Edit Profile (opens in new tab) Imkeller, Peter Co-Author Distance Author ID: imkeller.peter Published as: Imkeller, Peter; Imkeller, P. Homepage: https://www.mathematik.hu-berlin.de/de/forschung/forschungsgebiete/stochastik/st... External Links: MGP · Wikidata · Google Scholar · dblp · GND · IdRef Documents Indexed: 144 Publications since 1982, including 5 Books and 7 Additional arXiv Preprints 3 Contributions as Editor Reviewing Activity: 35 Reviews Co-Authors: 77 Co-Authors with 115 Joint Publications 1,703 Co-Co-Authors all top 5 Co-Authors 32 single-authored 14 Pavlyukevich, Ilya 10 Ankirchner, Stefan 8 dos Reis, Gonçalo 7 Arnold, Ludwig 6 Herrmann, Samuel 6 Perkowski, Nicolas 5 Frangos, Nikos E. 5 Réveillac, Anthony 5 Weisz, Ferenc 4 Fromm, Alexander 4 Grigorova, Miryana 4 Lederer, Christian 4 Ouknine, Youssef 4 Quenez, Marie-Claire 4 Zhang, Jianing 3 Hu, Ying 3 Menoukeu Pamen, Olivier 3 Monahan, Adam Hugh 3 Nualart, David 3 Peithmann, Dierk 2 Crauel, Hans 2 Debussche, Arnaud 2 Delong, Łukasz 2 Dereich, Steffen 2 Esmaeeli, Neda 2 Fischer, Markus 2 Gairing, Jan M. 2 Gubinelli, Massimiliano 2 Hein, Claudia 2 Högele, Michael Anton 2 Nzengang, Victor 2 Pandolfo, Lionel 2 Popier, Alexandre 2 Prömel, David J. 2 Roelly, Sylvie 2 Tudor, Ciprian A. 2 Yan, Jia-An 1 Amendinger, Jürgen 1 Andresen, Andreas 1 Barlow, Martin T. 1 Blath, Jochen 1 Brzeźniak, Zdzisław 1 Corcuera, José Manuel 1 Fang, Shizan 1 Flandoli, Franco 1 Föllmer, Hans 1 Goldys, Beniamin 1 Heyne, Gregor 1 Horst, Ulrich 1 Kloeden, Peter Eris 1 Kohatsu-Higa, Arturo 1 Mastrolia, Thibaut 1 Milstein, Grigori N. 1 Namachchivaya, N. Sri 1 Offen, Elias 1 Pellat, Rhoss Likibi 1 Pérez-Abreu Carrión, Víctor M. 1 Peszat, Szymon 1 Pontier, Monique 1 Possamaï, Dylan 1 Priola, Enrico 1 Richter, Anja 1 Salkeld, William 1 Scheutzow, Michael K. R. 1 Schmalfuß, Björn 1 Schmidt, Wolfgang M. 1 Schweizer, Martin 1 Shevchenko, Radomyra 1 Stauch, Michael 1 Steinkamp, Marcus 1 Vives, Josep 1 von Storch, Jin-Song 1 Wetzel, Torsten 1 Willrich, Niklas 1 Yeong, Hoong Chieh 1 Zabczyk, Jerzy 1 Zhang, Tusheng S. all top 5 Serials 15 Stochastic Processes and their Applications 9 The Annals of Probability 9 The Annals of Applied Probability 9 Stochastics and Dynamics 8 Probability Theory and Related Fields 6 Stochastics and Stochastics Reports 5 Electronic Journal of Probability 4 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 3 Journal of Theoretical Probability 2 Journal of Multivariate Analysis 2 Stochastic Analysis and Applications 2 Potential Analysis 2 Electronic Communications in Probability 2 Finance and Stochastics 2 Mathematical Finance 2 International Journal of Theoretical and Applied Finance 2 Dynamical Systems 2 Lecture Notes in Mathematics 1 Journal of Sound and Vibration 1 Journal of Statistical Physics 1 Mitteilungen der Deutschen Mathematiker-Vereinigung (DMV) 1 Stochastics 1 Archiv der Mathematik 1 Journal of Functional Analysis 1 Mathematische Annalen 1 Mathematische Nachrichten 1 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 1 Statistics & Probability Letters 1 Bulletin of the Iranian Mathematical Society 1 Dynamics and Stability of Systems 1 Science in China. Series A 1 Journal of Physics A: Mathematical and General 1 Journal of Dynamics and Differential Equations 1 Bernoulli 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Methodology and Computing in Applied Probability 1 Annales Mathematicae Silesianae 1 Comptes Rendus. Mathématique. Académie des Sciences, Paris 1 Mathematical Surveys and Monographs 1 Progress in Probability 1 Forum of Mathematics, Pi 1 IMPAN Lecture Notes 1 Pure and Applied Functional Analysis 1 EMS Series of Congress Reports all top 5 Fields 140 Probability theory and stochastic processes (60-XX) 25 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 21 Dynamical systems and ergodic theory (37-XX) 17 Ordinary differential equations (34-XX) 14 Geophysics (86-XX) 14 Systems theory; control (93-XX) 8 Partial differential equations (35-XX) 6 Numerical analysis (65-XX) 5 Fluid mechanics (76-XX) 5 Information and communication theory, circuits (94-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 4 Functional analysis (46-XX) 4 Operator theory (47-XX) 3 General and overarching topics; collections (00-XX) 3 Real functions (26-XX) 3 Statistics (62-XX) 2 Measure and integration (28-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Mechanics of particles and systems (70-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 History and biography (01-XX) 1 Mathematical logic and foundations (03-XX) 1 Group theory and generalizations (20-XX) 1 Functions of a complex variable (30-XX) 1 Integral transforms, operational calculus (44-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 115 Publications have been cited 1,774 times in 1,265 Documents Cited by ▼ Year ▼ Paracontrolled distributions and singular PDEs. Zbl 1333.60149 Gubinelli, Massimiliano; Imkeller, Peter; Perkowski, Nicolas 258 2015 Utility maximization in incomplete markets. Zbl 