Concepedia

Frank Proske

FP

27

Publications

1K

Citations

19

H-Index

2001

Active since

Affiliations

University of Oslo(Current)

Norwegian School of Economics

Ludwig-Maximilians-Universität München

Indiana University Bloomington

LMU Klinikum

Frank Proske is an author at University of Oslo specializing in engineering, probability theory, and stochastic analysis.

Top concepts

EngineeringProbabilityStochastic AnalysisStochastic Differential EquationsStochastic ProcessesStochastic CalculusJump DiffusionsStatisticsFunctional AnalysisNoise

Publications per year

2001–2023

27

Publications

27

White noise analysis for Lévy processes

Giulia Di Nunno, Bernt Øksendal, Frank Proske · Journal of Functional Analysis · 2003 · 105 citations

Engineering, White Noise Analysis, Stochastic Analysis +4

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

Giulia Di Nunno, Thilo Meyer‐Brandis, Bernt Øksendal et al. · Quantitative Finance · 2006 · 88 citations

Optimal Portfolio, Portfolio Choice, Financial Mathematics +17

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

Salah-Eldin A. Mohammed, Torstein Nilssen, Frank Proske · The Annals of Probability · 2015 · 80 citations · Full text

MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES

Giulia Di Nunno, Thilo Meyer‐Brandis, Bernt Øksendal et al. · Infinite Dimensional Analysis Quantum Probability and Related Topics · 2005 · 79 citations

Engineering, Integrable Probability, Stochastic Processes +8

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

Olivier Menoukeu Pamen, Thilo Meyer‐Brandis, Torstein Nilssen et al. · Mathematische Annalen · 2013 · 71 citations · Full text

Engineering, Variational Analysis, Malliavin Differentiability +6

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