an ODE with non-Lipschitz coefficients by a small self-similar noise	2017-12-22	Paper
C-infinity-regularization by Noise of Singular ODE's	2017-10-13	Paper
Strong Uniqueness of Singular Stochastic Delay Equations	2017-07-07	Paper
Maximum principles for jump diffusion processes with infinite horizon	2017-06-06	Paper
Computing deltas without derivatives	2017-04-13	Paper
https://portal.mardi4nfdi.de/entity/Q2787491	2016-03-04	Paper
https://portal.mardi4nfdi.de/entity/Q2787535	2016-03-04	Paper
Sobolev differentiable stochastic flows for SDEs with singular coefficients: applications to the transport equation	2015-07-06	Paper
On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients	2014-07-25	Paper
Stochastic differential games in insider markets via Malliavin calculus	2014-07-04	Paper
Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps	2014-04-25	Paper
Sensitivity analysis in a market with memory	2013-12-18	Paper
A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs	2013-11-18	Paper
A Maximum Principle for Infinite Horizon Delay Equations	2013-10-24	Paper
A Bayes formula for nonlinear filtering with Gaussian and Cox noise	2012-03-13	Paper
A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading	2011-08-08	Paper
UNIQUENESS OF DECOMPOSITIONS OF SKOROHOD-SEMIMARTINGALES	2011-05-04	Paper
A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets	2010-08-19	Paper
Construction of strong solutions of SDE's via Malliavin calculus	2010-05-17	Paper
Explicit representation of strong solutions of SDEs driven by infinite-dimensional Lévy processes	2010-04-23	Paper
UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES	2009-06-23	Paper
Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading	2009-06-05	Paper
A maximum principle approach to risk indifference pricing with partial information	2009-04-01	Paper
Malliavin Calculus for Lévy Processes with Applications to Finance	2008-05-28	Paper
Infinite dimensional analysis of pure jump Lévy processes on the Poisson space	2008-02-22	Paper
Stochastic differential equations—some new ideas	2008-01-09	Paper
THE CAUCHY PROBLEM FOR THE WAVE EQUATION WITH LÉVY NOISE INITIAL DATA	2006-08-14	Paper
On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients	2006-07-11	Paper
Optimal portfolio for an insider in a market driven by Lévy processes§	2006-06-16	Paper
The stochastic transport equation driven by Lévy white noise	2006-01-16	Paper
Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields	2005-12-09	Paper
MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES	2005-08-01	Paper
White noise of Poisson random measures	2005-01-17	Paper
Explicit solution of a nonlinear filtering problem for Lévy processes with application to finance	2004-11-05	Paper
ON EXPLICIT STRONG SOLUTION OF ITÔ–SDE'S AND THE DONSKER DELTA FUNCTION OF A DIFFUSION	2004-10-25	Paper
The Donsker delta function of a Lévy process with application to chaos expansion of local time	2004-10-12	Paper
Stochastic partial differential equations driven by Lévy space-time white noise.	2004-09-15	Paper
White noise analysis for Lévy processes.	2004-03-15	Paper
Central limit theorems for generalized set-valued random variables	2003-09-25	Paper
A strong law of large numbers for generalized random sets from the viewpoint of empirical processes	2003-05-14	Paper
Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes	2003-01-01	Paper
Strong law of large numbers for Banach space valued fuzzy random variables	2002-08-20	Paper
Central limit theorem for Banach space valued fuzzy random variables	2002-03-19	Paper
https://portal.mardi4nfdi.de/entity/Q3840779	1998-08-11	Paper
Optimal control of SPDEs driven by time-space Brownian motion	N/A	Paper
Long-time behaviors of some stochastic differential equations driven by L\'{e}vy noise	N/A	Paper
Fokker-Planck equation for McKean-Vlasov SPDEs driven by time-space Brownian sheet	N/A	Paper

Research outcomes over time

This page was built for person: Frank Norbert Proske