1083.60048 Hu, Ying; Imkeller, Peter; Müller, Matthias 177 2005 Additional logarithmic utility of an insider. Zbl 0934.91020 Amendinger, Jürgen; Imkeller, Peter; Schweizer, Martin 75 1998 The conjugacy of stochastic and random differential equations and the existence of global attractors. Zbl 1004.37034 Imkeller, Peter; Schmalfuss, Björn 65 2001 Reflected BSDEs when the obstacle is not right-continuous and optimal stopping. Zbl 1379.60045 Grigorova, Miryana; Imkeller, Peter; Offen, Elias; Ouknine, Youssef; Quenez, Marie-Claire 46 2017 First exit times of SDEs driven by stable Lévy processes. Zbl 1104.60030 Imkeller, P.; Pavlyukevich, I. 44 2006 Chaos expansions of double intersection local time of Brownian motion in \(\mathbb{R}^ d\) and renormalization. Zbl 0822.60048 Imkeller, Peter; Perez-Abreu, Victor; Vives, Josep 40 1995 Classical and variational differentiability of BSDEs with quadratic growth. Zbl 1138.60042 Ankirchner, Stefan; Imkeller, Peter; dos Reis, Gonçalo J. N. 38 2007 Free lunch and arbitrage possibilities in a financial market model with an insider. Zbl 1047.60041 Imkeller, Peter; Pontier, Monique; Weisz, Ferenc 35 2001 Backward stochastic differential equations with time delayed generators – results and counterexamples. Zbl 1202.34144 Delong, Łukasz; Imkeller, Peter 34 2010 The Shannon information of filtrations and the additional logarithmic utility of insiders. Zbl 1098.60065 Ankirchner, Stefan; Dereich, Steffen; Imkeller, Peter 33 2006 Additional utility of insiders with imperfect dynamical information. Zbl 1064.60087 Corcuera, José M.; Imkeller, Peter; Kohatsu-Higa, Arturo; Nualart, David 32 2004 On Malliavin’s differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures. Zbl 1200.60041 Delong, Łukasz; Imkeller, Peter 32 2010 Path regularity and explicit convergence rate for BSDE with truncated quadratic growth. Zbl 1196.60101 Imkeller, Peter; dos Reis, Gonçalo 31 2010 Large deviations and a Kramers’ type law for self-stabilizing diffusions. Zbl 1149.60020 Herrmann, Samuel; Imkeller, Peter; Peithmann, Dierk 31 2008 Random times at which insiders can have free lunches. Zbl 1041.91034 Imkeller, Peter 29 2002 Malliavin’s calculus in insider models: additional utility and free lunches. Zbl 1071.91017 Imkeller, Peter 27 2003 Conceptual stochastic climate models. Zbl 1022.86001 Imkeller, Peter; Monahan, Adam Hugh 26 2002 Global flows for stochastic differential equations without global Lipschitz conditions. Zbl 1128.60046 Fang, Shizan; Imkeller, Peter; Zhang, Tusheng 25 2007 Optimal stopping with \(f\)-expectations: the irregular case. Zbl 1471.60055 Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire 25 2020 Normal forms for stochastic differential equations. Zbl 0906.60048 Arnold, Ludwig; Imkeller, Peter 24 1998 Forward-backward systems for expected utility maximization. Zbl 1329.60182 Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing 23 2014 The dynamics of nonlinear reaction-diffusion equations with small Lévy noise. Zbl 1321.60004 Debussche, Arnaud; Högele, Michael; Imkeller, Peter 22 2013 Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case. Zbl 1406.60060 Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire 22 2018 Time irregularity of generalized Ornstein-Uhlenbeck processes. (Irrégularité en temps des processus Ornstein-Uhlenbeck généralisés.) Zbl 1205.60119 Brzeźniak, Zdzisław; Goldys, Ben; Imkeller, Peter; Peszat, Szymon; Priola, Enrico; Zabczyk, Jerzy 20 2010 Pricing and hedging of derivatives based on nontradable underlyings. Zbl 1217.91178 Ankirchner, Stefan; Imkeller, Peter; dos Reis, Gonçalo 20 2010 Lévy flights: transitions and meta-stability. Zbl 1088.37023 Imkeller, Peter; Pavlyukevich, Ilya 20 2006 Dimensional reduction in nonlinear filtering: a homogenization approach. Zbl 1288.60049 Imkeller, Peter; Namachchivaya, N. Sri; Perkowski, Nicolas; Yeong, Hoong C. 20 2013 Two-parameter martingales and their quadratic variation. Zbl 0656.60056 Imkeller, Peter 19 1988 Metastable behaviour of small noise Lévy-driven diffusions. Zbl 1205.60113 Imkeller, Peter; Pavlyukevich, Ilya 19 2008 First exit times for Lévy-driven diffusions with exponentially light jumps. Zbl 1184.60019 Imkeller, Peter; Pavlyukevich, Ilya; Wetzel, Torsten 19 2009 Bifurcations of one-dimensional stochastic differential equations. Zbl 0949.60066 Crauel, Hans; Imkeller, Peter; Steinkamp, Marcus 16 1999 Finite utility on financial markets with asymmetric information and structure properties of the price dynamics. Zbl 1115.91024 Ankirchner, Stefan; Imkeller, Peter 16 2005 The cohomology of stochastic and random differential equations, and local linearization of stochastic flows. Zbl 1020.60052 Imkeller, Peter; Lederer, Christian 15 2002 Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space. Zbl 0796.60082 Föllmer, Hans; Imkeller, Peter 14 1993 The existence of dominating local martingale measures. Zbl 1326.60058 Imkeller, Peter; Perkowski, Nicolas 14 2015 Some formulas for Lyapunov exponents and rotation