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1

Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches

Journal:

Mathematical Finance

Year:

2003

Language:

english

File:

PDF, 134 KB

english, 2003

2

Multiple Intersection Local Time of Planar Brownian Motion as a Particular Hida Distribution

Peter Imkeller, Jia-An Yan

Journal:

Journal of Functional Analysis

Year:

1996

Language:

english

File:

PDF, 704 KB

english, 1996

3

Additional logarithmic utility of an insider

Jürgen Amendinger, Peter Imkeller, Martin Schweizer

Journal:

Stochastic Processes and their Applications

Year:

1998

Language:

english

File:

PDF, 192 KB

english, 1998

4

On the cohomology of flows of stochastic and random differential equations

Peter Imkeller, Christian Lederer

Journal:

Probability Theory and Related Fields

Year:

2001

Language:

english

File:

PDF, 168 KB

english, 2001

5

The Conjugacy of Stochastic and Random Differential Equations and the Existence of Global Attractors

Peter Imkeller, Björn Schmalfuss

Journal:

Journal of Dynamics and Differential Equations

Year:

2001

Language:

english

File:

PDF, 213 KB

english, 2001

6

Forward–backward systems for expected utility maximization

Horst, Ulrich, Hu, Ying, Imkeller, Peter, Réveillac, Anthony, Zhang, Jianing

Journal:

Stochastic Processes and their Applications

Year:

2014

Language:

english

File:

PDF, 364 KB

english, 2014

7

SOLVABILITY AND NUMERICAL SIMULATION OF BSDEs RELATED TO BSPDEs WITH APPLICATIONS TO UTILITY MAXIMIZATION

IMKELLER, PETER, RÉVEILLAC, ANTHONY, ZHANG, JIANING

Journal:

International Journal of Theoretical and Applied Finance

Year:

2011

Language:

english

File:

PDF, 473 KB

english, 2011

8

Furstenberg-khasminskii formulas for lyapunov exponents via anticipative calculus

Arnold, Ludwig, Imkeller, Peter

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

1995

Language:

english

File:

PDF, 2.79 MB

english, 1995

9

The Shannon Information of Filtrations and the Additional Logarithmic Utility of Insiders

Stefan Ankirchner, Steffen Dereich and Peter Imkeller

Journal:

The Annals of Probability

Year:

2006

Language:

english

File:

PDF, 2.71 MB

english, 2006

10

Large Deviations and a Kramers' Type Law for Self-Stabilizing Diffusions

Samuel Herrmann, Peter Imkeller and Dierk Peithmann

Journal:

The Annals of Applied Probability

Year:

2008

Language:

english

File:

PDF, 2.73 MB

english, 2008

11

An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift

Fromm, Alexander, Imkeller, Peter, Prömel, David

Journal:

Electronic Journal of Probability

Year:

2015

Language:

english

File:

PDF, 382 KB

english, 2015

12

A stochastic calculus for continuous N-parameter strong martingales

Journal:

Stochastic Processes and their Applications

Year:

1985

Language:

english

File:

PDF, 2.23 MB

english, 1985

13

Stratonovich calculus with spatial parameters and anticipative problems in multiplicative ergodic theory

Ludwig Arnold, Peter Imkeller

Journal:

Stochastic Processes and their Applications

Year:

1996

Language:

english

File:

PDF, 1.41 MB

english, 1996

14

On measure solutions of backward stochastic differential equations

Stefan Ankirchner, Peter Imkeller, Alexandre Popier

Journal:

Stochastic Processes and their Applications

Year:

2009

Language:

english

File:

PDF, 980 KB

english, 2009

15

Regularity of Skorohod integral processes based on integrands in a finite Wiener chaos

Journal:

Probability Theory and Related Fields

Year:

1994

Language:

english

File:

PDF, 263 KB

english, 1994

16

On inequalities for two-parameter martingales

Journal:

Mathematische Annalen

Year:

1989

Language:

english

File:

PDF, 629 KB

english, 1989

17

Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin’s calculus

Journal:

Probability Theory and Related Fields

Year:

1996

Language:

english

File:

PDF, 288 KB

english, 1996

18

Additional utility of insiders with imperfect dynamical information

JoséM. Corcuera, Peter Imkeller, Arturo Kohatsu-Higa, David Nualart

Journal:

