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Imkeller, Peter

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Author ID: imkeller.peter Recent zbMATH articles by "Imkeller, Peter"
Published as: Imkeller, P.; Imkeller, Peter
Documents Indexed: 137 Publications since 1982, including 8 Books
Reviewing Activity: 28 Reviews
all top 5

Co-Authors

32 single-authored
12 Pavlyukevich, Ilya
10 Ankirchner, Stefan
7 Arnold, Ludwig
6 dos Reis, Gonçalo
6 Herrmann, Samuel
5 Frangos, Nikos E.
5 Perkowski, Nicolas
5 Weisz, Ferenc
4 Grigorova, Miryana
4 Lederer, Christian
4 Ouknine, Youssef
4 Quenez, Marie-Claire
4 Réveillac, Anthony
4 Zhang, Jianing
3 Hu, Ying
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 Fromm, Alexander
2 Gairing, Jan M.
2 Gubinelli, Massimiliano
2 Högele, Michael Anton
2 Müller, Matthias M.
2 Namachchivaya, N. Sri
2 Nzengang, Victor
2 Pandolfo, Lionel
2 Popier, Alexandre
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 Hein, Claudia
1 Heyne, Gregor
1 Horst, Ulrich
1 Kloeden, Peter Eris
1 Kohatsu-Higa, Arturo
1 Mastrolia, Thibaut
1 Milstein, Grigori N.
1 Offen, Elias
1 Pérez-Abreu Carrión, Víctor M.
1 Peszat, Szymon
1 Pontier, Monique
1 Possamaï, Dylan
1 Priola, Enrico
1 Prömel, David J.
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 Wu, Yonghui
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 Stochastics and Dynamics
8 Probability Theory and Related Fields
8 The Annals of Applied Probability
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 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 EMS Series of Congress Reports

Publications by Year

Citations contained in zbMATH Open

111 Publications have been cited 1,233 times in 856 Documents Cited by Year
Utility maximization in incomplete markets. Zbl 1083.60048
Hu, Ying; Imkeller, Peter; Müller, Matthias
136
2005
Paracontrolled distributions and singular PDEs. Zbl 1333.60149
Gubinelli, Massimiliano; Imkeller, Peter; Perkowski, Nicolas
97
2015
Additional logarithmic utility of an insider. Zbl 0934.91020
Amendinger, Jürgen; Imkeller, Peter; Schweizer, Martin
60
1998
The conjugacy of stochastic and random differential equations and the existence of global attractors. Zbl 1004.37034
Imkeller, Peter; Schmalfuss, Björn
50
2001
First exit times of SDEs driven by stable Lévy processes. Zbl 1104.60030
Imkeller, P.; Pavlyukevich, I.
36
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
36
1995
Classical and variational differentiability of BSDEs with quadratic growth. Zbl 1138.60042
Ankirchner, Stefan; Imkeller, Peter; dos Reis, Gonçalo J. N.
31
2007
Free lunch and arbitrage possibilities in a financial market model with an insider. Zbl 1047.60041
Imkeller, Peter; Pontier, Monique; Weisz, Ferenc
30
2001
Backward stochastic differential equations with time delayed generators – results and counterexamples. Zbl 1202.34144
Delong, Łukasz; Imkeller, Peter
27
2010
Additional utility of insiders with imperfect dynamical information. Zbl 1064.60087
Corcuera, José M.; Imkeller, Peter; Kohatsu-Higa, Arturo; Nualart, David
26
2004
The Shannon information of filtrations and the additional logarithmic utility of insiders. Zbl 1098.60065
Ankirchner, Stefan; Dereich, Steffen; Imkeller, Peter
25
2006
Random times at which insiders can have free lunches. Zbl 1041.91034
Imkeller, Peter
25
2002
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
23
2010