numbers in two dimensions and the stability of the harmonic oscillator and the inverted pendulum. Zbl 1115.37329 Imkeller, Peter; Lederer, Christian 13 2001 Reduction of deterministic coupled atmosphere-ocean models to stochastic ocean models: a numerical case study of the Lorenz-Maas system. Zbl 1071.76045 Arnold, Ludwig; Imkeller, Peter; Wu, Yonghui 13 2003 Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin’s calculus. Zbl 0855.60045 Imkeller, Peter 13 1996 The asymptotic behaviour of local times and occupation integrals of the \(N\)-parameter Wiener process in \(\mathbb{R}^ d\). Zbl 0794.60046 Imkeller, Peter; Weisz, Ferenc 12 1994 A Fourier analytic approach to pathwise stochastic integration. Zbl 1338.60139 Gubinelli, Massimiliano; Imkeller, Peter; Perkowski, Nicolas 12 2016 Results on numerics for FBSDE with drivers of quadratic growth. Zbl 1236.60068 Imkeller, Peter; dos Reis, Gonçalo; Zhang, Jianing 11 2010 Stratonovich calculus with spatial parameters and anticipative problems in multiplicative ergodic theory. Zbl 0847.60037 Arnold, Ludwig; Imkeller, Peter 11 1996 Model reduction and stochastic resonance. Zbl 1027.60059 Imkeller, P.; Pavlyukevich, I. 11 2002 The exit problem for diffusions with time-periodic drift and stochastic resonance. Zbl 1079.60070 Herrmann, Samuel; Imkeller, Peter 11 2005 The asymptotic stability of a noisy non-linear oscillator. Zbl 1236.70044 Arnold, L.; Imkeller, P.; Namachchivaya, N. Sri 10 2004 An explicit description of the Lyapunov exponents of the noisy damped harmonic oscillator. Zbl 0949.34038 Imkeller, Peter; Lederer, Christian 10 1999 Malliavin’s calculus and applications in stochastic control and finance. Zbl 1192.60079 Imkeller, Peter 10 2008 Integration by parts on Wiener space and the existence of occupation densities. Zbl 0803.60049 Imkeller, Peter; Nualart, David 10 1994 Enlargement of filtrations and continuous Girsanov-type embeddings. Zbl 1155.60017 Ankirchner, Stefan; Dereich, Steffen; Imkeller, Peter 9 2007 An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift. Zbl 1332.60081 Fromm, Alexander; Imkeller, Peter; Prömel, David J. 9 2015 Differentiability of quadratic BSDEs generated by continuous martingales. Zbl 1254.60058 Imkeller, Peter; Réveillac, Anthony; Richter, Anja 8 2012 Energy balance models – viewed from stochastic dynamics. Zbl 0988.60064 Imkeller, Peter 8 2001 On the cohomology of flows of stochastic and random differential equations. Zbl 0993.60056 Imkeller, Peter; Lederer, Christian 8 2001 On measure solutions of backward stochastic differential equations. Zbl 1181.60080 Ankirchner, Stefan; Imkeller, Peter; Popier, Alexandre 8 2009 On the spatial asymptotic behavior of stochastic flows in Euclidean space. Zbl 0942.60053 Imkeller, Peter; Scheutzow, Michael 7 1999 Limit theorems for \(p\)-variations of solutions of SDEs driven by additive stable Lévy noise and model selection for Paleo-climatic data. Zbl 1218.60027 Hein, Claudia; Imkeller, Peter; Pavlyukevich, Ilya 7 2010 Stochastic resonance. A mathematical approach in the small noise limit. Zbl 1416.60008 Herrmann, Samuel; Imkeller, Peter; Pavlyukevich, Ilya; Peithmann, Dierk 7 2014 Quadratic variation for a class of L lo\(g^ +\,L\)-bounded two-parameter martingales. Zbl 0631.60048 Frangos, Nikos E.; Imkeller, Peter 6 1987 Financial markets with asymmetric information: information drift, additional utility and entropy. Zbl 1155.60026 Ankirchner, Stefan; Imkeller, Peter 6 2007 Stochastic analysis and local times for (N,d)-Wiener process. Zbl 0531.60057 Imkeller, Peter 6 1984 Ito’s formula for continuous (N,d)-processes. Zbl 0557.60040 Imkeller, Peter 6 1984 Stochastic resonance in two-state Markov chains. Zbl 1021.60051 Imkeller, P.; Pavlyukevich, I. 6 2001 Transition times and stochastic resonance for multidimensional diffusions with time periodic drift: a large deviations approach. Zbl 1155.60022 Herrmann, Samuel; Imkeller, Peter; Peithmann, Dierk 5 2006 Optimal cross hedging of insurance derivatives. Zbl 1158.60020 Ankirchner, Stefan; Imkeller, Peter; Popier, Alexandre 5 2008 American options with asymmetric information and reflected BSDE. Zbl 1417.91497 Esmaeeli, Neda; Imkeller, Peter 5 2018 First exit times of non-linear dynamical systems in \(\mathbb R^{d}\) perturbed by multifractal Lévy noise. Zbl 1202.37074 Imkeller, Peter; Pavlyukevich, Ilya; Stauch, Michael 5 2010 A stochastic calculus for continuous N-parameter strong martingales. Zbl 0652.60056 Imkeller, Peter 4 1985 Asymptotic first exit times of the Chafee-Infante equation with small heavy-tailed Lévy noise. Zbl 1233.60037 Debussche, Arnaud; Hoegele, Michael; Imkeller, Peter 4 2011 The smoothness of laws of random flags and Oseledets spaces of linear stochastic differential equations. Zbl 0924.60031 Imkeller, Peter 4 1998 Barrier crossings characterize stochastic resonance. Zbl 1023.60062 Herrmann, Samuel; Imkeller, Peter 4 2002 Partial equilibrium and market completion. Zbl 1139.91326 Hu, Ying; Imkeller, Peter; Müller, Matthias 4 