82 citations · 154 across the 37 of their papers we have counts for
5 papers · 1 filter
Sensitivity Analysis with respect to a Stock Price Model with Rough Volatility via a Bismut-Elworthy-Li Formula for Singular SDEs
Emmanuel Coffie, Sindre Duedahl, Frank Proske
In this paper, we show the existence of unique Malliavin differentiable solutions to SDE`s driven by a fractional Brownian motion with Hurst parameter H<1/2 and singular, unbounded…
Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach
Alexander Kalinin, Thilo Meyer-Brandis, Frank Proske
We establish stability and pathwise uniqueness of solutions to Wiener noise driven McKean-Vlasov equations with random non-Lipschitz continuous coefficients. In the deterministic c…
Takagi type functions and dynamical systems: the smoothness of the SBR measure and the existence and smoothness of local time
P. Imkeller, O. Menoukeu Pamen, F. Proske
We investigate the occupation measures and local times of Takagi-type functions with roughness parameter , which are Hölder continuous with exponent …
Small Noise Perturbations in Multidimensional Case
Andrey Pilipenko, Frank Norbert Proske
In this paper we study zero-noise limits of stable noise perturbed ODE's which are driven by an irregular vector field with asymptotics $% A(x)\sim \overline{a}(\frac{x}{\l…
Thiele's Differential Equation Based on Markov Jump Processes with Non-countable State Space
Emmanuel Coffie, Sindre Duedahl, Frank Proske
In modern life insurance, Markov processes in continuous time on a finite or at least countable state space have been over the years an important tool for the modelling of the stat…