Edit Profile (opens in new tab) Imkeller, Peter Co-Author Distance Author ID: imkeller.peter Published as: Imkeller, Peter; Imkeller, P. Homepage: https://www.mathematik.hu-berlin.de/de/forschung/forschungsgebiete/stochastik/st... External Links: MGP · Wikidata · Google Scholar · dblp · GND · IdRef Documents Indexed: 136 Publications since 1982, including 5 Books 3 Contributions as Editor Reviewing Activity: 35 Reviews Co-Authors: 76 Co-Authors with 107 Joint Publications 1,568 Co-Co-Authors all top 5 Co-Authors 32 single-authored 12 Pavlyukevich, Ilya 10 Ankirchner, Stefan 7 Arnold, Ludwig 7 dos Reis, Gonçalo 6 Herrmann, Samuel 5 Frangos, Nikos E. 5 Perkowski, Nicolas 5 Réveillac, Anthony 5 Weisz, Ferenc 4 Grigorova, Miryana 4 Lederer, Christian 4 Ouknine, Youssef 4 Quenez, Marie-Claire 4 Zhang, Jianing 3 Fromm, Alexander 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 Gairing, Jan M. 2 Gubinelli, Massimiliano 2 Högele, Michael Anton 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 Menoukeu Pamen, Olivier 1 Milstein, Grigori N. 1 Namachchivaya, N. Sri 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 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 Comptes Rendus. Mathématique. Académie des Sciences, Paris 1 Mathematical Surveys and Monographs 1 Progress in Probability 1 Forum of Mathematics, Pi 1 IMPAN Lecture Notes 1 Pure and Applied Functional Analysis 1 EMS Series of Congress Reports all top 5 Fields 133 Probability theory and stochastic processes (60-XX) 25 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 19 Dynamical systems and ergodic theory (37-XX) 17 Ordinary differential equations (34-XX) 13 Systems theory; control (93-XX) 12 Geophysics (86-XX) 6 Partial differential equations (35-XX) 6 Numerical analysis (65-XX) 5 Fluid mechanics (76-XX) 5 Information and communication theory, circuits (94-XX) 4 Operator theory (47-XX) 3 General and overarching topics; collections (00-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Functional analysis (46-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Statistics (62-XX) 2 Mechanics of particles and systems (70-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 History and biography (01-XX) 1 Real functions (26-XX) 1 Measure and integration (28-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 115 Publications have been cited 1,669 times in 1,179 Documents Cited by ▼ Year ▼ Paracontrolled distributions and singular PDEs. Zbl 1333.60149Gubinelli, Massimiliano; Imkeller, Peter; Perkowski, Nicolas 223 2015 Utility maximization in incomplete markets. Zbl 1083.60048Hu, Ying; Imkeller, Peter; Müller, Matthias 165 2005 Additional logarithmic utility of an insider. Zbl 0934.91020Amendinger, Jürgen; Imkeller, Peter; Schweizer, Martin 74 1998 The conjugacy of stochastic and random differential equations and the existence of global attractors. Zbl 1004.37034Imkeller, Peter; Schmalfuss, Björn 61 2001 First exit times of SDEs driven by stable Lévy processes. Zbl 1104.60030Imkeller, P.; Pavlyukevich, I. 43 2006 Reflected BSDEs when the obstacle is not right-continuous and optimal stopping. Zbl 1379.60045Grigorova, Miryana; Imkeller, Peter; Offen, Elias; Ouknine, Youssef; Quenez, Marie-Claire 40 2017 Chaos expansions of double intersection local time of Brownian motion in \(\mathbb{R}^ d\) and renormalization. Zbl 0822.60048Imkeller, Peter; Perez-Abreu, Victor; Vives, Josep 40 1995 Classical and variational differentiability of BSDEs with quadratic growth. Zbl 1138.60042Ankirchner, Stefan; Imkeller, Peter; dos Reis, Gonçalo J. N. 38 2007 Free lunch and arbitrage possibilities in a financial market model with an insider. Zbl 1047.60041Imkeller, Peter; Pontier, Monique; Weisz, Ferenc 35 2001 Backward stochastic differential equations with time delayed generators – results and counterexamples. Zbl 1202.34144Delong, Łukasz; Imkeller, Peter 33 2010 Additional utility of insiders with imperfect dynamical information. Zbl 1064.60087Corcuera, José M.; Imkeller, Peter; Kohatsu-Higa, Arturo; Nualart, David 32 2004 The Shannon information of filtrations and the additional logarithmic utility of insiders. Zbl 1098.60065Ankirchner, Stefan; Dereich, Steffen; Imkeller, Peter 32 2006 On Malliavin’s differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures. Zbl 1200.60041Delong, Łukasz; Imkeller, Peter 31 2010 Path regularity and explicit convergence rate for BSDE with truncated quadratic growth. Zbl 