Malliavin’s calculus in insider models: additional utility and free lunches. Zbl 1071.91017
Imkeller, Peter
23
2003
Path regularity and explicit convergence rate for BSDE with truncated quadratic growth. Zbl 1196.60101
Imkeller, Peter; dos Reis, Gonçalo
21
2010
Global flows for stochastic differential equations without global Lipschitz conditions. Zbl 1128.60046
Fang, Shizan; Imkeller, Peter; Zhang, Tusheng
21
2007
Normal forms for stochastic differential equations. Zbl 0906.60048
Arnold, Ludwig; Imkeller, Peter
20
1998
Lévy flights: transitions and meta-stability. Zbl 1088.37023
Imkeller, Peter; Pavlyukevich, Ilya
19
2006
Pricing and hedging of derivatives based on nontradable underlyings. Zbl 1217.91178
Ankirchner, Stefan; Imkeller, Peter; dos Reis, Gonçalo
17
2010
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
16
2017
Time irregularity of generalized Ornstein-Uhlenbeck processes. Zbl 1205.60119
Brzeźniak, Zdzisław; Goldys, Ben; Imkeller, Peter; Peszat, Szymon; Priola, Enrico; Zabczyk, Jerzy
16
2010
Metastable behaviour of small noise Lévy-driven diffusions. Zbl 1205.60113
Imkeller, Peter; Pavlyukevich, Ilya
16
2008
Conceptual stochastic climate models. Zbl 1022.86001
Imkeller, Peter; Monahan, Adam Hugh
16
2002
Two-parameter martingales and their quadratic variation. Zbl 0656.60056
Imkeller, Peter
16
1988
First exit times for Lévy-driven diffusions with exponentially light jumps. Zbl 1184.60019
Imkeller, Peter; Pavlyukevich, Ilya; Wetzel, Torsten
15
2009
Large deviations and a Kramers’ type law for self-stabilizing diffusions. Zbl 1149.60020
Herrmann, Samuel; Imkeller, Peter; Peithmann, Dierk
14
2008
Finite utility on financial markets with asymmetric information and structure properties of the price dynamics. Zbl 1115.91024
Ankirchner, Stefan; Imkeller, Peter
14
2005
The dynamics of nonlinear reaction-diffusion equations with small Lévy noise. Zbl 1321.60004
Debussche, Arnaud; Högele, Michael; Imkeller, Peter
13
2013
Bifurcations of one-dimensional stochastic differential equations. Zbl 0949.60066
Crauel, Hans; Imkeller, Peter; Steinkamp, Marcus
13
1999
Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space. Zbl 0796.60082
Föllmer, Hans; Imkeller, Peter
13
1993
Dimensional reduction in nonlinear filtering: a homogenization approach. Zbl 1288.60049
Imkeller, Peter; Namachchivaya, N. Sri; Perkowski, Nicolas; Yeong, Hoong C.
12
2013
Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin’s calculus. Zbl 0855.60045
Imkeller, Peter
12
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
Forward-backward systems for expected utility maximization. Zbl 1329.60182
Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing
11
2014
The cohomology of stochastic and random differential equations, and local linearization of stochastic flows. Zbl 1020.60052
Imkeller, Peter; Lederer, Christian
11
2002
Stratonovich calculus with spatial parameters and anticipative problems in multiplicative ergodic theory. Zbl 0847.60037
Arnold, Ludwig; Imkeller, Peter
10
1996
Integration by parts on Wiener space and the existence of occupation densities. Zbl 0803.60049
Imkeller, Peter; Nualart, David
10
1994
The exit problem for diffusions with time-periodic drift and stochastic resonance. Zbl 1079.60070
Herrmann, Samuel; Imkeller, Peter
9
2005
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
9
2003
Model reduction and stochastic resonance. Zbl 1027.60059
Imkeller, P.; Pavlyukevich, I.
