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I think your best bet is a gazetteer approach. If you go to this link, you will find plenty of datasets containing lists of existing first names. This should help you detect a big majority of first names using regular expressions.
Now, there are some preprocessing steps you could take:
remove any digits, punctuation, etc.
if you have upper cases, you could ...
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The compound split is not trivial, but there are solutions that kind of work (as you can read on the link @Aditya shared).
Another way of dealing with the matter would be to tokenize the strings into character n-grams.
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