P. Imkeller

发表

Malliavin's calculus in insider models

P. Imkeller, 2002 .

Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization

P. Imkeller, Jianing Zhang, Anthony Reveillac, 2011 .

Pricing and Hedging of Derivatives Based on Nontradable Underlyings

Peter Imkeller, Stefan Ankirchner, P. Imkeller, 2010 .

Path regularity and explicit convergence rate for BSDE with truncated quadratic growth

Peter Imkeller, Goncalo dos Reis, P. Imkeller, 2009, 0905.0788.

Utility maximization in incomplete markets

P. Imkeller, Ying Hu, Matthias Muller, 2005, math/0508448.

Dynkin Game with Asymmetric Information

P. Imkeller, N. Esmaeeli, Victor Nzengang, 2018, Bulletin of the Iranian Mathematical Society.

Additional logarithmic utility of an insider

P. Imkeller, M. Schweizer, Jürgen Amendinger, 1998 .

Dimensional reduction in nonlinear filtering: A homogenization approach

P. Imkeller, N. Namachchivaya, N. Perkowski, 2011, 1112.2986.

Stochastic climate models

P. Imkeller, J. Storch, 2001 .

Forward-backward systems for expected utility maximization

P. Imkeller, Anthony R'eveillac, Ying Hu, 2011, 1110.2713.

Stochastic Parameterization: Towards a new view of Weather and Climate Models

Paul D. Williams, P. Imkeller, T. Palmer, 2015, 1510.08682.

Bifurcations of One-Dimensional Stochastic Differential Equations

Hans Crauel, Peter Imkeller, H. Crauel, 1999 .

Bifurcation of One{dimensional Stochastic Diierential Equation

P. Imkeller, 1999 .

Stochastic Resonance: A Mathematical Approach in the Small Noise Limit

Peter Imkeller, Samuel Herrmann, Ilya Pavlyukevich, 2013 .

Differentiability of quadratic BSDEs generated by continuous martingales

Anja Richter, Peter Imkeller, P. Imkeller, 2009, 0907.0941.

Stable CLTs and Rates for Power Variation of α-Stable Lévy Processes

P. Imkeller, Jan Gairing, 2015 .

Doubly Reflected BSDEs and ${\cal E}^{f}$-Dynkin games: beyond the right-continuous case

P. Imkeller, M. Quenez, Y. Ouknine, 2017, 1704.00625.

The hierarchy of exit times of Lévy-driven Langevin equations

Peter Imkeller, Ilya Pavlyukevich, I. Pavlyukevich, 2010 .

Some mathematical remarks concerning the localisation of planetary waves in a stochastic background flow

P. Imkeller, A. Monahan, L. Pandolfo, 2001 .

Differentiability of SDEs with drifts of super-linear growth

Gonccalo dos Reis, P. Imkeller, William Salkeld, 2018, Electronic Journal of Probability.

The num eraire portfolio, asymmetric information and entropy

P. Imkeller, E. Petrou, 2010 .

Quadratic hedging of weather and catastrophe risk by using short term climate predictions

P. Imkeller, S. Ankirchner, 2008 .

TAKAGI TYPE FUNCTIONS AND DYNAMICAL SYSTEMS: THE SMOOTHNESS OF THE SBR MEASURE AND THE EXISTENCE OF LOCAL TIME

P. Imkeller, O. M. Pamen, P. Imkeller, 2021 .

Additional utility of insiders with imperfect dynamical information

P. Imkeller, D. Nualart, A. Kohatsu-Higa, 2003, Finance Stochastics.

Some formulas for Lyapunov exponents and rotation numbers in two dimensions and the stability of the harmonic oscillator and the inverted pendulum

P. Imkeller, C. Lederer, 2001 .

UTILITY MAXIMIZATION IN INCOMPLETE MARKETS 1

P. Imkeller, HU Byying, MATTHIAS MÜLLER, 2005 .

A Fourier approach to pathwise stochastic integration Lectures at Finnish Summer School in Probability University of Jyväskylä 2015

P. Imkeller, 2015 .

Utility maximization in incomplete markets

P. Imkeller, Ying Hu, Matthias Muller, 2005, math/0508448.

Global flows for stochastic differential equations without global Lipschitz conditions