9
2002
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
9
2001
The existence of dominating local martingale measures. Zbl 1326.60058
Imkeller, Peter; Perkowski, Nicolas
8
2015
Malliavin’s calculus and applications in stochastic control and finance. Zbl 1192.60079
Imkeller, Peter
8
2008
Enlargement of filtrations and continuous Girsanov-type embeddings. Zbl 1155.60017
Ankirchner, Stefan; Dereich, Steffen; Imkeller, Peter
8
2007
The asymptotic stability of a noisy non-linear oscillator. Zbl 1236.70044
Arnold, L.; Imkeller, P.; Namachchivaya, N. Sri
8
2004
A Fourier analytic approach to pathwise stochastic integration. Zbl 1338.60139
Gubinelli, Massimiliano; Imkeller, Peter; Perkowski, Nicolas
7
2016
Differentiability of quadratic BSDEs generated by continuous martingales. Zbl 1254.60058
Imkeller, Peter; Réveillac, Anthony; Richter, Anja
7
2012
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
On measure solutions of backward stochastic differential equations. Zbl 1181.60080
Ankirchner, Stefan; Imkeller, Peter; Popier, Alexandre
7
2009
On the cohomology of flows of stochastic and random differential equations. Zbl 0993.60056
Imkeller, Peter; Lederer, Christian
7
2001
An explicit description of the Lyapunov exponents of the noisy damped harmonic oscillator. Zbl 0949.34038
Imkeller, Peter; Lederer, Christian
7
1999
On the spatial asymptotic behavior of stochastic flows in Euclidean space. Zbl 0942.60053
Imkeller, Peter; Scheutzow, Michael
7
1999
Energy balance models – viewed from stochastic dynamics. Zbl 0988.60064
Imkeller, Peter
6
2001
Ito’s formula for continuous (N,d)-processes. Zbl 0557.60040
Imkeller, Peter
6
1984
Stochastic analysis and local times for (N,d)-Wiener process. Zbl 0531.60057
Imkeller, Peter
6
1984
Results on numerics for FBSDE with drivers of quadratic growth. Zbl 1236.60068
Imkeller, Peter; dos Reis, Gonçalo; Zhang, Jianing
5
2010
Financial markets with asymmetric information: information drift, additional utility and entropy. Zbl 1155.60026
Ankirchner, Stefan; Imkeller, Peter
5
2007
Stochastic resonance in two-state Markov chains. Zbl 1021.60051
Imkeller, P.; Pavlyukevich, I.
5
2001
Quadratic variation for a class of L lo\(g^ +\,L\)-bounded two-parameter martingales. Zbl 0631.60048
Frangos, Nikos E.; Imkeller, Peter
5
1987
Optimal stopping with \(f\)-expectations: the irregular case. Zbl 07173237
Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire
4
2020
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
4
2018
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.
4
2015
Stochastic resonance. A mathematical approach in the small noise limit. Zbl 1416.60008
Herrmann, Samuel; Imkeller, Peter; Pavlyukevich, Ilya; Peithmann, Dierk
4
2014
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
4
2010
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
Optimal cross hedging of insurance derivatives. Zbl 1158.60020
Ankirchner, Stefan; Imkeller, Peter; Popier, Alexandre
4
2008
Partial equilibrium and market completion. Zbl 1139.91326
Hu, Ying; Imkeller, Peter; Müller, Matthias
4
2005
Barrier crossings characterize stochastic resonance. Zbl 1023.60062
Herrmann, Samuel; Imkeller, Peter
4
2002
Stochastic climate models. Proceedings of a workshop, Chorin, Germany, Summer 1999. Zbl 0961.00022
Imkeller, Peter (ed.); Von Storch, Jin-Song (ed.)
4
2001
Occupation densities for stochastic integral processes in the second Wiener chaos. Zbl 0744.60055
Imkeller, Peter
4
1992
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
3
2011
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
3
2006
Rotation numbers for linear stochastic differential equations. Zbl 0944.60065
Arnold, Ludwig; Imkeller, Peter
3
1999
The smoothness of laws of random flags and Oseledets spaces of linear stochastic differential equations. Zbl 0924.60031
Imkeller, Peter
3
1998
Furstenberg-Khasminskii formulas for Lyapunov exponents via anticipative calculus. Zbl 0857.60052
Arnold, Ludwig; Imkeller, Peter
3
1995
Stochastic integration for some rough non-adapted processes. Zbl 0811.60040
Imkeller, Peter; Schmidt, Wolfgang
3
1994
On some sample path properties of Skorohod integral processes. Zbl 0761.60047
Barlow, Martin T.; Imkeller, Peter
3
1992
A class of two-parameter stochastic integrators. Zbl 0716.60057
Imkeller, Peter
3
1989
American options with asymmetric information and reflected BSDE. Zbl 1417.91497
Esmaeeli, Neda; Imkeller, Peter
2
2018
Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization. Zbl 1283.91194
Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing
2
2011
Moment Lyapunov exponent for conservative systems with small periodic and random perturbations. Zbl 1023.60053
Imkeller, P.; Milstein, G. N.