1196.60101Imkeller, Peter; dos Reis, Gonçalo 30 2010 Random times at which insiders can have free lunches. Zbl 1041.91034Imkeller, Peter 29 2002 Large deviations and a Kramers’ type law for self-stabilizing diffusions. Zbl 1149.60020Herrmann, Samuel; Imkeller, Peter; Peithmann, Dierk 26 2008 Malliavin’s calculus in insider models: additional utility and free lunches. Zbl 1071.91017Imkeller, Peter 26 2003 Global flows for stochastic differential equations without global Lipschitz conditions. Zbl 1128.60046Fang, Shizan; Imkeller, Peter; Zhang, Tusheng 25 2007 Conceptual stochastic climate models. Zbl 1022.86001Imkeller, Peter; Monahan, Adam Hugh 23 2002 Normal forms for stochastic differential equations. Zbl 0906.60048Arnold, Ludwig; Imkeller, Peter 23 1998 Forward-backward systems for expected utility maximization. Zbl 1329.60182Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing 22 2014 Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case. Zbl 1406.60060Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire 21 2018 Optimal stopping with \(f\)-expectations: the irregular case. Zbl 1471.60055Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire 21 2020 Lévy flights: transitions and meta-stability. Zbl 1088.37023Imkeller, Peter; Pavlyukevich, Ilya 20 2006 Time irregularity of generalized Ornstein-Uhlenbeck processes. (Irrégularité en temps des processus Ornstein-Uhlenbeck généralisés.) Zbl 1205.60119Brzeźniak, Zdzisław; Goldys, Ben; Imkeller, Peter; Peszat, Szymon; Priola, Enrico; Zabczyk, Jerzy 20 2010 The dynamics of nonlinear reaction-diffusion equations with small Lévy noise. Zbl 1321.60004Debussche, Arnaud; Högele, Michael; Imkeller, Peter 20 2013 Pricing and hedging of derivatives based on nontradable underlyings. Zbl 1217.91178Ankirchner, Stefan; Imkeller, Peter; dos Reis, Gonçalo 19 2010 First exit times for Lévy-driven diffusions with exponentially light jumps. Zbl 1184.60019Imkeller, Peter; Pavlyukevich, Ilya; Wetzel, Torsten 18 2009 Two-parameter martingales and their quadratic variation. Zbl 0656.60056Imkeller, Peter 18 1988 Dimensional reduction in nonlinear filtering: a homogenization approach. Zbl 1288.60049Imkeller, Peter; Namachchivaya, N. Sri; Perkowski, Nicolas; Yeong, Hoong C. 18 2013 Metastable behaviour of small noise Lévy-driven diffusions. Zbl 1205.60113Imkeller, Peter; Pavlyukevich, Ilya 18 2008 Bifurcations of one-dimensional stochastic differential equations. Zbl 0949.60066Crauel, Hans; Imkeller, Peter; Steinkamp, Marcus 16 1999 Finite utility on financial markets with asymmetric information and structure properties of the price dynamics. Zbl 1115.91024Ankirchner, Stefan; Imkeller, Peter 16 2005 Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space. Zbl 0796.60082Föllmer, Hans; Imkeller, Peter 14 1993 Some formulas for Lyapunov exponents and rotation numbers in two dimensions and the stability of the harmonic oscillator and the inverted pendulum. Zbl 1115.37329Imkeller, 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 1071.76045Arnold, Ludwig; Imkeller, Peter; Wu, Yonghui 13 2003 The cohomology of stochastic and random differential equations, and local linearization of stochastic flows. Zbl 1020.60052Imkeller, Peter; Lederer, Christian 13 2002 Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin’s calculus. Zbl 0855.60045Imkeller, Peter 13 1996 The existence of dominating local martingale measures. Zbl 1326.60058Imkeller, Peter; Perkowski, Nicolas 12 2015 The asymptotic behaviour of local times and occupation integrals of the \(N\)-parameter Wiener process in \(\mathbb{R}^ d\). Zbl 0794.60046Imkeller, Peter; Weisz, Ferenc 12 1994 Model reduction and stochastic resonance. Zbl 1027.60059Imkeller, P.; Pavlyukevich, I. 11 2002 The exit problem for diffusions with time-periodic drift and stochastic resonance. Zbl 1079.60070Herrmann, Samuel; Imkeller, Peter 11 2005 Stratonovich calculus with spatial parameters and anticipative problems in multiplicative ergodic theory. Zbl 0847.60037Arnold, Ludwig; Imkeller, Peter 11 1996 Results on numerics for FBSDE with drivers of quadratic growth. Zbl 1236.60068Imkeller, Peter; dos Reis, Gonçalo; Zhang, Jianing 10 2010 Integration by parts on Wiener space and the existence of occupation densities. Zbl 0803.60049Imkeller, Peter; Nualart, David 10 1994 Malliavin’s calculus and applications in stochastic control and finance. Zbl 1192.60079Imkeller, Peter 10 2008 The asymptotic