2005 On some sample path properties of Skorohod integral processes. Zbl 0761.60047 Barlow, Martin T.; Imkeller, Peter 4 1992 Solutions of martingale problems for Lévy-type operators with discontinuous coefficients and related SDEs. Zbl 1334.60068 Imkeller, Peter; Willrich, Niklas 4 2016 A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift. Zbl 1148.60026 Ankirchner, Stefan; Heyne, Gregor; Imkeller, Peter 4 2008 Some inequalities for strong martingales. Zbl 0651.60059 Frangos, Nikos E.; Imkeller, Peter 3 1988 Rotation numbers for linear stochastic differential equations. Zbl 0944.60065 Arnold, Ludwig; Imkeller, Peter 3 1999 Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization. Zbl 1283.91194 Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing 3 2011 Stochastic integration for some rough non-adapted processes. Zbl 0811.60040 Imkeller, Peter; Schmidt, Wolfgang 3 1994 A class of two-parameter stochastic integrators. Zbl 0716.60057 Imkeller, Peter 3 1989 Occupation densities for stochastic integral processes in the second Wiener chaos. Zbl 0744.60055 Imkeller, Peter 3 1992 Furstenberg-Khasminskii formulas for Lyapunov exponents via anticipative calculus. Zbl 0857.60052 Arnold, Ludwig; Imkeller, Peter 3 1995 Local times for a class of multi-parameter processes. Zbl 0538.60051 Imkeller, Peter 2 1984 On the integrability condition in the multiplicative ergodic theorem for stochastic differential equations. Zbl 1043.60512 Arnold, Ludwig; Imkeller, Peter 2 1998 Critical dimensions for the existence of self-intersection local times of the Brownian sheet in \(\mathbb{R}^ d\). Zbl 0827.60036 Imkeller, Peter; Weisz, Ferenc 2 1995 On exact tails for limiting distributions of \(U\)-statistics in the second Gaussian chaos. Zbl 0849.60018 Imkeller, Peter 2 1994 Stochastic climate models. Proceedings of a workshop, Chorin, Germany, Summer 1999. Zbl 0961.00022 2 2001 Enlargement of the Wiener filtration by a manifold valued random element via Malliavin’s calculus. Zbl 0948.60052 Imkeller, Peter 2 1997 Existence and continuity of occupation densities of stochastic integral processes. Zbl 0779.60050 Imkeller, Peter 2 1993 Occupation densities of Stratonovitch stochastic differential equations with boundary conditions. Zbl 0796.60060 Imkeller, Peter 2 1993 Moment Lyapunov exponent for conservative systems with small periodic and random perturbations. Zbl 1023.60053 Imkeller, P.; Milstein, G. N. 2 2002 A note on the Malliavin-Sobolev spaces. Zbl 1329.60170 Imkeller, Peter; Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony 2 2016 Utility maximization via decoupling fields. Zbl 1476.49025 Fromm, Alexander; Imkeller, Peter 2 2020 Dynkin game with asymmetric information. Zbl 1409.91026 Esmaeeli, N.; Imkeller, P.; Nzengang, V. 2 2019 Hurst index estimation in stochastic differential equations driven by fractional Brownian motion. Zbl 1464.60032 Gairing, Jan; Imkeller, Peter; Shevchenko, Radomyra; Tudor, Ciprian 2 2020 Large deviations for Hilbert-space-valued Wiener processes: a sequence space approach. Zbl 1287.60036 Andresen, Andreas; Imkeller, Peter; Perkowski, Nicolas 2 2013 Stochastic integrals of point processes and the decomposition of two- parameter martingales. Zbl 0682.60034 Imkeller, Peter 1 1989 Hedging with residual risk: a BSDE approach. Zbl 1245.91094 Ankirchner, Stefan; Imkeller, Peter 1 2011 Critical dimensions for the existence of self-intersection local times of the \(N\)-parameter Brownian motion in \(R^d\). Zbl 0956.60084 Imkeller, Peter; Weisz, Ferenc 1 1999 A two-state model for noise-induced resonance in bistable systems with delay. Zbl 1078.34060 Fischer, Markus; Imkeller, Peter 1 2005 Optimal stopping with \(f\)-expectations: the irregular case. Zbl 1471.60055 Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire 25 2020 Utility maximization via decoupling fields. Zbl 1476.49025 Fromm, Alexander; Imkeller, Peter 2 2020 Hurst index estimation in stochastic differential equations driven by fractional Brownian motion. Zbl 1464.60032 Gairing, Jan; Imkeller, Peter; Shevchenko, Radomyra; Tudor, Ciprian 2 2020 On the strict value of the non-linear optimal stopping problem. Zbl 1471.60056 Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire 1 2020 Dynkin game with asymmetric information. Zbl 1409.91026 Esmaeeli, N.; Imkeller, P.; Nzengang, V. 2 2019 Differentiability of SDEs with drifts of super-linear growth. Zbl 1406.60084 Imkeller, Peter; Dos Reis, Gonçalo; Salkeld, William 1 2019 Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case. Zbl 1406.60060 Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire 22 2018 American options with asymmetric information and reflected BSDE. Zbl 1417.91497 Esmaeeli, Neda; Imkeller, Peter 5 2018 Reflected BSDEs when the obstacle is not right-continuous and optimal stopping. Zbl 1379.60045 Grigorova, Miryana; Imkeller, Peter; Offen, Elias; Ouknine, Youssef; Quenez, Marie-Claire 46 2017 A Fourier analytic approach to pathwise stochastic integration. Zbl 1338.60139 