2
2002
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
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
Occupation densities of Stratonovitch stochastic differential equations with boundary conditions. Zbl 0796.60060
Imkeller, Peter
2
1993
Existence and continuity of occupation densities of stochastic integral processes. Zbl 0779.60050
Imkeller, Peter
2
1993
Some inequalities for strong martingales. Zbl 0651.60059
Frangos, Nikos E.; Imkeller, Peter
2
1988
Local times for a class of multi-parameter processes. Zbl 0538.60051
Imkeller, Peter
2
1984
Hurst index estimation in stochastic differential equations driven by fractional Brownian motion. Zbl 07229219
Gairing, Jan; Imkeller, Peter; Shevchenko, Radomyra; Tudor, Ciprian
1
2020
Solutions of martingale problems for Lévy-type operators with discontinuous coefficients and related SDEs. Zbl 1334.60068
Imkeller, Peter; Willrich, Niklas
1
2016
A note on the Malliavin-Sobolev spaces. Zbl 1329.60170
Imkeller, Peter; Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony
1
2016
Hedging with residual risk: a BSDE approach. Zbl 1245.91094
Ankirchner, Stefan; Imkeller, Peter
1
2011
Corrigendum to “Path regularity and explicit convergence rate for BSDE with truncated quadratic growth”. Zbl 1229.60071
Imkeller, Peter; dos Reis, Gonçalo
1
2010
Noise-induced resonance in bistable systems caused by delay feedback. Zbl 1104.34057
Fischer, Markus; Imkeller, Peter
1
2006
A two-state model for noise-induced resonance in bistable systems with delay. Zbl 1078.34060
Fischer, Markus; Imkeller, Peter
1
2005
The reduction of potential diffusions to finite state Markov chains and stochastic resonance. Zbl 1067.60041
Imkeller, Peter; Pavlyukevich, Ilya
1
2003
On the computation of invariant measures in random dynamical systems. Zbl 1063.60097
Imkeller, Peter; Kloeden, Peter
1
2003
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
Optimal stopping with \(f\)-expectations: the irregular case. Zbl 07173237
Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire
4
2020
Hurst index estimation in stochastic differential equations driven by fractional Brownian motion. Zbl 07229219
Gairing, Jan; Imkeller, Peter; Shevchenko, Radomyra; Tudor, Ciprian
1
2020
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
4
2018
American options with asymmetric information and reflected BSDE. Zbl 1417.91497
Esmaeeli, Neda; Imkeller, Peter
2
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
16
2017
A Fourier analytic approach to pathwise stochastic integration. Zbl 1338.60139
Gubinelli, Massimiliano; Imkeller, Peter; Perkowski, Nicolas
7
2016
Solutions of martingale problems for Lévy-type operators with discontinuous coefficients and related SDEs. Zbl 1334.60068
Imkeller, Peter; Willrich, Niklas
1
2016
A note on the Malliavin-Sobolev spaces. Zbl 1329.60170
Imkeller, Peter; Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony
1
2016
Paracontrolled distributions and singular PDEs. Zbl 1333.60149
Gubinelli, Massimiliano; Imkeller, Peter; Perkowski, Nicolas
97
2015
The existence of dominating local martingale measures. Zbl 1326.60058
Imkeller, Peter; Perkowski, Nicolas
8
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.
4
2015
Forward-backward systems for expected utility maximization. Zbl 1329.60182
Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing
11
2014
Stochastic resonance. A mathematical approach in the small noise limit. Zbl 1416.60008
Herrmann, Samuel; Imkeller, Peter; Pavlyukevich, Ilya; Peithmann, Dierk
4
2014
The dynamics of nonlinear reaction-diffusion equations with small Lévy noise. Zbl 1321.60004
Debussche, Arnaud; Högele, Michael; Imkeller, Peter
13
2013
Dimensional reduction in nonlinear filtering: a homogenization approach. Zbl 1288.60049
Imkeller, Peter; Namachchivaya, N. Sri; Perkowski, Nicolas; Yeong, Hoong C.