P. Imkeller, Tusheng Zhang, S. Fang, 2007, math/0703791.

Utility maximization via decoupling fields

P. Imkeller, A. Fromm, 2017, The Annals of Applied Probability.

Stochastic Integration for Some Rough Non‐adapted Processes

P. Imkeller, W. Schmidt, 2006 .

METASTABLE BEHAVIOUR OF SMALL NOISE LÉVY-DRIVEN DIFFUSIONS

I. Pavlyukevich, P. Imkeller, 2006, math/0601771.

APPROXIMATION OF SOLUTIONS OF A STOCHASTIC FRACTIONAL DIFFERENTIAL EQUATION WITH DEVIATING ARGUMENT

P. Imkeller, L. Delong, 2015 .

First exit times of solutions of non-linear stochastic differential equations driven by symmetric Levy processes with alpha-stable components

I. Pavlyukevich, P. Imkeller, 2004, math/0409246.

Large deviations and a Kramers’ type law for self-stabilizing diffusions

P. Imkeller, Samuel Herrmann, Dierk Peithmann, 2006, math/0605053.

The continuity of the quadratic variation of two-parameter martingales

P. Imkeller, N. Frangos, 1988 .

A note on the localization of two-parameter processes

P. Imkeller, 1986 .

The shannon information of filtrations and the additional logarithmic utility of insiders

P. Imkeller, S. Dereich, S. Ankirchner, 2005, math/0503013.

Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches

Peter Imkeller, P. Imkeller, 2003 .

Differentiability of quadratic forward-backward SDEs with rough drift

P. Imkeller, O. M. Pamen, Rhoss Likibi Pellat, 2022, 2210.05622.

2D-Stochastic Currents over the Wiener Sheet

F. Flandoli, P. Imkeller, C. Tudor, 2012, Journal of Theoretical Probability.

Transition times and stochastic resonance for multidimensional diffusions with time periodic drift: A large deviations approach

P. Imkeller, Samuel Herrmann, Dierk Peithmann, 2004, math/0411386.

Electron. Commun. Probab. 25 (2020), article no. 49, https://doi.org/10.1214/20-ECP328

P. Imkeller, M. Quenez, Y. Ouknine, 2020 .

2D-Stochastic Currents over the Wiener Sheet

F. Flandoli, P. Imkeller, C. Tudor, 2012, Journal of Theoretical Probability.

Stochastic resonance in two-state Markov chains

I. Pavlyukevich, P. Imkeller, 2001, math/0302359.

The existence of dominating local martingale measures

P. Imkeller, N. Perkowski, 2015, Finance and Stochastics.

Corrigendum to “Path regularity and explicit convergence rate for BSDE with truncated quadratic growth” [Stochastic Process. Appl. 120 (2010) 348–379]

P. Imkeller, G. D. Reis, G. Reis, 2010 .

Classical and Variational Differentiability of BSDEs with Quadratic Growth

P. Imkeller, G. D. Reis, S. Ankirchner, 2007, math/0701875.

The parabolic Anderson model with heavy-tailed potential

P. Imkeller, J. Blath, S. Rœlly, 2011 .

The Conjugacy of Stochastic and Random Differential Equations and the Existence of Global Attractors

Peter Imkeller, Björn Schmalfuss, P. Imkeller, 2001 .

Energy balance models — viewed from stochastic dynamics

P. Imkeller, 2001 .

The Smoothness of Laws of Random Flags and Oseledets Spaces of Linear Stochastic Differential Equations

P. Imkeller, 1998 .

Stratonovitch calculus with spatial parameters and anticipativeproblems in multiplicative ergodic theoryLudwig

P. Imkeller, 1997 .

Stratonovich calculus with spatial parameters and anticipative problems in multiplicative ergodic theory

Peter Imkeller, P. Imkeller, L. Arnold, 1996 .

Furstenberg-khasminskii formulas for lyapunov exponents via anticipative calculus

P. Imkeller, L. Arnold, 1995 .

On the Existence of Occupation Densitites of Stochastic Integral Processes via Operator Theory

P. Imkeller, 1991 .

On the Laws of the Oseledets Spaces of Linear Stochastic Differential Equations

P. Imkeller, 1997 .

The allele distribution in next-generation sequencing data sets is accurately described as the result of a stochastic branching process

Sebastian Bauer, Thorsten Dickhaus, Peter M. Krawitz, 2011, Nucleic acids research.