stability of a noisy non-linear oscillator. Zbl 1236.70044Arnold, L.; Imkeller, P.; Namachchivaya, N. Sri 10 2004 A Fourier analytic approach to pathwise stochastic integration. Zbl 1338.60139Gubinelli, Massimiliano; Imkeller, Peter; Perkowski, Nicolas 9 2016 Enlargement of filtrations and continuous Girsanov-type embeddings. Zbl 1155.60017Ankirchner, Stefan; Dereich, Steffen; Imkeller, Peter 9 2007 An explicit description of the Lyapunov exponents of the noisy damped harmonic oscillator. Zbl 0949.34038Imkeller, Peter; Lederer, Christian 9 1999 An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift. Zbl 1332.60081Fromm, Alexander; Imkeller, Peter; Prömel, David J. 9 2015 Energy balance models – viewed from stochastic dynamics. Zbl 0988.60064Imkeller, Peter 8 2001 On measure solutions of backward stochastic differential equations. Zbl 1181.60080Ankirchner, Stefan; Imkeller, Peter; Popier, Alexandre 8 2009 Differentiability of quadratic BSDEs generated by continuous martingales. Zbl 1254.60058Imkeller, Peter; Réveillac, Anthony; Richter, Anja 8 2012 On the cohomology of flows of stochastic and random differential equations. Zbl 0993.60056Imkeller, Peter; Lederer, Christian 7 2001 On the spatial asymptotic behavior of stochastic flows in Euclidean space. Zbl 0942.60053Imkeller, Peter; Scheutzow, Michael 7 1999 Stochastic resonance. A mathematical approach in the small noise limit. Zbl 1416.60008Herrmann, Samuel; Imkeller, Peter; Pavlyukevich, Ilya; Peithmann, Dierk 7 2014 Limit theorems for \(p\)-variations of solutions of SDEs driven by additive stable Lévy noise and model selection for Paleo-climatic data. Zbl 1218.60027Hein, Claudia; Imkeller, Peter; Pavlyukevich, Ilya 7 2010 Quadratic variation for a class of L lo\(g^ +\,L\)-bounded two-parameter martingales. Zbl 0631.60048Frangos, Nikos E.; Imkeller, Peter 6 1987 Financial markets with asymmetric information: information drift, additional utility and entropy. Zbl 1155.60026Ankirchner, Stefan; Imkeller, Peter 6 2007 Stochastic resonance in two-state Markov chains. Zbl 1021.60051Imkeller, P.; Pavlyukevich, I. 6 2001 Stochastic analysis and local times for (N,d)-Wiener process. Zbl 0531.60057Imkeller, Peter 6 1984 Ito’s formula for continuous (N,d)-processes. Zbl 0557.60040Imkeller, Peter 6 1984 Optimal cross hedging of insurance derivatives. Zbl 1158.60020Ankirchner, Stefan; Imkeller, Peter; Popier, Alexandre 5 2008 First exit times of non-linear dynamical systems in \(\mathbb R^{d}\) perturbed by multifractal Lévy noise. Zbl 1202.37074Imkeller, Peter; Pavlyukevich, Ilya; Stauch, Michael 5 2010 Barrier crossings characterize stochastic resonance. Zbl 1023.60062Herrmann, Samuel; Imkeller, Peter 4 2002 American options with asymmetric information and reflected BSDE. Zbl 1417.91497Esmaeeli, Neda; Imkeller, Peter 4 2018 A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift. Zbl 1148.60026Ankirchner, Stefan; Heyne, Gregor; Imkeller, Peter 4 2008 A stochastic calculus for continuous N-parameter strong martingales. Zbl 0652.60056Imkeller, Peter 4 1985 Transition times and stochastic resonance for multidimensional diffusions with time periodic drift: a large deviations approach. Zbl 1155.60022Herrmann, Samuel; Imkeller, Peter; Peithmann, Dierk 4 2006 On some sample path properties of Skorohod integral processes. Zbl 0761.60047Barlow, Martin T.; Imkeller, Peter 4 1992 The smoothness of laws of random flags and Oseledets spaces of linear stochastic differential equations. Zbl 0924.60031Imkeller, Peter 4 1998 Solutions of martingale problems for Lévy-type operators with discontinuous coefficients and related SDEs. Zbl 1334.60068Imkeller, Peter; Willrich, Niklas 4 2016 Partial equilibrium and market completion. Zbl 1139.91326Hu, Ying; Imkeller, Peter; Müller, Matthias 4 2005 Asymptotic first exit times of the Chafee-Infante equation with small heavy-tailed Lévy noise. Zbl 1233.60037Debussche, Arnaud; Hoegele, Michael; Imkeller, Peter 4 2011 A class of two-parameter stochastic integrators. Zbl 0716.60057Imkeller, Peter 3 1989 Rotation numbers for linear stochastic differential equations. Zbl 0944.60065Arnold, Ludwig; Imkeller, Peter 3 1999 Stochastic integration for some rough non-adapted processes. Zbl 0811.60040Imkeller, Peter; Schmidt, Wolfgang 3 1994 Occupation densities for stochastic integral processes in the second Wiener chaos. Zbl 0744.60055Imkeller, Peter 3 1992 Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization. Zbl 