12
2013
Differentiability of quadratic BSDEs generated by continuous martingales. Zbl 1254.60058
Imkeller, Peter; Réveillac, Anthony; Richter, Anja
7
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
3
2011
Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization. Zbl 1283.91194
Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing
2
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
27
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
23
2010
Path regularity and explicit convergence rate for BSDE with truncated quadratic growth. Zbl 1196.60101
Imkeller, Peter; dos Reis, Gonçalo
21
2010
Pricing and hedging of derivatives based on nontradable underlyings. Zbl 1217.91178
Ankirchner, Stefan; Imkeller, Peter; dos Reis, Gonçalo
17
2010
Time irregularity of generalized Ornstein-Uhlenbeck processes. Zbl 1205.60119
Brzeźniak, Zdzisław; Goldys, Ben; Imkeller, Peter; Peszat, Szymon; Priola, Enrico; Zabczyk, Jerzy
16
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
Results on numerics for FBSDE with drivers of quadratic growth. Zbl 1236.60068
Imkeller, Peter; dos Reis, Gonçalo; Zhang, Jianing
5
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
4
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
15
2009
On measure solutions of backward stochastic differential equations. Zbl 1181.60080
Ankirchner, Stefan; Imkeller, Peter; Popier, Alexandre
7
2009
Metastable behaviour of small noise Lévy-driven diffusions. Zbl 1205.60113
Imkeller, Peter; Pavlyukevich, Ilya
16
2008
Large deviations and a Kramers’ type law for self-stabilizing diffusions. Zbl 1149.60020
Herrmann, Samuel; Imkeller, Peter; Peithmann, Dierk
14
2008
Malliavin’s calculus and applications in stochastic control and finance. Zbl 1192.60079
Imkeller, Peter
8
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
Optimal cross hedging of insurance derivatives. Zbl 1158.60020
Ankirchner, Stefan; Imkeller, Peter; Popier, Alexandre
4
2008
Classical and variational differentiability of BSDEs with quadratic growth. Zbl 1138.60042
Ankirchner, Stefan; Imkeller, Peter; dos Reis, Gonçalo J. N.
31
2007
Global flows for stochastic differential equations without global Lipschitz conditions. Zbl 1128.60046
Fang, Shizan; Imkeller, Peter; Zhang, Tusheng
21
2007
Enlargement of filtrations and continuous Girsanov-type embeddings. Zbl 1155.60017
Ankirchner, Stefan; Dereich, Steffen; Imkeller, Peter
8
2007
Financial markets with asymmetric information: information drift, additional utility and entropy. Zbl 1155.60026
Ankirchner, Stefan; Imkeller, Peter
5
2007
First exit times of SDEs driven by stable Lévy processes. Zbl 1104.60030
Imkeller, P.; Pavlyukevich, I.
36
2006
The Shannon information of filtrations and the additional logarithmic utility of insiders. Zbl 1098.60065
Ankirchner, Stefan; Dereich, Steffen; Imkeller, Peter
25
2006
Lévy flights: transitions and meta-stability. Zbl 1088.37023
Imkeller, Peter; Pavlyukevich, Ilya
19
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
3
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
136
2005
Finite utility on financial markets with asymmetric information and structure properties of the price dynamics. Zbl 1115.91024
Ankirchner, Stefan; Imkeller, Peter
14
2005
The exit problem for diffusions with time-periodic drift and stochastic resonance. Zbl 1079.60070
Herrmann, Samuel; Imkeller, Peter
9
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
Additional utility of insiders with imperfect dynamical information. Zbl 1064.60087
Corcuera, José M.; Imkeller, Peter; Kohatsu-Higa, Arturo; Nualart, David
26
2004
The asymptotic stability of a noisy non-linear oscillator. Zbl 1236.70044
Arnold, L.; Imkeller, P.; Namachchivaya, N. Sri
8
2004
Malliavin’s calculus in insider models: additional utility and free lunches. Zbl 1071.91017
Imkeller, Peter
23
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
9
2003
The reduction of potential diffusions to finite state Markov chains and stochastic resonance. Zbl 1067.60041
Imkeller, Peter; Pavlyukevich, Ilya
1
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
25
2002
Conceptual stochastic climate models. Zbl 1022.86001
Imkeller, Peter; Monahan, Adam Hugh
16
2002
The cohomology of stochastic and random differential equations, and local linearization of stochastic flows. Zbl 1020.60052
Imkeller, Peter; Lederer, Christian
11
2002
Model reduction and stochastic resonance. Zbl 1027.60059
Imkeller, P.; Pavlyukevich, I.