Limit theorems for p-variations of solutions of SDEs driven by additive non-Gaussian stable L evy noise

I. Pavlyukevich, P. Imkeller, C. Hein, 2008, 0811.3769.

Humboldt- Universitdt and Technische Universitdt Berlin

P. Imkeller, M. Scheutzow, 2016 .

On the integrability condition in the multiplicative ergodic theorem for stochastic differential equations

P. Imkeller, L. Arnold, 1998 .

Regularity of Skorohod integral processes based on integrands in a finite Wiener chaos

P. Imkeller, 1994 .

On the perturbation problem for occupation densities

P. Imkeller, 1994 .

PARACONTROLLED DISTRIBUTIONS AND SINGULAR PDES

Nicolas Perkowski, Massimiliano Gubinelli, Peter Imkeller, 2012, Forum of Mathematics, Pi.

The Dynamics of Nonlinear Reaction-Diffusion Equations with Small Lévy Noise

P. Imkeller, A. Debussche, M. Högele, 2013 .

Asymptotic Exit Times

P. Imkeller, A. Debussche, M. Högele, 2013 .

The Fine Dynamics of the Chafee-Infante Equation

P. Imkeller, A. Debussche, M. Högele, 2013 .

Localization and metastability

P. Imkeller, A. Debussche, M. Högele, 2013 .

Asymptotic first exit times of the Chafee-Infante equation with small heavy-tailed Lévy noise

P. Imkeller, A. Debussche, M. Hogele, 2011, 1101.1436.

Normal forms for stochastic differential equations

Peter Imkeller, P. Imkeller, L. Arnold, 1998 .

Differentiability of quadratic BSDE generated by continuous martingales and hedging in incomplete markets

Anja Richter, Peter Imkeller, Anthony Réveillac, 2009 .

First exit times of SDEs driven by stable Lévy processes

Peter Imkeller, Ilya Pavlyukevich, I. Pavlyukevich, 2006 .

Stochastic analysis and local times for (N,d)-Wiener process

P. Imkeller, 1984 .

CONCEPTUAL STOCHASTIC CLIMATE MODELS

P. Imkeller, A. Monahan, Adam H. Monahan, 2002 .

The existence of dominating local martingale measures

Nicolas Perkowski, Peter Imkeller, P. Imkeller, 2011, Finance Stochastics.

Exponential of Lévy processes as a stock price - Arbitrage opportunities, completeness and derivatives valuation

P. Imkeller, 2006 .

Malliavin’s calculus and applications in stochastic control and finance

P. Imkeller, 2008 .

Hurst Index Estimation in Stochastic Differential Equations Driven by Fractional Brownian Motion

P. Imkeller, Jan Gairing, C. Tudor, 2019, Journal of Theoretical Probability.

Basics; processes depending on a parameter

P. Imkeller, 1988 .

From Random to Data Driven Dynamical Systems: Application to the Lorenz-96 Atmospheric Model

P. Imkeller, N. Namachchivaya, N. Perkowski, 2011 .

A homogenization approach to multiscale filtering

P. Imkeller, N. Namachchivaya, N. Perkowski, 2012 .

MODEL REDUCTION AND STOCHASTIC RESONANCE

I. Pavlyukevich, P. Imkeller, 2002 .

The asymptotic behaviour of local times and occupation integrals of theN-parameter Wiener process in Rd

P. Imkeller, Ferene Weisz, 1994 .

First exit times for Lévy-driven diffusions with exponentially light jumps.

Peter Imkeller, Ilya Pavlyukevich, I. Pavlyukevich, 2007, 0711.0982.

Backward stochastic differential equations with time delayed generators - results and counterexamples

Lukasz Delong, Peter Imkeller, P. Imkeller, 2010, 1005.4701.

Equilibrium trading of climate and weather risk and numerical simulation in a Markovian framework

Peter Imkeller, P. Imkeller, M. Müller, 2006 .