1283.91194Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing 3 2011 Furstenberg-Khasminskii formulas for Lyapunov exponents via anticipative calculus. Zbl 0857.60052Arnold, Ludwig; Imkeller, Peter 3 1995 Hurst index estimation in stochastic differential equations driven by fractional Brownian motion. Zbl 1464.60032Gairing, Jan; Imkeller, Peter; Shevchenko, Radomyra; Tudor, Ciprian 2 2020 Local times for a class of multi-parameter processes. Zbl 0538.60051Imkeller, Peter 2 1984 Some inequalities for strong martingales. Zbl 0651.60059Frangos, Nikos E.; Imkeller, Peter 2 1988 On the integrability condition in the multiplicative ergodic theorem for stochastic differential equations. Zbl 1043.60512Arnold, Ludwig; Imkeller, Peter 2 1998 Stochastic climate models. Proceedings of a workshop, Chorin, Germany, Summer 1999. Zbl 0961.00022 2 2001 On exact tails for limiting distributions of \(U\)-statistics in the second Gaussian chaos. Zbl 0849.60018Imkeller, Peter 2 1994 Moment Lyapunov exponent for conservative systems with small periodic and random perturbations. Zbl 1023.60053Imkeller, P.; Milstein, G. N. 2 2002 Existence and continuity of occupation densities of stochastic integral processes. Zbl 0779.60050Imkeller, Peter 2 1993 Occupation densities of Stratonovitch stochastic differential equations with boundary conditions. Zbl 0796.60060Imkeller, Peter 2 1993 Enlargement of the Wiener filtration by a manifold valued random element via Malliavin’s calculus. Zbl 0948.60052Imkeller, Peter 2 1997 A note on the localization of two-parameter processes. Zbl 0592.60040Imkeller, Peter 1 1986 Local times of continuous N-parameter strong martingales. Zbl 0601.60042Imkeller, Peter 1 1986 On the strict value of the non-linear optimal stopping problem. Zbl 1471.60056Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire 1 2020 A two-state model for noise-induced resonance in bistable systems with delay. Zbl 1078.34060Fischer, Markus; Imkeller, Peter 1 2005 Two mathematical approaches to stochastic resonance. Zbl 1095.82009Herrmann, Samuel; Imkeller, Peter; Pavlyukevich, Ilya 1 2005 Stochastic integrals of point processes and the decomposition of two- parameter martingales. Zbl 0682.60034Imkeller, Peter 1 1989 Regularity and integrator properties of variation processes of two- parameter martingales with jumps. Zbl 0731.60044Imkeller, Peter 1 1989 Noise-induced resonance in bistable systems caused by delay feedback. Zbl 1104.34057Fischer, Markus; Imkeller, Peter 1 2006 On the computation of invariant measures in random dynamical systems. Zbl 1063.60097Imkeller, Peter; Kloeden, Peter 1 2003 Optimal stopping with \(f\)-expectations: the irregular case. Zbl 1471.60055Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire 21 2020 Hurst index estimation in stochastic differential equations driven by fractional Brownian motion. Zbl 1464.60032Gairing, Jan; Imkeller, Peter; Shevchenko, Radomyra; Tudor, Ciprian 2 2020 On the strict value of the non-linear optimal stopping problem. Zbl 1471.60056Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire 1 2020 Utility maximization via decoupling fields. Zbl 1476.49025Fromm, Alexander; Imkeller, Peter 1 2020 Dynkin game with asymmetric information. Zbl 1409.91026Esmaeeli, N.; Imkeller, P.; Nzengang, V. 1 2019 Differentiability of SDEs with drifts of super-linear growth. Zbl 1406.60084Imkeller, Peter; Dos Reis, Gonçalo; Salkeld, William 1 2019 Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case. Zbl 1406.60060Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire 21 2018 American options with asymmetric information and reflected BSDE. Zbl 1417.91497Esmaeeli, Neda; Imkeller, Peter 4 2018 Reflected BSDEs when the obstacle is not right-continuous and optimal stopping. Zbl 1379.60045Grigorova, Miryana; Imkeller, Peter; Offen, Elias; Ouknine, Youssef; Quenez, Marie-Claire 40 2017 A Fourier analytic approach to pathwise stochastic integration. Zbl 1338.60139Gubinelli, Massimiliano; Imkeller, Peter; Perkowski, Nicolas 9 2016 Solutions of martingale problems for Lévy-type operators with discontinuous coefficients and related SDEs. Zbl 1334.60068Imkeller, Peter; Willrich, Niklas 4 2016 A note on the Malliavin-Sobolev spaces. Zbl 1329.60170Imkeller, Peter; Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony 1 2016 Paracontrolled distributions and singular PDEs. Zbl 1333.60149Gubinelli, Massimiliano; Imkeller, Peter; Perkowski, Nicolas 