9
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
50
2001
Free lunch and arbitrage possibilities in a financial market model with an insider. Zbl 1047.60041
Imkeller, Peter; Pontier, Monique; Weisz, Ferenc
30
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
9
2001
On the cohomology of flows of stochastic and random differential equations. Zbl 0993.60056
Imkeller, Peter; Lederer, Christian
7
2001
Energy balance models – viewed from stochastic dynamics. Zbl 0988.60064
Imkeller, Peter
6
2001
Stochastic resonance in two-state Markov chains. Zbl 1021.60051
Imkeller, P.; Pavlyukevich, I.
5
2001
Stochastic climate models. Proceedings of a workshop, Chorin, Germany, Summer 1999. Zbl 0961.00022
Imkeller, Peter (ed.); Von Storch, Jin-Song (ed.)
4
2001
Bifurcations of one-dimensional stochastic differential equations. Zbl 0949.60066
Crauel, Hans; Imkeller, Peter; Steinkamp, Marcus
13
1999
An explicit description of the Lyapunov exponents of the noisy damped harmonic oscillator. Zbl 0949.34038
Imkeller, Peter; Lederer, Christian
7
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
60
1998
Normal forms for stochastic differential equations. Zbl 0906.60048
Arnold, Ludwig; Imkeller, Peter
20
1998
The smoothness of laws of random flags and Oseledets spaces of linear stochastic differential equations. Zbl 0924.60031
Imkeller, Peter
3
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
12
1996
Stratonovich calculus with spatial parameters and anticipative problems in multiplicative ergodic theory. Zbl 0847.60037
Arnold, Ludwig; Imkeller, Peter
10
1996
New distributions over Wiener and Euclidean spaces. Zbl 0869.60061
Imkeller, P.; Yan, Jia’an
1
1996
On the laws of orthogonal projectors on eigenspaces of Lyapunov exponents of linear stochastic differential equations. Zbl 0864.60041
Imkeller, Peter
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
36
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
Regularity of Skorohod integral processes based on integrands in a finite Wiener chaos. Zbl 0792.60047
Imkeller, Peter
1
1994
On the perturbation problem for occupation densities. Zbl 0804.60040
Imkeller, Peter
1
1994
Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space. Zbl 0796.60082
Föllmer, Hans; Imkeller, Peter
13
1993
Occupation densities of Stratonovitch stochastic differential equations with boundary conditions. Zbl 0796.60060
Imkeller, Peter
2
1993
Existence and continuity of occupation densities of stochastic integral processes. Zbl 0779.60050
Imkeller, Peter
2
1993
Occupation densities for stochastic integral processes in the second Wiener chaos. Zbl 0744.60055
Imkeller, Peter
4
1992
On some sample path properties of Skorohod integral processes. Zbl 0761.60047
Barlow, Martin T.; Imkeller, Peter
3
1992
On the existence of occupation densities of stochastic integral processes via operator theory. Zbl 0722.60080
Imkeller, Peter
1
1991
A class of two-parameter stochastic integrators. Zbl 0716.60057
Imkeller, Peter
3
1989
...and 11 more Documents
all top 5

Cited by 1,032 Authors

