Publications (40)
Existence and stability of measure solutions for BSDE with generators of quadratic growth
Alexander Fromm, Peter Imkeller, Jianing Zhang
Stochastic Resonance in Two-State Markov Chains
Peter Imkeller, Ilya Pavlyukevich
Utility maximization via decoupling fields
Alexander Fromm, Peter Imkeller
Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
Miryana Grigorova, Peter Imkeller, Elias Offen +2
Transition times and stochastic resonance for multidimensional diffusions with time periodic drift: A large deviations approach
Samuel Herrmann, Peter Imkeller, Dierk Peithmann
A Fourier approach to pathwise stochastic integration
Massimiliano Gubinelli, Peter Imkeller, Nicolas Perkowski
Path regularity and explicit convergence rate for BSDE with truncated quadratic growth
Peter Imkeller, Goncalo dos Reis
Paracontrolled distributions and singular PDEs
Massimiliano Gubinelli, Peter Imkeller, Nicolas Perkowski
Differentiability of quadratic BSDEs generated by continuous martingales
Peter Imkeller, Anthony Réveillac, Anja Richter
Global flows for stochastic differential equations without global Lipschitz conditions
Shizan Fang, Peter Imkeller, Tusheng Zhang
First exit times of solutions of non-linear stochastic differential equations driven by symmetric Levy processes with alpha-stable components
Peter Imkeller, Ilya Pavlyukevich
Doubly Reflected BSDEs and ${\cal E}^{f}$-Dynkin games: beyond the right-continuous case
Miryana Grigorova, Peter Imkeller, Youssef Ouknine +1
Existence of Lévy's area and pathwise integration
Peter Imkeller, David J. Prömel
Pricing and hedging of derivatives based on non-tradable underlyings
Stefan Ankirchner, Peter Imkeller, Goncalo dos Reis
Optimal cross hedging for insurance derivatives
Stefan Ankirchner, Peter Imkeller, Alexandre Popier
Dimensional reduction in nonlinear filtering: A homogenization approach
Peter Imkeller, N. Sri Namachchivaya, Nicolas Perkowski +1
Large deviations for Hilbert space valued Wiener processes: a sequence space approach
Andreas Andresen, Peter Imkeller, Nicolas Perkowski
First exit times for Lévy-driven diffusions with exponentially light jumps
Peter Imkeller, Ilya Pavlyukevich, Torsten Wetzel
On measure solutions of backward stochastic differential equations
Stefan Ankirchner, Peter Imkeller, Alexandre Popier
A note on the Malliavin-Sobolev spaces
Peter Imkeller, Thibaut Mastrolia, Dylan Possamaï +1
The Existence of Dominating Local Martingale Measures
Peter Imkeller, Nicolas Perkowski
Classical and Variational Differentiability of BSDEs with quadratic growth
Stefan Ankirchner, Peter Imkeller, Goncalo Dos Reis
Asymptotic first exit times of the Chafee-Infante equation with small heavy-tailed Lévy noise
Arnaud Debussche, Michael Högele, Peter Imkeller
Backward stochastic differential equations with time delayed generators - results and counterexamples
Åukasz Delong, Peter Imkeller
Utility maximization in incomplete markets
Ying Hu, Peter Imkeller, Matthias Muller
Existence, Uniqueness and Regularity of Decoupling Fields to Multidimensional Fully Coupled FBSDEs
Alexander Fromm, Peter Imkeller
Metastable Behaviour of Small Noise Levy-Driven Diffusions
Peter Imkeller, Ilya Pavlyukevich
Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
Jan Gairing, Peter Imkeller, Radomyra Shevchenko +1
Results on numerics for FBSDE with drivers of quadratic growth
Peter Imkeller, Gonçalo dos Reis, Jianing Zhang
Optimal stopping with f -expectations: the irregular case
Miryana Grigorova, Peter Imkeller, Youssef Ouknine +1
Large deviations and a Kramers' type law for self-stabilizing diffusions
Samuel Herrmann, Peter Imkeller, Dierk Peithmann
The Shannon information of filtrations and the additional logarithmic utility of insiders
Stefan Ankirchner, Steffen Dereich, Peter Imkeller
American Options with Asymmetric Information and Reflected BSDE
Neda Esmaeeli, Peter Imkeller
On the Hausdorff dimension of a 2-dimensional Weierstrass curve
Peter Imkeller, Goncalo dos Reis
Solutions of martingale problems for Lévy-type operators and stochastic differential equations driven by Lévy processes with discontinuous coefficients
Peter Imkeller, Niklas Willrich
The exit problem for diffusions with time-periodic drift and stochastic resonance
Samuel Herrmann, Peter Imkeller
On Malliavin's differentiability of BSDE with time delayed generators driven by Brownian motions and Poisson random measures
Åukasz Delong, Peter Imkeller
An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift
Alexander Fromm, Peter Imkeller, David J. Prömel
Forward-backward systems for expected utility maximization
Ulrich Horst, Ying Hu, Peter Imkeller +2
2D- stochastic currents over the Wiener sheet
Franco Flandoli, Peter Imkeller, Ciprian Tudor