223 2015 The existence of dominating local martingale measures. Zbl 1326.60058Imkeller, Peter; Perkowski, Nicolas 12 2015 An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift. Zbl 1332.60081Fromm, Alexander; Imkeller, Peter; Prömel, David J. 9 2015 Forward-backward systems for expected utility maximization. Zbl 1329.60182Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing 22 2014 Stochastic resonance. A mathematical approach in the small noise limit. Zbl 1416.60008Herrmann, Samuel; Imkeller, Peter; Pavlyukevich, Ilya; Peithmann, Dierk 7 2014 The dynamics of nonlinear reaction-diffusion equations with small Lévy noise. Zbl 1321.60004Debussche, Arnaud; Högele, Michael; Imkeller, Peter 20 2013 Dimensional reduction in nonlinear filtering: a homogenization approach. Zbl 1288.60049Imkeller, Peter; Namachchivaya, N. Sri; Perkowski, Nicolas; Yeong, Hoong C. 18 2013 Large deviations for Hilbert-space-valued Wiener processes: a sequence space approach. Zbl 1287.60036Andresen, Andreas; Imkeller, Peter; Perkowski, Nicolas 1 2013 Differentiability of quadratic BSDEs generated by continuous martingales. Zbl 1254.60058Imkeller, Peter; Réveillac, Anthony; Richter, Anja 8 2012 Asymptotic first exit times of the Chafee-Infante equation with small heavy-tailed Lévy noise. Zbl 1233.60037Debussche, Arnaud; Hoegele, Michael; Imkeller, Peter 4 2011 Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization. Zbl 1283.91194Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing 3 2011 Hedging with residual risk: a BSDE approach. Zbl 1245.91094Ankirchner, Stefan; Imkeller, Peter 1 2011 Backward stochastic differential equations with time delayed generators – results and counterexamples. Zbl 1202.34144Delong, Łukasz; Imkeller, Peter 33 2010 On Malliavin’s differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures. Zbl 1200.60041Delong, Łukasz; Imkeller, Peter 31 2010 Path regularity and explicit convergence rate for BSDE with truncated quadratic growth. Zbl 1196.60101Imkeller, Peter; dos Reis, Gonçalo 30 2010 Time irregularity of generalized Ornstein-Uhlenbeck processes. (Irrégularité en temps des processus Ornstein-Uhlenbeck généralisés.) Zbl 1205.60119Brzeźniak, Zdzisław; Goldys, Ben; Imkeller, Peter; Peszat, Szymon; Priola, Enrico; Zabczyk, Jerzy 20 2010 Pricing and hedging of derivatives based on nontradable underlyings. Zbl 1217.91178Ankirchner, Stefan; Imkeller, Peter; dos Reis, Gonçalo 19 2010 Results on numerics for FBSDE with drivers of quadratic growth. Zbl 1236.60068Imkeller, Peter; dos Reis, Gonçalo; Zhang, Jianing 10 2010 Limit theorems for \(p\)-variations of solutions of SDEs driven by additive stable Lévy noise and model selection for Paleo-climatic data. Zbl 1218.60027Hein, 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 1202.37074Imkeller, Peter; Pavlyukevich, Ilya; Stauch, Michael 5 2010 Corrigendum to “Path regularity and explicit convergence rate for BSDE with truncated quadratic growth”. Zbl 1229.60071Imkeller, Peter; dos Reis, Gonçalo 1 2010 First exit times for Lévy-driven diffusions with exponentially light jumps. Zbl 1184.60019Imkeller, Peter; Pavlyukevich, Ilya; Wetzel, Torsten 18 2009 On measure solutions of backward stochastic differential equations. Zbl 1181.60080Ankirchner, Stefan; Imkeller, Peter; Popier, Alexandre 8 2009 Large deviations and a Kramers’ type law for self-stabilizing diffusions. Zbl 1149.60020Herrmann, Samuel; Imkeller, Peter; Peithmann, Dierk 26 2008 Metastable behaviour of small noise Lévy-driven diffusions. Zbl 1205.60113Imkeller, Peter; Pavlyukevich, Ilya 18 2008 Malliavin’s calculus and applications in stochastic control and finance. Zbl 1192.60079Imkeller, Peter 10 2008 Optimal cross hedging of insurance derivatives. Zbl 1158.60020Ankirchner, Stefan; Imkeller, Peter; Popier, Alexandre 5 2008 A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift. Zbl 1148.60026Ankirchner, Stefan; Heyne, Gregor; Imkeller, Peter 4 2008 Classical and variational differentiability of BSDEs with quadratic growth. Zbl 1138.60042Ankirchner, Stefan; Imkeller, Peter; dos Reis, Gonçalo J. N. 38 2007 Global flows for stochastic differential equations without global Lipschitz conditions. Zbl 1128.60046Fang, Shizan; Imkeller, Peter; Zhang, Tusheng 25 2007 Enlargement of filtrations and continuous Girsanov-type embeddings. Zbl 1155.60017Ankirchner, Stefan; Dereich, Steffen; Imkeller, Peter 9 2007 Financial