Gubinelli, Massimiliano; Imkeller, Peter; Perkowski, Nicolas 12 2016 Solutions of martingale problems for Lévy-type operators with discontinuous coefficients and related SDEs. Zbl 1334.60068 Imkeller, Peter; Willrich, Niklas 4 2016 A note on the Malliavin-Sobolev spaces. Zbl 1329.60170 Imkeller, Peter; Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony 2 2016 Paracontrolled distributions and singular PDEs. Zbl 1333.60149 Gubinelli, Massimiliano; Imkeller, Peter; Perkowski, Nicolas 258 2015 The existence of dominating local martingale measures. Zbl 1326.60058 Imkeller, Peter; Perkowski, Nicolas 14 2015 An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift. Zbl 1332.60081 Fromm, Alexander; Imkeller, Peter; Prömel, David J. 9 2015 Forward-backward systems for expected utility maximization. Zbl 1329.60182 Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing 23 2014 Stochastic resonance. A mathematical approach in the small noise limit. Zbl 1416.60008 Herrmann, Samuel; Imkeller, Peter; Pavlyukevich, Ilya; Peithmann, Dierk 7 2014 The dynamics of nonlinear reaction-diffusion equations with small Lévy noise. Zbl 1321.60004 Debussche, Arnaud; Högele, Michael; Imkeller, Peter 22 2013 Dimensional reduction in nonlinear filtering: a homogenization approach. Zbl 1288.60049 Imkeller, Peter; Namachchivaya, N. Sri; Perkowski, Nicolas; Yeong, Hoong C. 20 2013 Large deviations for Hilbert-space-valued Wiener processes: a sequence space approach. Zbl 1287.60036 Andresen, Andreas; Imkeller, Peter; Perkowski, Nicolas 2 2013 Differentiability of quadratic BSDEs generated by continuous martingales. Zbl 1254.60058 Imkeller, Peter; Réveillac, Anthony; Richter, Anja 8 2012 Asymptotic first exit times of the Chafee-Infante equation with small heavy-tailed Lévy noise. Zbl 1233.60037 Debussche, Arnaud; Hoegele, Michael; Imkeller, Peter 4 2011 Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization. Zbl 1283.91194 Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing 3 2011 Hedging with residual risk: a BSDE approach. Zbl 1245.91094 Ankirchner, Stefan; Imkeller, Peter 1 2011 Backward stochastic differential equations with time delayed generators – results and counterexamples. Zbl 1202.34144 Delong, Łukasz; Imkeller, Peter 34 2010 On Malliavin’s differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures. Zbl 1200.60041 Delong, Łukasz; Imkeller, Peter 32 2010 Path regularity and explicit convergence rate for BSDE with truncated quadratic growth. Zbl 1196.60101 Imkeller, Peter; dos Reis, Gonçalo 31 2010 Time irregularity of generalized Ornstein-Uhlenbeck processes. (Irrégularité en temps des processus Ornstein-Uhlenbeck généralisés.) Zbl 1205.60119 Brzeźniak, Zdzisław; Goldys, Ben; Imkeller, Peter; Peszat, Szymon; Priola, Enrico; Zabczyk, Jerzy 20 2010 Pricing and hedging of derivatives based on nontradable underlyings. Zbl 1217.91178 Ankirchner, Stefan; Imkeller, Peter; dos Reis, Gonçalo 20 2010 Results on numerics for FBSDE with drivers of quadratic growth. Zbl 1236.60068 Imkeller, Peter; dos Reis, Gonçalo; Zhang, Jianing 11 2010 Limit theorems for \(p\)-variations of solutions of SDEs driven by additive stable Lévy noise and model selection for Paleo-climatic data. Zbl 1218.60027 Hein, Claudia; Imkeller, Peter; Pavlyukevich, Ilya 7 2010 First exit times of non-linear dynamical systems in \(\mathbb R^{d}\) perturbed by multifractal Lévy noise. Zbl 1202.37074 Imkeller, Peter; Pavlyukevich, Ilya; Stauch, Michael 5 2010 Corrigendum to “Path regularity and explicit convergence rate for BSDE with truncated quadratic growth”. Zbl 1229.60071 Imkeller, Peter; dos Reis, Gonçalo 1 2010 First exit times for Lévy-driven diffusions with exponentially light jumps. Zbl 1184.60019 Imkeller, Peter; Pavlyukevich, Ilya; Wetzel, Torsten 19 2009 On measure solutions of backward stochastic differential equations. Zbl 1181.60080 Ankirchner, Stefan; Imkeller, Peter; Popier, Alexandre 8 2009 Large deviations and a Kramers’ type law for self-stabilizing diffusions. Zbl 1149.60020 Herrmann, Samuel; Imkeller, Peter; Peithmann, Dierk 31 2008 Metastable behaviour of small noise Lévy-driven diffusions. Zbl 1205.60113 Imkeller, Peter; Pavlyukevich, Ilya 19 2008 Malliavin’s calculus and applications in stochastic control and finance. Zbl 1192.60079 Imkeller, Peter 10 2008 Optimal cross hedging of insurance derivatives. Zbl 1158.60020 Ankirchner, Stefan; Imkeller, Peter; Popier, Alexandre 5 2008 A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift. Zbl 1148.60026 Ankirchner, Stefan; Heyne, Gregor; Imkeller, Peter 4 2008 Classical and variational differentiability of BSDEs with quadratic growth. Zbl 1138.60042 Ankirchner, Stefan; Imkeller, Peter; dos Reis, Gonçalo J. N. 38 2007 Global flows for stochastic differential equations without global Lipschitz conditions. Zbl 1128.60046 Fang, Shizan; Imkeller, Peter; Zhang, Tusheng 25 2007 Enlargement of filtrations and continuous Girsanov-type embeddings. Zbl 1155.60017 Ankirchner, Stefan; Dereich, Steffen; Imkeller, Peter 