Finance and Stochastics

Year:

2004

Language:

english

File:

PDF, 208 KB

english, 2004

19

Finite utility on financial markets with asymmetric information and structure properties of the price dynamics

Stefan Ankirchner, Peter Imkeller

Journal:

Annales de l'Institut Henri Poincare (B) Probability and Statistics

Year:

2005

Language:

english

File:

PDF, 233 KB

english, 2005

20

Free lunch and arbitrage possibilities in a financial market model with an insider

Peter Imkeller, Monique Pontier, Ferenc Weisz

Journal:

Stochastic Processes and their Applications

Year:

2001

Language:

english

File:

PDF, 205 KB

english, 2001

21

PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS

Stefan Ankirchner, Peter Imkeller, Gonçalo Dos Reis

Journal:

Mathematical Finance

Year:

2010

Language:

english

File:

PDF, 237 KB

english, 2010

22

Utility maximization in incomplete markets

Hu, Ying, Imkeller, Peter, Müller, Matthias

Journal:

The Annals of Applied Probability

Year:

2005

Language:

english

File:

PDF, 166 KB

english, 2005

23

Some formulas for Lyapunov exponents and rotation numbers in two dimensions and the stability of the harmonic oscillator and the inverted pendulum

Imkeller, Peter, Lederer, Christian

Journal:

Dynamical Systems / An International Journal

Year:

2001

Language:

english

File:

PDF, 456 KB

english, 2001

24

On the Computation of Invariant Measures in Random Dynamical Systems

Imkeller, Peter, Kloeden, Peter

Journal:

Stochastics and Dynamics

Year:

2003

Language:

english

File:

PDF, 227 KB

english, 2003

25

THE COHOMOLOGY OF STOCHASTIC AND RANDOM DIFFERENTIAL EQUATIONS, AND LOCAL LINEARIZATION OF STOCHASTIC FLOWS

IMKELLER, PETER, LEDERER, CHRISTIAN

Journal:

Stochastics and Dynamics

Year:

2002

Language:

english

File:

PDF, 375 KB

english, 2002

26

PARTIAL EQUILIBRIUM AND MARKET COMPLETION

HU, YING, IMKELLER, PETER, MÜLLER, MATTHIAS

Journal:

International Journal of Theoretical and Applied Finance

Year:

2005

Language:

english

File:

PDF, 345 KB

english, 2005

27

An explicit description of the Lyapunov exponents of the noisy damped harmonic oscillator

Imkeller, Peter, Lederer, Christian

Journal:

Dynamical Systems / An International Journal

Year:

1999

Language:

english

File:

PDF, 416 KB

english, 1999

28

The Exit Problem for Diffusions with Time-Periodic Drift and Stochastic Resonance

Samuel Herrmann and Peter Imkeller

Journal:

The Annals of Applied Probability

Year:

2005

Language:

english

File:

PDF, 2.57 MB

english, 2005

29

Transition Times and Stochastic Resonance for Multidimensional Diffusions with Time Periodic Drift: A Large Deviations Approach

Samuel Herrmann, Peter Imkeller and Dierk Peithmann

Journal:

The Annals of Applied Probability

Year:

2006

Language:

english

File:

PDF, 3.83 MB

english, 2006

30

PARACONTROLLED DISTRIBUTIONS AND SINGULAR PDES

GUBINELLI, MASSIMILIANO, IMKELLER, PETER, PERKOWSKI, NICOLAS

Journal:

Forum of Mathematics, Pi

Year:

2015

Language:

english

File:

PDF, 667 KB

english, 2015

31

Global flows for stochastic differential equations without global Lipschitz conditions

Fang, Shizan, Imkeller, Peter, Zhang, Tusheng

Journal:

The Annals of Probability

Year:

2007

Language:

english

File:

PDF, 258 KB

english, 2007

32

[Lecture Notes in Mathematics] Two-Parameter Martingales and Their Quadratic Variation Volume 1308 || Introduction

Imkeller, Peter

Year:

1988

Language:

english

File:

PDF, 1.28 MB

english, 1988

33

[Lecture Notes in Mathematics] Two-Parameter Martingales and Their Quadratic Variation Volume 1308 || Basics; processes depending on a parameter

