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Frank Proske · Study
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Author
Frank Proske
15 works
· latest 2019
· 1 institutions
cluster: provisional
ORCID 0000-0002-0463-0726
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Citations
1,337
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Most cited in this library
Malliavin Calculus for Lévy Processes with Applications to Finance
2008 · 459 citations
White noise analysis for Lévy processes
2003 · 107 citations
Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes
2003 · 87 citations
Optimal portfolio for an insider in a market driven by Lévy processes§
2006 · 78 citations
MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
2005 · 77 citations
Works
15 shown
Strong Existence and Higher Order Fréchet Differentiability of Stochastic Flows of Fractional Brownian Motion Driven SDEs with Singular Drift
Journal of Dynamics and Differential Equations
·
2019
·
3 authors
·
Open access
30
citations
Strong solutions of mean-field stochastic differential equations with irregular drift
Electronic Journal of Probability
·
2018
·
2 authors
·
Open access
47
citations
Sobolev differentiable stochastic flows for SDEs with singular coefficients: Applications to the transport equation
The Annals of Probability
·
2015
·
3 authors
·
Open access
76
citations
Maximum principles for jump diffusion processes with infinite horizon
Automatica
·
2013
·
3 authors
·
Open access
38
citations
A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s
Mathematische Annalen
·
2013
·
5 authors
·
Open access
68
citations
A Maximum Principle for Infinite Horizon Delay Equations
SIAM Journal on Mathematical Analysis
·
2013
·
4 authors
·
Open access
62
citations
Construction of strong solutions of SDE's via Malliavin calculus
Journal of Functional Analysis
·
2009
·
2 authors
·
Open access
63
citations
Malliavin Calculus for Lévy Processes with Applications to Finance
Springer eBooks
·
2008
·
3 authors
·
book
459
citations
Optimal portfolio for an insider in a market driven by Lévy processes§
Quantitative Finance
·
2006
·
4 authors
·
Open access
78
citations
Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields
Stochastics
·
2005
·
3 authors
·
Open access
44
citations
MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
Infinite Dimensional Analysis Quantum Probability and Related Topics
·
2005
·
4 authors
·
Open access
77
citations
White Noise of Poisson Random Measures
Potential Analysis
·
2004
·
2 authors
·
Open access
44
citations
White noise analysis for Lévy processes
Journal of Functional Analysis
·
2003
·
3 authors
·
Open access
107
citations
Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes
Mathematical Finance
·
2003
·
5 authors
·
Open access
87
citations
Stochastic Partial Differential Equations driven by Lévy Space-Time White Noise
NORA - Norwegian Open Research Archives
·
2002
·
3 authors
·
report
·
Open access
57
citations