The following pages link to Frank Norbert Proske (Q1686367):
Displaying 50 items.
- A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs (Q382307) (← links)
- Computing deltas without derivatives (Q522065) (← links)
- White noise of Poisson random measures (Q702015) (← links)
- A Bayes formula for nonlinear filtering with Gaussian and Cox noise (Q764410) (← links)
- Explicit representation of strong solutions of SDEs driven by infinite-dimensional Lévy processes (Q966506) (← links)
- Construction of strong solutions of SDE's via Malliavin calculus (Q971842) (← links)
- A maximum principle approach to risk indifference pricing with partial information (Q1009400) (← links)
- (Q1408791) (redirect page) (← links)
- Central limit theorems for generalized set-valued random variables (Q1408792) (← links)
- White noise analysis for Lévy processes. (Q1425153) (← links)
- Strong law of large numbers for Banach space valued fuzzy random variables (Q1610510) (← links)
- Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle (Q1621711) (← links)
- On perturbations of an ODE with non-Lipschitz coefficients by a small self-similar noise (Q1686368) (← links)
- Strong solutions of mean-field stochastic differential equations with irregular drift (Q1722032) (← links)
- Stochastic functional differential equations and sensitivity to their initial path (Q1733943) (← links)
- Stochastic partial differential equations driven by Lévy space-time white noise. (Q1879918) (← links)
- The Donsker delta function of a Lévy process with application to chaos expansion of local time (Q1883465) (← links)
- Explicit solution of a nonlinear filtering problem for Lévy processes with application to finance (Q1884729) (← links)
- Bismut-Elworthy-Li formula, singular SDEs, fractional Brownian motion, Malliavin calculus, stochastic flows, stochastic volatility (Q2023514) (← links)
- Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise (Q2135187) (← links)
- Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift (Q2211289) (← links)
- Stochastic differential games in insider markets via Malliavin calculus (Q2250075) (← links)
- On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients (Q2253286) (← links)
- Sobolev differentiable stochastic flows for SDEs with singular coefficients: applications to the transport equation (Q2352761) (← links)
- Maximum principles for jump diffusion processes with infinite horizon (Q2356691) (← links)
- On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients (Q2496606) (← links)
- The stochastic transport equation driven by Lévy white noise (Q2583406) (← links)
- Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs (Q2680394) (← links)
- Central limit theorem for Banach space valued fuzzy random variables (Q2781311) (← links)
- (Q2787491) (← links)
- (Q2787535) (← links)
- A Maximum Principle for Infinite Horizon Delay Equations (Q2855137) (← links)
- UNIQUENESS OF DECOMPOSITIONS OF SKOROHOD-SEMIMARTINGALES (Q2996890) (← links)
- Regularity properties of the stochastic flow of a skew fractional Brownian motion (Q3298327) (← links)
- A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets (Q3585320) (← links)
- Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading (Q3631197) (← links)
- UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES (Q3632194) (← links)
- (Q3840779) (← links)
- Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes (Q4409037) (← links)
- On a selection problem for small noise perturbation in the multidimensional case (Q4561040) (← links)
- Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting (Q4561942) (← links)
- Singular Control Optimal Stopping of Memory Mean-Field Processes (Q4624923) (← links)
- A strong law of large numbers for generalized random sets from the viewpoint of empirical processes (Q4806445) (← links)
- ON EXPLICIT STRONG SOLUTION OF ITÔ–SDE'S AND THE DONSKER DELTA FUNCTION OF A DIFFUSION (Q4822547) (← links)
- Optimal Stopping, Randomized Stopping, and Singular Control with General Information Flow (Q5034422) (← links)
- Girsanov theorem for multifractional Brownian processes (Q5056592) (← links)
- A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading (Q5198560) (← links)
- Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes (Q5210999) (← links)
- Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps (Q5411913) (← links)
- Stochastic differential equations—some new ideas (Q5433512) (← links)