Imkeller, Peter

Year:

1988

Language:

english

File:

PDF, 1.88 MB

english, 1988

34

[Lecture Notes in Mathematics] Two-Parameter Martingales and Their Quadratic Variation Volume 1308 || Two-parameter processes

Imkeller, Peter

Year:

1988

Language:

english

File:

PDF, 1.58 MB

english, 1988

35

Stochastic Integration for Some Rough Non-adapted Processes

Peter Imkeller, Wolfgang Schmidt

Journal:

Mathematische Nachrichten

Year:

1994

Language:

english

File:

PDF, 1.28 MB

english, 1994

36

Local times of continuous N-parameter strong martingales

Journal:

Journal of Multivariate Analysis

Year:

1986

Language:

english

File:

PDF, 897 KB

english, 1986

37

Stochastic integrals of point processes and the decomposition of two-parameter martingales

Journal:

Journal of Multivariate Analysis

Year:

1989

Language:

english

File:

PDF, 1.38 MB

english, 1989

38

On the perturbation problem for occupation densities

Journal:

Stochastic Processes and their Applications

Year:

1994

Language:

english

File:

PDF, 806 KB

english, 1994

39

Time irregularity of generalized Ornstein–Uhlenbeck processes

Zdzisław Brzeźniak, Ben Goldys, Peter Imkeller, Szymon Peszat, Enrico Priola, Jerzy Zabczyk

Journal:

Comptes Rendus Mathematique

Year:

2010

Language:

english

File:

PDF, 141 KB

english, 2010

40

Corrigendum to “Path regularity and explicit convergence rate for BSDE with truncated quadratic growth” [Stochastic Process. Appl. 120 (2010) 348–379]

Peter Imkeller, Gonçalo Dos Reis

Journal:

Stochastic Processes and their Applications

Year:

2010

Language:

english

File:

PDF, 173 KB

english, 2010

41

Ito's formula for continuous (N,d)-processes

Journal:

Probability Theory and Related Fields

Year:

1984

Language:

english

File:

PDF, 1.24 MB

english, 1984

42

Continuity of the occupation density for anticipating stochastic integral processes

Peter Imkeller, David Nualart

Journal:

Potential Analysis

Year:

1993

Language:

english

File:

PDF, 840 KB

english, 1993

43

Occupation densities for stochastic integral processes in the second Wiener chaos

Journal:

Probability Theory and Related Fields

Year:

1992

Language:

english

File:

PDF, 1.06 MB

english, 1992

44

The transformation theorem for two-parameter pure jump martingales

Journal:

Probability Theory and Related Fields

Year:

1991

Language:

english

File:

PDF, 1.25 MB

english, 1991

45

The asymptotic behaviour of local times and occupation integrals of theN-parameter Wiener process in Rd

Peter Imkeller, Ferene Weisz

Journal:

Probability Theory and Related Fields

Year:

1994

Language:

english

File:

PDF, 1.06 MB

english, 1994

46

A note on the localization of two-parameter processes

Journal:

Probability Theory and Related Fields

Year:

1986

Language:

english

File:

PDF, 282 KB

english, 1986

47

Normal forms for stochastic differential equations

Ludwig Arnold, Peter Imkeller

Journal:

Probability Theory and Related Fields

Year:

1998

Language:

english

File:

PDF, 360 KB

english, 1998

48

Equilibrium trading of climate and weather risk and numerical simulation in a Markovian framework

Sébastien Chaumont, Peter Imkeller, Matthias Müller

Journal:

Stochastic Environmental Research and Risk Assessment

Year:

2006

Language:

english

File:

PDF, 636 KB

english, 2006

49

First Exit Times of Non-linear Dynamical Systems in

Peter Imkeller, Ilya Pavlyukevich, Michael Stauch

Journal:

Journal of Statistical Physics

Year:

2010

Language:

english

File:

PDF, 728 KB

english, 2010

50

The continuity of the quadratic variation of two-parameter martingales

Nikos E. Frangos, Peter Imkeller

Journal:

Stochastic Processes and their Applications

Year:

1988

Language:

english

File:

PDF, 1.36 MB

english, 1988