9 2007 Financial markets with asymmetric information: information drift, additional utility and entropy. Zbl 1155.60026 Ankirchner, Stefan; Imkeller, Peter 6 2007 First exit times of SDEs driven by stable Lévy processes. Zbl 1104.60030 Imkeller, P.; Pavlyukevich, I. 44 2006 The Shannon information of filtrations and the additional logarithmic utility of insiders. Zbl 1098.60065 Ankirchner, Stefan; Dereich, Steffen; Imkeller, Peter 33 2006 Lévy flights: transitions and meta-stability. Zbl 1088.37023 Imkeller, Peter; Pavlyukevich, Ilya 20 2006 Transition times and stochastic resonance for multidimensional diffusions with time periodic drift: a large deviations approach. Zbl 1155.60022 Herrmann, Samuel; Imkeller, Peter; Peithmann, Dierk 5 2006 Noise-induced resonance in bistable systems caused by delay feedback. Zbl 1104.34057 Fischer, Markus; Imkeller, Peter 1 2006 Utility maximization in incomplete markets. Zbl 1083.60048 Hu, Ying; Imkeller, Peter; Müller, Matthias 177 2005 Finite utility on financial markets with asymmetric information and structure properties of the price dynamics. Zbl 1115.91024 Ankirchner, Stefan; Imkeller, Peter 16 2005 The exit problem for diffusions with time-periodic drift and stochastic resonance. Zbl 1079.60070 Herrmann, Samuel; Imkeller, Peter 11 2005 Partial equilibrium and market completion. Zbl 1139.91326 Hu, Ying; Imkeller, Peter; Müller, Matthias 4 2005 A two-state model for noise-induced resonance in bistable systems with delay. Zbl 1078.34060 Fischer, Markus; Imkeller, Peter 1 2005 Two mathematical approaches to stochastic resonance. Zbl 1095.82009 Herrmann, Samuel; Imkeller, Peter; Pavlyukevich, Ilya 1 2005 Additional utility of insiders with imperfect dynamical information. Zbl 1064.60087 Corcuera, José M.; Imkeller, Peter; Kohatsu-Higa, Arturo; Nualart, David 32 2004 The asymptotic stability of a noisy non-linear oscillator. Zbl 1236.70044 Arnold, L.; Imkeller, P.; Namachchivaya, N. Sri 10 2004 Malliavin’s calculus in insider models: additional utility and free lunches. Zbl 1071.91017 Imkeller, Peter 27 2003 Reduction of deterministic coupled atmosphere-ocean models to stochastic ocean models: a numerical case study of the Lorenz-Maas system. Zbl 1071.76045 Arnold, Ludwig; Imkeller, Peter; Wu, Yonghui 13 2003 On the computation of invariant measures in random dynamical systems. Zbl 1063.60097 Imkeller, Peter; Kloeden, Peter 1 2003 Random times at which insiders can have free lunches. Zbl 1041.91034 Imkeller, Peter 29 2002 Conceptual stochastic climate models. Zbl 1022.86001 Imkeller, Peter; Monahan, Adam Hugh 26 2002 The cohomology of stochastic and random differential equations, and local linearization of stochastic flows. Zbl 1020.60052 Imkeller, Peter; Lederer, Christian 15 2002 Model reduction and stochastic resonance. Zbl 1027.60059 Imkeller, P.; Pavlyukevich, I. 11 2002 Barrier crossings characterize stochastic resonance. Zbl 1023.60062 Herrmann, Samuel; Imkeller, Peter 4 2002 Moment Lyapunov exponent for conservative systems with small periodic and random perturbations. Zbl 1023.60053 Imkeller, P.; Milstein, G. N. 2 2002 The conjugacy of stochastic and random differential equations and the existence of global attractors. Zbl 1004.37034 Imkeller, Peter; Schmalfuss, Björn 65 2001 Free lunch and arbitrage possibilities in a financial market model with an insider. Zbl 1047.60041 Imkeller, Peter; Pontier, Monique; Weisz, Ferenc 35 2001 Some formulas for Lyapunov exponents and rotation numbers in two dimensions and the stability of the harmonic oscillator and the inverted pendulum. Zbl 1115.37329 Imkeller, Peter; Lederer, Christian 13 2001 Energy balance models – viewed from stochastic dynamics. Zbl 0988.60064 Imkeller, Peter 8 2001 On the cohomology of flows of stochastic and random differential equations. Zbl 0993.60056 Imkeller, Peter; Lederer, Christian 8 2001 Stochastic resonance in two-state Markov chains. Zbl 1021.60051 Imkeller, P.; Pavlyukevich, I. 6 2001 Stochastic climate models. Proceedings of a workshop, Chorin, Germany, Summer 1999. Zbl 0961.00022 2 2001 Bifurcations of one-dimensional stochastic differential equations. Zbl 0949.60066 Crauel, Hans; Imkeller, Peter; Steinkamp, Marcus 16 1999 An explicit description of the Lyapunov exponents of the noisy damped harmonic oscillator. Zbl 0949.34038 Imkeller, Peter; Lederer, Christian 10 1999 On the spatial asymptotic behavior of stochastic flows in Euclidean space. Zbl 0942.60053 Imkeller, Peter; Scheutzow, Michael 7 1999 Rotation numbers for linear stochastic differential equations. Zbl 0944.60065 Arnold, Ludwig; Imkeller, Peter 3 1999 Critical dimensions for the existence of self-intersection local times of the \(N\)-parameter Brownian motion in \(R^d\). Zbl 0956.60084 Imkeller, Peter; Weisz, Ferenc 1 1999 Additional logarithmic utility of an insider. Zbl 0934.91020 Amendinger, Jürgen; Imkeller, Peter; Schweizer, Martin 75 1998 Normal forms for stochastic differential equations. Zbl 0906.60048 Arnold, Ludwig; Imkeller, Peter 