markets with asymmetric information: information drift, additional utility and entropy. Zbl 1155.60026Ankirchner, Stefan; Imkeller, Peter 6 2007 First exit times of SDEs driven by stable Lévy processes. Zbl 1104.60030Imkeller, P.; Pavlyukevich, I. 43 2006 The Shannon information of filtrations and the additional logarithmic utility of insiders. Zbl 1098.60065Ankirchner, Stefan; Dereich, Steffen; Imkeller, Peter 32 2006 Lévy flights: transitions and meta-stability. Zbl 1088.37023Imkeller, Peter; Pavlyukevich, Ilya 20 2006 Transition times and stochastic resonance for multidimensional diffusions with time periodic drift: a large deviations approach. Zbl 1155.60022Herrmann, Samuel; Imkeller, Peter; Peithmann, Dierk 4 2006 Noise-induced resonance in bistable systems caused by delay feedback. Zbl 1104.34057Fischer, Markus; Imkeller, Peter 1 2006 Utility maximization in incomplete markets. Zbl 1083.60048Hu, Ying; Imkeller, Peter; Müller, Matthias 165 2005 Finite utility on financial markets with asymmetric information and structure properties of the price dynamics. Zbl 1115.91024Ankirchner, Stefan; Imkeller, Peter 16 2005 The exit problem for diffusions with time-periodic drift and stochastic resonance. Zbl 1079.60070Herrmann, Samuel; Imkeller, Peter 11 2005 Partial equilibrium and market completion. Zbl 1139.91326Hu, Ying; Imkeller, Peter; Müller, Matthias 4 2005 A two-state model for noise-induced resonance in bistable systems with delay. Zbl 1078.34060Fischer, Markus; Imkeller, Peter 1 2005 Two mathematical approaches to stochastic resonance. Zbl 1095.82009Herrmann, Samuel; Imkeller, Peter; Pavlyukevich, Ilya 1 2005 Additional utility of insiders with imperfect dynamical information. Zbl 1064.60087Corcuera, José M.; Imkeller, Peter; Kohatsu-Higa, Arturo; Nualart, David 32 2004 The asymptotic stability of a noisy non-linear oscillator. Zbl 1236.70044Arnold, L.; Imkeller, P.; Namachchivaya, N. Sri 10 2004 Malliavin’s calculus in insider models: additional utility and free lunches. Zbl 1071.91017Imkeller, Peter 26 2003 Reduction of deterministic coupled atmosphere-ocean models to stochastic ocean models: a numerical case study of the Lorenz-Maas system. Zbl 1071.76045Arnold, Ludwig; Imkeller, Peter; Wu, Yonghui 13 2003 On the computation of invariant measures in random dynamical systems. Zbl 1063.60097Imkeller, Peter; Kloeden, Peter 1 2003 Random times at which insiders can have free lunches. Zbl 1041.91034Imkeller, Peter 29 2002 Conceptual stochastic climate models. Zbl 1022.86001Imkeller, Peter; Monahan, Adam Hugh 23 2002 The cohomology of stochastic and random differential equations, and local linearization of stochastic flows. Zbl 1020.60052Imkeller, Peter; Lederer, Christian 13 2002 Model reduction and stochastic resonance. Zbl 1027.60059Imkeller, P.; Pavlyukevich, I. 11 2002 Barrier crossings characterize stochastic resonance. Zbl 1023.60062Herrmann, Samuel; Imkeller, Peter 4 2002 Moment Lyapunov exponent for conservative systems with small periodic and random perturbations. Zbl 1023.60053Imkeller, P.; Milstein, G. N. 2 2002 The conjugacy of stochastic and random differential equations and the existence of global attractors. Zbl 1004.37034Imkeller, Peter; Schmalfuss, Björn 61 2001 Free lunch and arbitrage possibilities in a financial market model with an insider. Zbl 1047.60041Imkeller, 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 1115.37329Imkeller, Peter; Lederer, Christian 13 2001 Energy balance models – viewed from stochastic dynamics. Zbl 0988.60064Imkeller, Peter 8 2001 On the cohomology of flows of stochastic and random differential equations. Zbl 0993.60056Imkeller, Peter; Lederer, Christian 7 2001 Stochastic resonance in two-state Markov chains. Zbl 1021.60051Imkeller, 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 0949.60066Crauel, Hans; Imkeller, Peter; Steinkamp, Marcus 16 1999 An explicit description of the Lyapunov exponents of the noisy damped harmonic oscillator. Zbl 0949.34038Imkeller, Peter; Lederer, Christian 9 1999 On the spatial asymptotic behavior of stochastic flows in Euclidean space. Zbl 0942.60053Imkeller, Peter; Scheutzow, Michael 7 1999 Rotation numbers for linear stochastic differential equations. Zbl 0944.60065Arnold, 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 0956.60084Imkeller, Peter; Weisz, Ferenc 1 1999 Additional logarithmic utility of an insider. Zbl 0934.91020Amendinger, Jürgen; Imkeller, Peter; Schweizer, Martin 