PI
Peter Imkeller
math.PRq-fin.CPq-fin.PRmath.APmath.DSmath.OCmath.CAq-fin.RMGene FrequencyHigh-Throughput Nucleotide Sequencing
On Valency
published · living versionsW_t9wkpg2c·v1 · currentpublished
Stochastic Parameterization: Towards a new view of Weather and Climate Models
with Judith Berner, Ulrich Achatz, Lauriane Batte, Lisa Bengtsson +21
1 version
W_xte7sv5e·v1published
W_q5uxxf53·v1published
W_ym44nwxm·v1published
W_bwgdtn5k·v1published
W_m9ce349k·v1published
Preprints & journals
44 papers in the corpus · 2004–2022Differentiability of quadratic forward-backward SDEs with rough drift2210.05622v1 · Peter Imkeller, Rhoss Likibi Pellat, Olivier Menoukeu Pamen2022 · 0 citationsarXiv
Takagi type functions and dynamical systems: the smoothness of the SBR measure and the existence and smoothness of local time2107.07185v4 · P. Imkeller, O. Menoukeu Pamen, F. Proske2021 · 0 citationsarXiv
Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure2009.03628v2 · Peter Imkeller, Olivier Menoukeu Pamen, Goncalo dos Reis et al.2020 · 2 citationsarXiv
Hurst index estimation in stochastic differential equations driven by fractional Brownian motion1903.02364v1 · Jan Gairing, Peter Imkeller, Radomyra Shevchenko et al.2019 · 10 citationsarXiv
On the Hausdorff dimension of a 2-dimensional Weierstrass curve1806.09585v2 · Peter Imkeller, Goncalo dos Reis2018 · 2 citationsarXiv
Differentiability of SDEs with drifts of super-linear growth1803.06947v2 · Peter Imkeller, Goncalo dos Reis, William Salkeld2018 · 2 citationsarXiv
Utility maximization via decoupling fields1711.06033v1 · Alexander Fromm, Peter Imkeller2017 · 4 citationsarXiv
Doubly Reflected BSDEs and -Dynkin games: beyond the right-continuous case1704.00625v3 · Miryana Grigorova, Peter Imkeller, Youssef Ouknine et al.2017 · 8 citationsarXiv
Optimal stopping with f -expectations: the irregular case1611.09179v5 · Miryana Grigorova, Peter Imkeller, Youssef Ouknine et al.2016 · 49 citationsarXiv
Stochastic Parameterization: Towards a new view of Weather and Climate Models1510.08682v2 · Judith Berner, Ulrich Achatz, Lauriane Batte et al.2015 · 414 citationsarXivon Valency
American Options with Asymmetric Information and Reflected BSDE1505.05046v2 · Neda Esmaeeli, Peter Imkeller2015 · 11 citationsarXiv
Reflected BSDEs when the obstacle is not right-continuous and optimal stopping1504.06094v2 · Miryana Grigorova, Peter Imkeller, Elias Offen et al.2015 · 83 citationsThe Annals of Applied Probability : an official journal of the institute of mathematical statistics, The Institute of Mathematical Statistics, 2017
A note on the Malliavin-Sobolev spaces1501.01777v1 · Peter Imkeller, Thibaut Mastrolia (CEREMADE), Dylan Possamai (CEREMADE) et al.2015 · 5 citationsarXiv
A Fourier approach to pathwise stochastic integration1410.4006v1 · Massimiliano Gubinelli, Peter Imkeller, Nicolas Perkowski2014 · 22 citationsarXiv
An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift1408.6390v2 · Alexander Fromm, Peter Imkeller, David J. Promel2014 · 12 citationsElectronic Journal of Probability, 20 (2015), no. 127, 1-38
Existence of Lévy's area and pathwise integration1404.3645v3 · Peter Imkeller, David J. Promel2014 · 8 citationsCommun. Stoch. Anal., Vol.9, No.1 (2015), 93-111
Existence and stability of measure solutions for BSDE with generators of quadratic growth1310.4041v1 · Alexander Fromm, Peter Imkeller, Jianing Zhang2013 · 0 citationsarXiv
Existence, Uniqueness and Regularity of Decoupling Fields to Multidimensional Fully Coupled FBSDEs1310.0499v2 · Alexander Fromm, Peter Imkeller2013 · 12 citationsarXiv
Paracontrolled distributions and singular PDEs1210.2684v4 · Massimiliano Gubinelli, Peter Imkeller, Nicolas Perkowski2012 · 534 citationsarXiv
Solutions of martingale problems for Lévy-type operators and stochastic differential equations driven by Lévy processes with discontinuous coefficients1208.1665v1 · Peter Imkeller, Niklas Willrich2012 · 2 citationsarXiv
Large deviations for Hilbert space valued Wiener processes: a sequence space approach1203.4596v1 · Andreas Andresen, Peter Imkeller, Nicolas Perkowski2012 · 5 citationsarXiv
2D- stochastic currents over the Wiener sheet1202.0618v2 · Franco Flandoli (DMA), Peter Imkeller, Ciprian Tudor (LPP)2012 · 1 citationarXiv
