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Peter Imkeller

Identifiers

  • name variant Peter Imkeller 0.60 · backfill

Papers (40)

  1. Hurst index estimation in stochastic differential equations driven by fractional Brownian motion math.PR · 2019 · author #2
  2. On the Hausdorff dimension of a 2-dimensional Weierstrass curve math.DS · 2018 · author #1
  3. Utility maximization via decoupling fields math.PR · 2017 · author #2
  4. Doubly Reflected BSDEs and ${\cal E}^{f}$-Dynkin games: beyond the right-continuous case math.PR · 2017 · author #2
  5. Optimal stopping with f -expectations: the irregular case math.PR · 2016 · author #2
  6. American Options with Asymmetric Information and Reflected BSDE q-fin.PR · 2015 · author #2
  7. Reflected BSDEs when the obstacle is not right-continuous and optimal stopping math.PR · 2015 · author #2
  8. A note on the Malliavin-Sobolev spaces math.PR · 2015 · author #1
  9. A Fourier approach to pathwise stochastic integration math.PR · 2014 · author #2
  10. An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift math.PR · 2014 · author #2
  11. Existence of L\'evy's area and pathwise integration math.PR · 2014 · author #1
  12. Existence and stability of measure solutions for BSDE with generators of quadratic growth math.PR · 2013 · author #2
  13. Existence, Uniqueness and Regularity of Decoupling Fields to Multidimensional Fully Coupled FBSDEs math.PR · 2013 · author #2
  14. Paracontrolled distributions and singular PDEs math.PR · 2012 · author #2
  15. Solutions of martingale problems for L\'evy-type operators and stochastic differential equations driven by L\'evy processes with discontinuous coefficients math.PR · 2012 · author #1
  16. Large deviations for Hilbert space valued Wiener processes: a sequence space approach math.PR · 2012 · author #2
  17. 2D- stochastic currents over the Wiener sheet math.PR · 2012 · author #2
  18. Dimensional reduction in nonlinear filtering: A homogenization approach math.PR · 2011 · author #1
  19. The Existence of Dominating Local Martingale Measures math.PR · 2011 · author #1
  20. Forward-backward systems for expected utility maximization math.PR · 2011 · author #3
  21. Asymptotic first exit times of the Chafee-Infante equation with small heavy-tailed L\'evy noise math.AP · 2011 · author #3
  22. On Malliavin's differentiability of BSDE with time delayed generators driven by Brownian motions and Poisson random measures math.PR · 2010 · author #2
  23. Backward stochastic differential equations with time delayed generators - results and counterexamples math.PR · 2010 · author #2
  24. Results on numerics for FBSDE with drivers of quadratic growth q-fin.CP · 2010 · author #1
  25. Differentiability of quadratic BSDEs generated by continuous martingales math.PR · 2009 · author #1
  26. Path regularity and explicit convergence rate for BSDE with truncated quadratic growth math.PR · 2009 · author #1
  27. Pricing and hedging of derivatives based on non-tradable underlyings q-fin.PR · 2007 · author #2
  28. First exit times for L\'evy-driven diffusions with exponentially light jumps math.PR · 2007 · author #1
  29. On measure solutions of backward stochastic differential equations math.PR · 2007 · author #2
  30. Optimal cross hedging for insurance derivatives q-fin.PR · 2007 · author #2
  31. Global flows for stochastic differential equations without global Lipschitz conditions math.PR · 2007 · author #2
  32. Classical and Variational Differentiability of BSDEs with quadratic growth math.PR · 2007 · author #2
  33. Large deviations and a Kramers' type law for self-stabilizing diffusions math.PR · 2006 · author #2
  34. Metastable Behaviour of Small Noise Levy-Driven Diffusions math.PR · 2006 · author #1
  35. Utility maximization in incomplete markets math.PR · 2005 · author #2
  36. The exit problem for diffusions with time-periodic drift and stochastic resonance math.PR · 2005 · author #2
  37. The Shannon information of filtrations and the additional logarithmic utility of insiders math.PR · 2005 · author #3
  38. Transition times and stochastic resonance for multidimensional diffusions with time periodic drift: A large deviations approach math.PR · 2004 · author #2
  39. First exit times of solutions of non-linear stochastic differential equations driven by symmetric Levy processes with alpha-stable components math.PR · 2004 · author #1
  40. Stochastic Resonance in Two-State Markov Chains math.PR · 2003 · author #1

Mentions

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Frequent Coauthors