50 Imkeller, Peter
22 Duan, Jinqiao
14 Ankirchner, Stefan
14 Pavlyukevich, Ilya
13 dos Reis, Gonçalo
13 Gubinelli, Massimiliano
13 Tudor, Ciprian A.
12 Perkowski, Nicolas
12 Tugaut, Julian
11 Hu, Ying
11 Zhou, Shengfan
10 Hairer, Martin
10 Jeanblanc, Monique
10 Nualart, David
9 Liang, Gechun
9 Ouknine, Youssef
8 Högele, Michael Anton
8 Kloeden, Peter Eris
8 Réveillac, Anthony
8 Weisz, Ferenc
8 Zhu, RongChan
7 Choulli, Tahir
7 Fontana, Claudio
7 Hu, Yaozhong
7 Jiao, Ying
7 Luo, Dejun
7 Øksendal, Bernt Karsten
7 Scheutzow, Michael K. R.
7 Zhu, Xiang-Chan
6 Deng, Jun
6 Flandoli, Franco
6 Frei, Christoph
6 Gairing, Jan M.
6 Hillairet, Caroline
6 Li, Xiaofan
6 Liang, Zongxia
6 Luo, Peng
6 Schmalfuß, Björn
6 Xiong, Dewen
5 Blanchet-Scalliet, Christophette
5 Cannizzaro, Giuseppe
5 Cordoni, Francesco Giuseppe
5 Delong, Łukasz
5 Di Persio, Luca
5 Gaeta, Giuseppe
5 Hausenblas, Erika
5 Hofmanová, Martina
5 Kardaras, Constantinos
5 Kharroubi, Idris
5 Kohatsu-Higa, Arturo
5 Kurths, Jürgen
5 Lim, Thomas
5 Mania, Michael
5 Mastrolia, Thibaut
5 Pontier, Monique
5 Possamaï, Dylan
5 Priola, Enrico
5 Quenez, Marie-Claire
5 Razafimandimby, Paul André
5 Tangpi, Ludovic
5 Weber, Hendrik
4 Aksamit, Anna
4 Bailleul, Ismaël F.
4 Baxendale, Peter H.
4 Briand, Philippe
4 Caraballo Garrido, Tomás
4 Chouk, Khalil
4 Dereich, Steffen
4 Eyraud-Loisel, Anne
4 Grigorova, Miryana
4 Gu, Yu
4 Guo, Yanfeng
4 Herrmann, Samuel
4 Hoshino, Masato
4 Kühn, Christian
4 Labbé, Cyril
4 Li, Donglong
4 Lin, Yiqing
4 Marzougue, Mohamed
4 Mohammed, Salah-Eldin A.
4 Monahan, Adam Hugh
4 Morlais, Marie-Amelie
4 Overbeck, Ludger
4 Pavliotis, Grigorios A.
4 Prömel, David J.
4 Qiao, Huijie
4 Richou, Adrien
4 Röckner, Michael
4 Ruffino, Paulo Régis C.
4 Schweizer, Martin
4 Stadje, Mitja
4 Streit, Ludwig
4 Sulem, Agnès
4 Uemura, Hideaki
4 Wang, Wei
4 Zariphopoulou, Thaleia
3 Albeverio, Sergio A.
3 Arai, Takuji
3 Arnold, Ludwig
3 Bessaih, Hakima
...and 932 more Authors
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Cited in 196 Serials

87 Stochastic Processes and their Applications
44 Stochastics and Dynamics
35 The Annals of Probability
27 Stochastic Analysis and Applications
21 The Annals of Applied Probability
21 Finance and Stochastics
20 Journal of Functional Analysis
20 International Journal of Theoretical and Applied Finance
19 Communications in Mathematical Physics
16 Probability Theory and Related Fields
16 Journal of Theoretical Probability
15 Journal of Mathematical Analysis and Applications
15 Journal of Differential Equations
15 Statistics & Probability Letters
13 Stochastics
12 Journal of Statistical Physics
12 Chaos
12 Mathematics and Financial Economics
11 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
11 Bulletin des Sciences Mathématiques
11 Mathematical Finance
9 Electronic Journal of Probability
8 Infinite Dimensional Analysis, Quantum Probability and Related Topics
8 SIAM Journal on Financial Mathematics
7 Journal of Mathematical Physics
7 SIAM Journal on Control and Optimization
7 Physica D
7 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
6 Applied Mathematics and Optimization
6 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
6 Journal of Nonlinear Science
6 Potential Analysis
6 Bernoulli
6 Discrete and Continuous Dynamical Systems
6 Abstract and Applied Analysis
6 Stochastic and Partial Differential Equations. Analysis and Computations
5 Applied Mathematics and Computation
5 Journal of Computational and Applied Mathematics
5 Insurance Mathematics & Economics
5 European Journal of Operational Research
5 Random Operators and Stochastic Equations
5 Journal of Nonlinear Mathematical Physics
5 Quantitative Finance
5 Comptes Rendus. Mathématique. Académie des Sciences, Paris
4 Advances in Applied Probability
4 Nonlinearity
4 Mathematics of Computation
4 Journal of Applied Probability
4 Acta Mathematicae Applicatae Sinica. English Series