74 1998 Normal forms for stochastic differential equations. Zbl 0906.60048Arnold, Ludwig; Imkeller, Peter 23 1998 The smoothness of laws of random flags and Oseledets spaces of linear stochastic differential equations. Zbl 0924.60031Imkeller, Peter 4 1998 On the integrability condition in the multiplicative ergodic theorem for stochastic differential equations. Zbl 1043.60512Arnold, Ludwig; Imkeller, Peter 2 1998 Enlargement of the Wiener filtration by a manifold valued random element via Malliavin’s calculus. Zbl 0948.60052Imkeller, Peter 2 1997 On the laws of the Oseledets spaces of linear stochastic differential equations. Zbl 0892.60063Imkeller, Peter 1 1997 Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin’s calculus. Zbl 0855.60045Imkeller, Peter 13 1996 Stratonovich calculus with spatial parameters and anticipative problems in multiplicative ergodic theory. Zbl 0847.60037Arnold, Ludwig; Imkeller, Peter 11 1996 Multiple intersection local time of planar Brownian motion as a particular Hida distribution. Zbl 0865.60034Imkeller, Peter; Yan, Jia-An 1 1996 On the laws of orthogonal projectors on eigenspaces of Lyapunov exponents of linear stochastic differential equations. Zbl 0864.60041Imkeller, Peter 1 1996 New distributions over Wiener and Euclidean spaces. Zbl 0869.60061Imkeller, P.; Yan, Jia’an 1 1996 Chaos expansions of double intersection local time of Brownian motion in \(\mathbb{R}^ d\) and renormalization. Zbl 0822.60048Imkeller, Peter; Perez-Abreu, Victor; Vives, Josep 40 1995 Furstenberg-Khasminskii formulas for Lyapunov exponents via anticipative calculus. Zbl 0857.60052Arnold, Ludwig; Imkeller, Peter 3 1995 Critical dimensions for the existence of self-intersection local times of the Brownian sheet in \(\mathbb{R}^ d\). Zbl 0827.60036Imkeller, Peter; Weisz, Ferenc 1 1995 The asymptotic behaviour of local times and occupation integrals of the \(N\)-parameter Wiener process in \(\mathbb{R}^ d\). Zbl 0794.60046Imkeller, Peter; Weisz, Ferenc 12 1994 Integration by parts on Wiener space and the existence of occupation densities. Zbl 0803.60049Imkeller, Peter; Nualart, David 10 1994 Stochastic integration for some rough non-adapted processes. Zbl 0811.60040Imkeller, Peter; Schmidt, Wolfgang 3 1994 On exact tails for limiting distributions of \(U\)-statistics in the second Gaussian chaos. Zbl 0849.60018Imkeller, Peter 2 1994 On the perturbation problem for occupation densities. Zbl 0804.60040Imkeller, Peter 1 1994 Regularity of Skorohod integral processes based on integrands in a finite Wiener chaos. Zbl 0792.60047Imkeller, Peter 1 1994 Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space. Zbl 0796.60082Föllmer, Hans; Imkeller, Peter 14 1993 Existence and continuity of occupation densities of stochastic integral processes. Zbl 0779.60050Imkeller, Peter 2 1993 ...and 15 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,346 Authors 52 Imkeller, Peter 27 Duan, Jinqiao 20 Perkowski, Nicolas 19 Gubinelli, Massimiliano 17 Ouknine, Youssef 17 Zhu, RongChan 15 Ankirchner, Stefan 15 Tugaut, Julian 15 Zhu, Xiang-Chan 14 dos Reis, Gonçalo 14 Hairer, Martin 14 Pavlyukevich, Ilya 13 Hu, Ying 13 Tudor, Ciprian A. 12 Högele, Michael Anton 11 Jeanblanc, Monique 11 Zhou, Shengfan 10 Liang, Gechun 10 Marzougue, Mohamed 10 Nualart, David 9 Hofmanová, Martina 9 Tsai, Li-cheng 8 Albeverio, Sergio A. 8 Choulli, Tahir 8 Di Persio, Luca 8 Hoshino, Masato 8 Kloeden, Peter Eris 8 Luo, Dejun 8 Oh, Tadahiro 8 Øksendal, Bernt Karsten 8 Schmalfuß, Björn 8 Weber, Hendrik 8 Weisz, Ferenc 7 Flandoli, Franco 7 Fontana, Claudio 7 Gairing, Jan M. 7 Hu, Yaozhong 7 Jentzen, Arnulf 7 Jiao, Ying 7 Luo, Peng 7 Réveillac, Anthony 7 Scheutzow, Michael K. R. 7 Tangpi, Ludovic 6 Bailleul, Ismaël F. 6 Cordoni, Francesco Giuseppe 6 Corwin, Ivan Z. 6 Delong, Łukasz 6 Deng, Jun 6 Frei, Christoph 6 Friz, Peter Karl 6 Gaeta, Giuseppe 6 Grigorova, Miryana 6 Gu, Yu 6 Hausenblas, Erika 6 Hillairet, Caroline 6 Li, Xiaofan 6 Liang, Zongxia 6 Possamaï, Dylan 6 Qiao, Huijie 6 Quenez, Marie-Claire 6 Röckner, Michael 6 Xiong, Dewen 5 Aksamit, Anna 5 Berglund, Nils 5 Blanchet-Scalliet, Christophette 5 Cannizzaro, Giuseppe 5 Chandra, Ajay 5 Chevyrev, Ilya 5 Chouk, Khalil 5 Deng, Yu 5 Duc, Luu Hoang 5 El Otmani, Mohamed 5 Funaki, Tadahisa 5 Garrido-Atienza, María José 5 Hutzenthaler, Martin 5 Kardaras, Constantinos 5 Kharroubi, Idris 5 Klimsiak, Tomasz 5 Kohatsu-Higa, Arturo 5 