Dimensional reduction in nonlinear filtering: A homogenization approach1112.2986v2 · Peter Imkeller, N. Sri Namachchivaya, Nicolas Perkowski et al.2011 · 42 citationsAnnals of Applied Probability 2013, Vol. 23, No. 6, 2290-2326
The allele distribution in next-generation sequencing data sets is accurately described as the result of a stochastic branching process.22127862 · Heinrich, Verena, Stange, Jens, Dickhaus, Thorsten et al.2012 · 43 citationsNucleic acids research. 2012;40(6):2426-31
The Existence of Dominating Local Martingale Measures1111.3885v2 · Peter Imkeller, Nicolas Perkowski2011 · 31 citationsarXiv
Forward-backward systems for expected utility maximization1110.2713v1 · Ulrich Horst, Ying Hu, Peter Imkeller et al.2011 · 51 citationsarXiv
Asymptotic first exit times of the Chafee-Infante equation with small heavy-tailed Lévy noise1101.1436v1 · Arnaud Debussche (IRMAR), Michael Hogele, Peter Imkeller2011 · 9 citationsarXiv
Backward stochastic differential equations with time delayed generators - results and counterexamples1005.4701v1 · \Lukasz Delong, Peter Imkeller2010 · 84 citationsarXiv
On Malliavin's differentiability of BSDE with time delayed generators driven by Brownian motions and Poisson random measures1005.4702v1 · \Lukasz Delong, Peter Imkeller2010 · 5 citationsarXiv
Results on numerics for FBSDE with drivers of quadratic growth1004.2248v1 · Peter Imkeller, Goncalo dos Reis, Jianing Zhang2010 · 24 citationsarXiv
Time irregularity of generalized Ornstein--Uhlenbeck processes0911.2418v1 · Z. Brzezniak, B. Goldys, P. Imkeller et al.2009 · 33 citationsarXiv
Differentiability of quadratic BSDEs generated by continuous martingales0907.0941v3 · Peter Imkeller, Anthony R'eveillac, Anja Richter2009 · 18 citationsAnnals of Applied Probability 2012, Vol. 22, No. 1, 285-336
Path regularity and explicit convergence rate for BSDE with truncated quadratic growth0905.0788v3 · Peter Imkeller, Goncalo dos Reis2009 · 64 citationsStochastic Processes and Their Applications, 2010, 120, 348-379
Limit theorems for p-variations of solutions of SDEs driven by additive non-Gaussian stable Levy noise0811.3769v1 · C. Hein, P. Imkeller, I. Pavlyukevich2008 · 1 citationarXiv
Pricing and hedging of derivatives based on non-tradable underlyings0712.3746v1 · Stefan Ankirchner, Peter Imkeller, Goncalo dos Reis2007 · 45 citationsMathematical Finance, 2010, 20, 289 - 312on Valency
First exit times for Lévy-driven diffusions with exponentially light jumps0711.0982v2 · Peter Imkeller, Ilya Pavlyukevich, Torsten Wetzel2007 · 40 citationsAnnals of Probability 2009, Vol. 37, No. 2, 530-564
Optimal cross hedging for insurance derivatives0705.3760v1 · Stefan Ankirchner, Peter Imkeller, Alexandre Popier2007 · 4 citationsarXiv
On measure solutions of backward stochastic differential equations0705.3788v2 · Stefan Ankirchner, Peter Imkeller, Alexandre Popier2007 · 15 citationsarXiv
Global flows for stochastic differential equations without global Lipschitz conditionsmath/0703791v1 · Shizan Fang, Peter Imkeller, Tusheng Zhang2007 · 38 citationsAnnals of Probability 2007, Vol. 35, No. 1, 180-205on Valency
Classical and Variational Differentiability of BSDEs with quadratic growthmath/0701875v4 · Stefan Ankirchner, Peter Imkeller, Goncalo Dos Reis2007 · 59 citationsElectron. J. Probab., 2007, 12, 1418-1453 (electronic)
Large deviations and a Kramers' type law for self-stabilizing diffusionsmath/0605053v2 · Samuel Herrmann, Peter Imkeller, Dierk Peithmann2006 · 66 citationsAnnals of Applied Probability 2008, Vol. 18, No. 4, 1379-1423on Valency
Utility maximization in incomplete marketsmath/0508448v1 · Ying Hu, Peter Imkeller, Matthias Muller2005 · 425 citationsAnnals of Applied Probability 2005, Vol. 15, No. 3, 1691-1712on Valency
The Shannon information of filtrations and the additional logarithmic utility of insidersmath/0503013v2 · Stefan Ankirchner, Steffen Dereich, Peter Imkeller2005 · 72 citationsAnnals of Probability 2006, Vol. 34, No. 2, 743-778on Valency
Transition times and stochastic resonance for multidimensional diffusions with time periodic drift: A large deviations approachmath/0411386v2 · Samuel Herrmann, Peter Imkeller, Dierk Peithmann2004 · 7 citationsAnnals of Applied Probability 2006, Vol. 16, No. 4, 1851-1892
Career total: 249 works. 44 are in this corpus.
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