Financial Markets with Asymmetric Information: Information Drift, Additional Utility and Entropy

P. Imkeller, S. Ankirchner, 2007 .

Reduction of deterministic coupled atmosphere–ocean models to stochastic ocean models: a numerical case study of the Lorenz–Maas system

P. Imkeller, L. Arnold, Yonghui Wu, 2003 .

Additional utility of insiders with imperfect dynamical information

Arturo Kohatsu-Higa, José Manuel Corcuera, Peter Imkeller, 2003, Finance Stochastics.

Time irregularity of generalized Ornstein--Uhlenbeck processes

J. Zabczyk, P. Imkeller, Z. Brzeźniak, 2009, 0911.2418.

The Kramers Oscillator Revisited

P. Imkeller, L. Arnold, 2000 .

First Exit Times of Non-linear Dynamical Systems in ℝd Perturbed by Multifractal Lévy Noise

Peter Imkeller, Ilya Pavlyukevich, I. Pavlyukevich, 2010 .

Noise-Induced Resonance in Bistable Systems Caused by Delay Feedback

Peter Imkeller, Markus Fischer, P. Imkeller, 2006 .

A two state model for noise-induced resonance in bistable systems with delay

Peter Imkeller, Markus Fischer, P. Imkeller, 2005 .

The exit problem for diffusions with time-periodic drift and stochastic resonance

P. Imkeller, S. Herrmann, 2005, math/0503455.

Two Mathematical Approaches to Stochastic Resonance

I. Pavlyukevich, P. Imkeller, S. Herrmann, 2005 .

On the Spatial Asymptotic Behavior of Stochastic Flows in Euclidean Space

Michael Scheutzow, Peter Imkeller, P. Imkeller, 1999 .

Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure

P. Imkeller, Anthony Reveillac, O. M. Pamen, 2020, 2009.03628.

Existence of L\'evy's area and pathwise integration

David J. Promel, P. Imkeller, 2014, 1404.3645.

Lévy flights: transitions and meta-stability

Peter Imkeller, Ilya Pavlyukevich, I. Pavlyukevich, 2006 .

Ito's formula for continuous (N,d)-processes

P. Imkeller, 1984 .

Local times for a class of multi-parameter processes

P. Imkeller, 1984 .

Semi-Hyperbolicity and Bi-Shadowing

P. Kloeden, P. Imkeller, P. Diamond, 2010 .

Limit Theorems for p-Variations of Solutions of SDEs Driven by Additive Stable Lévy Noise and Model Selection for Paleo-Climatic Data

Peter Imkeller, Ilya Pavlyukevich, I. Pavlyukevich, 2010 .

The Stochastic Chafee–Infante Equation

P. Imkeller, A. Debussche, Michael A. Högele, 2013 .

BARRIER CROSSINGS CHARACTERIZE STOCHASTIC RESONANCE

P. Imkeller, S. Herrmann, 2002 .

The transformation theorem for two-parameter pure jump martingales

P. Imkeller, 1991 .

Quadratic Variation for a Class of $L \log^+ L$-Bounded Two-parameter Martingales

P. Imkeller, N. Frangos, 1987 .

On the Hausdorff dimension of a 2-dimensional Weierstrass curve

P. Imkeller, G. Reis, 2018, 1806.09585.

The asymptotic stability of a noisy non-linear oscillator

N. Sri Namachchivaya, Peter Imkeller, P. Imkeller, 2004 .

THE ASYMPTOTIC STABILITY OF WEAKLY PERTURBED TWO DIMENSIONAL HAMILTONIAN SYSTEMS

P. Imkeller, L. Arnold, N. Namachchivaya, 2001 .

On the cohomology of flows of stochastic and random differential equations

P. Imkeller, C. Lederer, 2001 .

Paraproducts, rough paths and controlled distributions

P. Imkeller, M. Gubinelli, Nicolas Perkowski, 2012 .

The Kramers Oscillator

P. Imkeller, 2007 .

Existence, Uniqueness and Regularity of Decoupling Fields to Multidimensional Fully Coupled FBSDEs

P. Imkeller, A. Fromm, 2013, 1310.0499.

Existence and Continuity of the Quadratic Variation of Strong Martingales

P. Imkeller, N. Frangos, 1996 .

A class of two-parameter stochastic integrators

P. Imkeller, 1989 .

Regularity and integrator properties of variation processes of two-parameter martingales with jumps

P. Imkeller, 1989 .

Results on Numerics for FBSDE with Drivers of Quadratic Growth

Gonccalo dos Reis, P. Imkeller, Jianing Zhang, 2010, 1004.2248.

