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Author ID: imkeller.peter Recent zbMATH articles by "Imkeller, Peter"
Published as: Imkeller, Peter; Imkeller, P.
Homepage: https://www.mathematik.hu-berlin.de/de/forschung/forschungsgebiete/stochastik/st...
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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

Publications by Year

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 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
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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. Series A: Theory and Methods
8 Random Operators and Stochastic Equations
8 Bernoulli
8 Infinite Dimensional Analysis, Quantum Probability and Related Topics
7 Advances in Applied Probability
7 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
7 Discrete and Continuous Dynamical Systems. Series B
7 Decisions in Economics and Finance
6 Chaos, Solitons and Fractals
6 European Journal of Operational Research
6 SIAM Journal on Mathematical Analysis
6 Journal of Nonlinear Science
6 Abstract and Applied Analysis
5 Archive for Rational Mechanics and Analysis
5 Applied Mathematics and Computation
5 Journal of Computational and Applied Mathematics
5 Transactions of the American Mathematical Society
5 Insurance Mathematics & Economics
5 Communications in Statistics. 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
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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)

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