24 1998 The smoothness of laws of random flags and Oseledets spaces of linear stochastic differential equations. Zbl 0924.60031 Imkeller, Peter 4 1998 On the integrability condition in the multiplicative ergodic theorem for stochastic differential equations. Zbl 1043.60512 Arnold, Ludwig; Imkeller, Peter 2 1998 Enlargement of the Wiener filtration by a manifold valued random element via Malliavin’s calculus. Zbl 0948.60052 Imkeller, Peter 2 1997 On the laws of the Oseledets spaces of linear stochastic differential equations. Zbl 0892.60063 Imkeller, Peter 1 1997 Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin’s calculus. Zbl 0855.60045 Imkeller, Peter 13 1996 Stratonovich calculus with spatial parameters and anticipative problems in multiplicative ergodic theory. Zbl 0847.60037 Arnold, Ludwig; Imkeller, Peter 11 1996 On the laws of orthogonal projectors on eigenspaces of Lyapunov exponents of linear stochastic differential equations. Zbl 0864.60041 Imkeller, Peter 1 1996 New distributions over Wiener and Euclidean spaces. Zbl 0869.60061 Imkeller, P.; Yan, Jia’an 1 1996 Multiple intersection local time of planar Brownian motion as a particular Hida distribution. Zbl 0865.60034 Imkeller, Peter; Yan, Jia-An 1 1996 Chaos expansions of double intersection local time of Brownian motion in \(\mathbb{R}^ d\) and renormalization. Zbl 0822.60048 Imkeller, Peter; Perez-Abreu, Victor; Vives, Josep 40 1995 Furstenberg-Khasminskii formulas for Lyapunov exponents via anticipative calculus. Zbl 0857.60052 Arnold, Ludwig; Imkeller, Peter 3 1995 Critical dimensions for the existence of self-intersection local times of the Brownian sheet in \(\mathbb{R}^ d\). Zbl 0827.60036 Imkeller, Peter; Weisz, Ferenc 2 1995 The asymptotic behaviour of local times and occupation integrals of the \(N\)-parameter Wiener process in \(\mathbb{R}^ d\). Zbl 0794.60046 Imkeller, Peter; Weisz, Ferenc 12 1994 Integration by parts on Wiener space and the existence of occupation densities. Zbl 0803.60049 Imkeller, Peter; Nualart, David 10 1994 Stochastic integration for some rough non-adapted processes. Zbl 0811.60040 Imkeller, Peter; Schmidt, Wolfgang 3 1994 On exact tails for limiting distributions of \(U\)-statistics in the second Gaussian chaos. Zbl 0849.60018 Imkeller, Peter 2 1994 On the perturbation problem for occupation densities. Zbl 0804.60040 Imkeller, Peter 1 1994 Regularity of Skorohod integral processes based on integrands in a finite Wiener chaos. Zbl 0792.60047 Imkeller, Peter 1 1994 Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space. Zbl 0796.60082 Föllmer, Hans; Imkeller, Peter 14 1993 Existence and continuity of occupation densities of stochastic integral processes. Zbl 0779.60050 Imkeller, Peter 2 1993 ...and 15 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,426 Authors 53 Imkeller, Peter 27 Duan, Jinqiao 21 Perkowski, Nicolas 20 Zhu, RongChan 19 Gubinelli, Massimiliano 18 Ouknine, Youssef 18 Zhu, Xiang-Chan 16 Hairer, Martin 15 Ankirchner, Stefan 15 Tugaut, Julian 14 dos Reis, Gonçalo 14 Pavlyukevich, Ilya 14 Tudor, Ciprian A. 13 Hu, Ying 12 Högele, Michael Anton 11 Jeanblanc, Monique 11 Marzougue, Mohamed 11 Zhou, Shengfan 10 Hofmanová, Martina 10 Liang, Gechun 10 Nualart, David 10 Shen, Hao 9 Albeverio, Sergio A. 9 Di Persio, Luca 9 Hoshino, Masato 9 Kloeden, Peter Eris 9 Tsai, Li-cheng 8 Choulli, Tahir 8 Jentzen, Arnulf 8 Luo, Dejun 8 Oh, Tadahiro 8 Øksendal, Bernt Karsten 8 Qiao, Huijie 8 Schmalfuß, Björn 8 Tangpi, Ludovic 8 Weber, Hendrik 8 Weisz, Ferenc 7 Bailleul, Ismaël F. 7 Duc, Luu Hoang 7 Flandoli, Franco 7 Fontana, Claudio 7 Gairing, Jan M. 7 Hu, Yaozhong 7 Jiao, Ying 7 Luo, Peng 7 Réveillac, Anthony 7 Scheutzow, Michael K. R. 6 Cannizzaro, Giuseppe 6 Cordoni, Francesco Giuseppe 6 Corwin, Ivan Z. 6 Delong, Łukasz 6 Deng, Jun 6 Frei, Christoph 6 Friz, Peter 6 Gaeta, Giuseppe 6 Ghosal, Promit 6 Grigorova, Miryana 6 Gu, Yu 6 Hausenblas, Erika 6 Hillairet, Caroline 6 Hutzenthaler, Martin 6 Klimsiak, Tomasz 6 Labbé, Cyril 6 Li, Xiaofan 6 Liang, Zongxia 6 Possamaï, Dylan 6 Prömel, David J. 6 Quenez, Marie-Claire 6 Röckner, Michael 6 Sun, Rongfeng 6 Xiong, Dewen 5 Aksamit, Anna 5 Berglund, Nils 5 Blanchet-Scalliet, Christophette 5 Caraballo Garrido, Tomás 5 Caravenna, Francesco 5 Chandra, Ajay 5 Chevyrev, Ilya 5 Chouk, Khalil 5 Deng, Yu 5 El Otmani, Mohamed 5 Funaki, Tadahisa 5 Garrido-Atienza, María José 5 Hilbert, Astrid 5 Kardaras, Constantinos 5 Kharroubi, Idris 5 Kohatsu-Higa, Arturo 5 Kühn, Christian 5 Kurths, Jürgen 5 Landim, Claudio 5 Li, Libo 5 Lim, Thomas 5 Mania, Michael 5 Mastrolia, Thibaut 5 Menoukeu Pamen, Olivier 5 Pontier, Monique 5 Priola, Enrico 5 Razafimandimby, Paul André 5 Richou, Adrien 5 Riedle, Markus ...and 1,326 more Authors all top 5 Cited in 245 Serials 107 Stochastic Processes and their Applications 58 Stochastics and Dynamics 48 The Annals of Probability 32 Stochastic Analysis and Applications 30 Communications in Mathematical Physics 30 The Annals of Applied Probability 29 Electronic