Kühn, Christian 5 Kurths, Jürgen 5 Labbé, Cyril 5 Li, Libo 5 Lim, Thomas 5 Mania, Michael 5 Mastrolia, Thibaut 5 Pontier, Monique 5 Priola, Enrico 5 Prömel, David J. 5 Razafimandimby, Paul André 5 Richou, Adrien 5 Riedle, Markus 5 Roberts, Anthony John 5 Ruffino, Paulo Régis C. 5 Rutkowski, Marek 5 Sulem, Agnès 5 Sun, Rongfeng 5 Tang, Shanjian 5 Tindel, Samy 5 Valero, José ...and 1,246 more Authors all top 5 Cited in 231 Serials 105 Stochastic Processes and their Applications 53 Stochastics and Dynamics 44 The Annals of Probability 31 Stochastic Analysis and Applications 29 Communications in Mathematical Physics 28 The Annals of Applied Probability 27 Stochastics 26 Journal of Functional Analysis 26 Electronic Journal of Probability 24 Probability Theory and Related Fields 24 Finance and Stochastics 23 Journal of Mathematical Analysis and Applications 22 Journal of Differential Equations 21 Journal of Theoretical Probability 20 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 20 International Journal of Theoretical and Applied Finance 18 Statistics & Probability Letters 16 Applied Mathematics and Optimization 14 Journal of Statistical Physics 13 Bulletin des Sciences Mathématiques 13 SIAM Journal on Financial Mathematics 13 Stochastic and Partial Differential Equations. Analysis and Computations 12 Mathematical Finance 12 Chaos 12 Mathematics and Financial Economics 10 SIAM Journal on Control and Optimization 9 Physica D 9 Discrete and Continuous Dynamical Systems 8 Journal of Mathematical Physics 8 Nonlinear Analysis. Theory, Methods & Applications. 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Theory and Methods 5 Electronic Communications in 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 Archive for Rational Mechanics and Analysis 4 Journal of Computational Physics 4 Physica A 4 Mathematics of Computation 4 Journal of Applied Probability 4 Transactions of the American Mathematical Society 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 Methodology and Computing in Applied Probability 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 Duke Mathematical Journal 3 Acta Applicandae Mathematicae 3 Annals of Operations Research 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 Communications on Pure and Applied Mathematics 2 Stochastics 2 Ukrainian Mathematical Journal 2 Journal of Econometrics 2 Journal of Multivariate Analysis 2 Journal of Optimization Theory and Applications 2 Journal of Statistical Planning and Inference 2 Memoirs of the American Mathematical Society ...and 131 more Serials all top 5 Cited in 49 Fields 997 Probability theory and stochastic processes (60-XX) 300 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 236 Partial differential equations (35-XX) 131 Dynamical systems and ergodic theory (37-XX) 113 Systems theory; control (93-XX) 105 Ordinary differential equations (34-XX) 84 Statistical mechanics, structure of matter (82-XX) 65 Numerical analysis (65-XX) 48 Calculus of variations and optimal control; optimization (49-XX) 42 Statistics (62-XX) 40 Quantum theory (81-XX) 25 Fluid mechanics (76-XX) 23 Operator theory (47-XX) 21 Biology and other natural sciences (92-XX) 18 Geophysics (86-XX) 17 Functional analysis (46-XX) 16 Global analysis, analysis on manifolds (58-XX) 15 Information and communication theory, circuits (94-XX) 14 Operations research, mathematical programming (90-XX) 11 Harmonic analysis on Euclidean spaces (42-XX) 8 Real functions (26-XX) 8 Measure and integration (28-XX) 8 Mechanics of particles and systems (70-XX) 6 General and overarching topics; collections (00-XX) 6 Approximations and expansions (41-XX) 6 Integral equations (45-XX) 6 Computer science (68-XX) 5 Functions of a complex variable (30-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 Difference and functional equations (39-XX) 2 Special functions (33-XX) 2 Differential geometry (53-XX) 2 Optics, electromagnetic theory (78-XX) 2 Astronomy and astrophysics (85-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 Commutative algebra (13-XX) 1 Algebraic geometry (14-XX) 1 Nonassociative rings and algebras (17-XX) 1 Topological groups, Lie groups (22-XX) 1 Integral transforms, operational calculus (44-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Relativity and gravitational theory (83-XX) 1 Mathematics education (97-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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