4 Journal of Dynamics and Differential Equations
4 Applied Mathematical Finance
4 Journal of Difference Equations and Applications
4 Electronic Communications in Probability
4 Dynamical Systems
4 Decisions in Economics and Finance
4 Frontiers of Mathematics in China
3 Journal of Computational Physics
3 Reports on Mathematical Physics
3 Chaos, Solitons and Fractals
3 Theory of Probability and its Applications
3 BIT
3 Chinese Annals of Mathematics. Series B
3 SIAM Journal on Mathematical Analysis
3 Probability in the Engineering and Informational Sciences
3 Discrete and Continuous Dynamical Systems. Series B
3 ALEA. Latin American Journal of Probability and Mathematical Statistics
3 Science China. Mathematics
3 International Journal of Stochastic Analysis
3 Modern Stochastics. Theory and Applications
2 Communications on Pure and Applied Mathematics
2 Physica A
2 Stochastics
2 Ukrainian Mathematical Journal
2 Duke Mathematical Journal
2 Inventiones Mathematicae
2 Journal of Econometrics
2 Journal of Multivariate Analysis
2 Journal of Optimization Theory and Applications
2 Journal of Statistical Planning and Inference
2 Proceedings of the American Mathematical Society
2 Transactions of the American Mathematical Society
2 Systems & Control Letters
2 Bulletin of the Korean Mathematical Society
2 Acta Applicandae Mathematicae
2 Journal of Complexity
2 Applied Mathematical Modelling
2 Communications in Partial Differential Equations
2 Acta Mathematica Sinica. New Series
2 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
2 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI
2 SIAM Journal on Scientific Computing
2 NoDEA. Nonlinear Differential Equations and Applications
2 Mathematical Problems in Engineering
2 Mathematical Methods of Operations Research
2 Journal of Inequalities and Applications
2 Methodology and Computing in Applied Probability
2 Annales Henri Poincaré
2 Applied Stochastic Models in Business and Industry
2 Journal of Evolution Equations
2 Stochastic Models
...and 96 more Serials
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Cited in 43 Fields

720 Probability theory and stochastic processes (60-XX)
244 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
133 Partial differential equations (35-XX)
107 Dynamical systems and ergodic theory (37-XX)
86 Ordinary differential equations (34-XX)
84 Systems theory; control (93-XX)
54 Numerical analysis (65-XX)
53 Statistical mechanics, structure of matter (82-XX)
36 Calculus of variations and optimal control; optimization (49-XX)
29 Statistics (62-XX)
17 Fluid mechanics (76-XX)
16 Quantum theory (81-XX)
16 Geophysics (86-XX)
13 Operator theory (47-XX)
12 Functional analysis (46-XX)
12 Operations research, mathematical programming (90-XX)
12 Biology and other natural sciences (92-XX)
11 Global analysis, analysis on manifolds (58-XX)
11 Information and communication theory, circuits (94-XX)
10 Harmonic analysis on Euclidean spaces (42-XX)
6 Approximations and expansions (41-XX)
5 Potential theory (31-XX)
4 Measure and integration (28-XX)
4 Functions of a complex variable (30-XX)
4 Abstract harmonic analysis (43-XX)
4 Computer science (68-XX)
4 Mechanics of particles and systems (70-XX)
3 Associative rings and algebras (16-XX)
3 Difference and functional equations (39-XX)
3 Integral equations (45-XX)
3 Differential geometry (53-XX)
2 Linear and multilinear algebra; matrix theory (15-XX)
2 Optics, electromagnetic theory (78-XX)
1 General and overarching topics; collections (00-XX)
1 History and biography (01-XX)
1 Combinatorics (05-XX)
1 Order, lattices, ordered algebraic structures (06-XX)
1 Number theory (11-XX)
1 Real functions (26-XX)
1 Special functions (33-XX)
1 Integral transforms, operational calculus (44-XX)
1 Relativity and gravitational theory (83-XX)
1 Astronomy and astrophysics (85-XX)

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