Dynkin Game with Asymmetric Information

P. Imkeller, N. Esmaeeli, V. Nzengang, 2018, Bulletin of the Iranian Mathematical Society.

Occupation densities for stochastic integral processes in the second Wiener chaos

P. Imkeller, 1992 .

A Fourier approach to pathwise stochastic integration

P. Imkeller, M. Gubinelli, Nicolas Perkowski, 2014, 1410.4006.

Large Deviations for Hilbert-Space-Valued Wiener Processes: A Sequence Space Approach

P. Imkeller, A. Andresen, Nicolas Perkowski, 2012, 1203.4596.

A Fourier analytic approach to pathwise stochastic integration

P. Imkeller, M. Gubinelli, Nicolas Perkowski, 2016 .

On the computation of invariant measures in random dynamical systems

Peter E. Kloeden, Peter Imkeller, P. Kloeden, 2003 .

Random times at which insiders can have free lunches

Peter Imkeller, P. Imkeller, 2002 .

Stochastic Resonance: A Comparative Study of Two-State Models

I. Pavlyukevich, P. Imkeller, 2004 .

The Reduction of Potential Diffusions to Finite State Markov Chains and Stochastic Resonance

I. Pavlyukevich, P. Imkeller, 2003 .

Stochastic resonance: non-robust and robust tuning notions

I. Pavlyukevich, P. Imkeller, S. Herrmann, 2003 .

A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift

P. Imkeller, Gregor Heyne, S. Ankirchner, 2008 .

Existence and Continuity of Occupation Densities of Stochastic Integral Processes

P. Imkeller, 1993 .

Path regularity and explicit truncation order for BSDE with drivers of quadratic growth

P. Imkeller, 2009 .

MOMENT LYAPUNOV EXPONENT FOR CONSERVATIVE SYSTEMS WITH SMALL PERIODIC AND RANDOM PERTURBATIONS

P. Imkeller, G. Milstein, 2002 .

An explicit description of the Lyapunov exponents of the noisy damped harmonic oscillator

P. Imkeller, C. Lederer, 1999 .

A note on the Malliavin-Sobolev spaces

P. Imkeller, Anthony R'eveillac, Dylan Possamai, 2015, 1501.01777.

Solutions of martingale problems for Lévy-type operators with discontinuous coefficients and related SDEs

P. Imkeller, N. Willrich, 2016 .

Solutions of martingale problems for Levy-type operators and stochastic difierential equations driven by Levy processes with discontinuous coe-cients

P. Imkeller, N. Willrich, 2012, 1208.1665.

Se p 20 04 First exit times of solutions of non-linear stochastic differential equations driven by symmetric Lévy processes with α-stable components

I. Pavlyukevich, P. Imkeller, 2004 .

An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift

David J. Promel, P. Imkeller, A. Fromm, 2014, 1408.6390.

American Options with Asymmetric Information and Reflected BSDE

P. Imkeller, N. Esmaeeli, 2015, 1505.05046.

Local times of continuous N-parameter strong Martingales

P. Imkeller, 1986 .

A stochastic calculus for continuous N-parameter strong martingales

P. Imkeller, 1985 .

Enlargement of Filtrations and Continuous Girsanov-Type Embeddings

P. Imkeller, S. Dereich, S. Ankirchner, 2007 .

2 Some Results on Initial Enlargements of Filtrations

P. Imkeller, M. Schweizer, 1998 .

Anticipation cancelled by a Girsanov transformation : a paradox on Wiener space

Hans Föllmer, Peter Imkeller, H. Föllmer, 1993 .

Hurst Index Estimation in Stochastic Differential Equations Driven by Fractional Brownian Motion

P. Imkeller, Jan Gairing, C. Tudor, 2019, Journal of Theoretical Probability.

Stable CLTs and Rates for Power Variation of α-Stable Lévy Processes

P. Imkeller, Jan Gairing, 2013, Methodology and Computing in Applied Probability.

On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures

P. Imkeller, L. Delong, 2010, 1005.4702.