Journal of Probability 28 Journal of Functional Analysis 28 Stochastics 26 Probability Theory and Related Fields 25 Finance and Stochastics 23 Journal of Mathematical Analysis and Applications 23 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 22 Journal of Differential Equations 22 Journal of Theoretical Probability 20 International Journal of Theoretical and Applied Finance 18 Applied Mathematics and Optimization 18 Statistics & Probability Letters 16 Mathematical Finance 15 SIAM Journal on Financial Mathematics 14 Journal of Statistical Physics 14 Stochastic and Partial Differential Equations. Analysis and Computations 13 Bulletin des Sciences Mathématiques 13 Mathematics and Financial Economics 12 SIAM Journal on Control and Optimization 12 Chaos 11 Potential Analysis 11 Probability, Uncertainty and Quantitative Risk 9 Physica D 9 Journal of Dynamics and Differential Equations 9 Discrete and Continuous Dynamical Systems 8 Journal of Mathematical Physics 8 Nonlinearity 8 Inventiones Mathematicae 8 Nonlinear Analysis. Theory, Methods & Applications. 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Theory and Methods 5 Electronic Communications in Probability 5 Methodology and Computing in Applied Probability 5 Journal of Nonlinear Mathematical Physics 5 Quantitative Finance 5 Comptes Rendus. Mathématique. Académie des Sciences, Paris 5 ALEA. Latin American Journal of Probability and Mathematical Statistics 4 Communications on Pure and Applied Mathematics 4 Journal of Computational Physics 4 Physica A 4 Mathematics of Computation 4 Duke Mathematical Journal 4 Journal of Applied Probability 4 Systems & Control Letters 4 Chinese Annals of Mathematics. Series B 4 Acta Mathematicae Applicatae Sinica. English Series 4 Applied Mathematical Finance 4 Journal of Difference Equations and Applications 4 Probability in the Engineering and Informational Sciences 4 Dynamical Systems 4 Journal of Statistical Mechanics: Theory and Experiment 4 Oberwolfach Reports 4 Frontiers of Mathematics in China 4 Journal of Physics A: Mathematical and Theoretical 4 Science China. Mathematics 4 Modern Stochastics. Theory and Applications 3 Reports on Mathematical Physics 3 Theory of Probability and its Applications 3 BIT 3 Journal of Optimization Theory and Applications 3 Acta Applicandae Mathematicae 3 Annals of Operations Research 3 Proceedings of the Royal Society of Edinburgh. Section A. Mathematics 3 NoDEA. Nonlinear Differential Equations and Applications 3 Acta Mathematica Sinica. English Series 3 Communications in Nonlinear Science and Numerical Simulation 3 Annales Henri Poincaré 3 Journal of Evolution Equations 3 Multiscale Modeling & Simulation 3 Discrete and Continuous Dynamical Systems. Series S 3 Probability Surveys 3 International Journal of Stochastic Analysis 3 Forum of Mathematics, Sigma 2 Stochastics 2 Studia Mathematica 2 Ukrainian Mathematical Journal 2 Journal of Econometrics 2 Journal of Multivariate Analysis ...and 145 more Serials all top 5 Cited in 48 Fields 1,065 Probability theory and stochastic processes (60-XX) 316 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 270 Partial differential equations (35-XX) 139 Dynamical systems and ergodic theory (37-XX) 121 Systems theory; control (93-XX) 110 Ordinary differential equations (34-XX) 94 Statistical mechanics, structure of matter (82-XX) 70 Numerical analysis (65-XX) 54 Calculus of variations and optimal control; optimization (49-XX) 46 Quantum theory (81-XX) 44 Statistics (62-XX) 28 Fluid mechanics (76-XX) 24 Operator theory (47-XX) 21 Functional analysis (46-XX) 21 Biology and other natural sciences (92-XX) 20 Global analysis, analysis on manifolds (58-XX) 18 Geophysics (86-XX) 15 Information and communication theory, circuits (94-XX) 14 Operations research, mathematical programming (90-XX) 13 Harmonic analysis on Euclidean spaces (42-XX) 11 Mechanics of particles and systems (70-XX) 9 Measure and integration (28-XX) 8 Real functions (26-XX) 8 Computer science (68-XX) 6 General and overarching topics; collections (00-XX) 6 Functions of a complex variable (30-XX) 6 Approximations and expansions (41-XX) 6 Integral equations (45-XX) 5 Potential theory (31-XX) 4 Abstract harmonic analysis (43-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Associative rings and algebras (16-XX) 3 Special functions (33-XX) 3 Difference and functional equations (39-XX) 3 Differential geometry (53-XX) 2 History and biography (01-XX) 2 Optics, electromagnetic theory (78-XX) 2 Relativity and gravitational theory (83-XX) 2 Astronomy and astrophysics (85-XX) 1 Combinatorics (05-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Number theory (11-XX) 1 Commutative algebra (13-XX) 1 Algebraic geometry (14-XX) 1 Topological groups, Lie groups (22-XX) 1 Integral transforms, operational calculus (44-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Mathematics education (97-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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