Humboldt University at Berlin
Department of Mathematics
Stochastics, Statistics and Mathematical Finance
Homepage Peter Imkeller

Peter Imkeller - Publications since 1997

L. Arnold, P. Imkeller,: Normal forms for stochastic differential equations, Oct. 13, 1997; pdf (338 K), .pdf.gz (181 K)
P. Imkeller,: The smoothness of laws of random flags and Oseledets spaces of linear stochastic differential equations, Nov. 14, 1997; pdf (369 K), .pdf.gz (266 K)
P. Imkeller, M. Scheutzow,: On the spatial behaviour of stochastic flows in Euclidean space, Sept. 12, 1997; pdf (311 K) .pdf.gz (211 K)
L. Arnold, P. Imkeller,: On the integrability condition in the Multiplicative Ergodic Theorem for Stochastic Differential Equations,; pdf (218 K), .pdf.gz (108 K)
F. Weisz, P. Imkeller,: Critical dimensions for the existence of self-intersection local times of the n-parameter Brownian motion in R^d Oct. 13, 1997; pdf (219 K), .pdf.gz (139 K)
L. Arnold, P. Imkeller,: Rotation Numbers for Linear Stochastic Differential Equations; pdf (253 K), .pdf.gz (133 K)
P. Imkeller, C. Lederer,: An explicit description of the Lyapunov exponents of the noisy damped harmonic oscillator; pdf (315 K), .pdf.gz (184 K)
H. Crauel, P. Imkeller, M. Steinkamp,: Bifurcation of one dimensional stochastic differential equations; pdf (242 K), .pdf.gz (132 K)
J. Amendinger, P. Imkeller, M. Schweizer: Additional Logarithmic Utility of an Insider; pdf (331 K), .pdf.gz (181 K)
P. Imkeller, F. Weisz: Double points of the Brownian sheet in R^d and the geometry of the parameter space Nov. 20, 1998; pdf (297 K), .pdf.gz (181 K)
P. Imkeller, B. Schmalfuss: The conjugacy of stochastic and random differential equations and the existence of global attractors Nov. 27, 1998; pdf (338 K), .pdf.gz (214 K)
P. Imkeller, C. Lederer: On the cohomology of stochastic and random differential equations May 26, 2000; pdf (290 K), .pdf.gz (162 K)
P. Imkeller, C. Lederer: Some formulas for Lyapunov exponents and rotation numbers in two dimensions and the stability of the harmonic oscillator and the inverted pendulum July 21, 1999; pdf (374 K), .pdf.gz (234 K)
P. Imkeller, M. Pontier, F. Weisz: Free lunch and arbitrage possibilities in a financial market model with an insider May 26, 2000; pdf (405 K), .pdf.gz (288 K)
P. Imkeller: Energy Balance Models - viewed from Stochastic Dynamics October 14, 1999; pdf (408 K), .pdf.gz (218 K)
A. Monahan, L. Pandolfo, P. Imkeller: Stochastic Confinement of Rossby Waves by Fluctuating Eastward Flows February 10, 2000; pdf (313 K), .pdf.gz (221 K)
P. Imkeller, A. Monahan, L. Pandolfo: Some mathematical remarks concerning the localization of planetary waves in a stochastic background flow May 26, 2000; pdf (264 K), .pdf.gz (146 K)
L. Arnold, P. Imkeller: The Kramers Oscillator Revisited February 10, 2000; pdf (219 K), .pdf.gz (96 K)
P. Imkeller, I. Pavlyukevich: Stochastic Resonance in Two-State Markov Chains December 4, 2000; pdf (172 K) .pdf.gz (87 K)
L. Arnold, P. Imkeller, N. S. Namachchivaya: The Asymptotic Stability of Weakly Perturbed Two Dimensional Hamiltonian Systems May 8, 2001; pdf (96 K) .pdf.gz (78 K)
P. Imkeller: Random times at which insiders can have free lunches August 22, 2001; pdf (220 K) .pdf.gz (129 K)
L. Arnold, P. Imkeller, N. S. Namachchivaya: The asymptotic stability of a noisy nonlinear oscillator November 30, 2001; pdf (312 K) .ps.gz (131 K)
P. Imkeller: Malliavin's calculus in insider models: additional utility and free lunches January 21, 2002; pdf (211 K) .pdf.gz (115 K)
P. Imkeller, G. Milstein: The moment Lyapunov exponent for conservative systems with small periodic and random perturbations January 28, 2002; pdf (245 K) .pdf.gz (144 K)
P. Imkeller, C. Lederer: The conjugation of stochastic and random differential equations, and local linearization of stochastic flows April 4, 2002; pdf (274 K) .pdf.gz (172 K)
S. Herrmann, P. Imkeller: Barrier crossings characterize stochastic resonance August 19, 2002; pdf (267 K) .pdf.gz (153 K)
P. Imkeller, I. Pavlyukevich: Model Reduction and Stochastic Resonance June 14, 2002; pdf (597 K) .ps.gz (326 K)
P. Imkeller, A. Monahan: Conceptual stochastic climate models August 20, 2002; pdf (198 K) .pdf.gz (111 K)
J. M. Corcuera, P. Imkeller, A. Kohatsu-Higa, D. Nualart: Additional utility of insiders with imperfect dynamical information September 26, 2002; pdf (178 K) .ps.gz (148 K)
P. Imkeller, I. Pavlyukevich: Stochastic resonance: a comparative study of two-state models October 23, 2002; pdf (284 K) .ps.gz (120 K)
P. Imkeller, I. Pavlyukevich: The reduction of potential diffusions to finite state Markov chains and stochastic resonance October 23, 2002; pdf (260 K) .ps.gz (120 K)
L. Arnold, P. Imkeller, Y. Wu: Reduction of deterministic coupled atmosphere-ocean models to stochastic ocean models: a numerical case study of the Lorenz-Maas system December 20, 2002; pdf (13736 K) .ps.gz (5849 K)
S. Herrmann, P. Imkeller: The exit problem for diffusions with time periodic drift and stochastic resonance January 24, 2003; pdf (656 K) .ps.gz (461 K)
S. Herrmann, P. Imkeller, I. Pavlyukevich: Stochastic resonance: non-robust and robust tuning notions February 13, 2003; pdf (402 K) .ps.gz (342 K)
P. Imkeller, P.Kloeden: On the computation of invariant measures in random dynamical systems February 24, 2003; pdf (240 K) .ps.gz (147 K)
L. Arnold, P. Imkeller, Y. Wu: Reduction of deterministic coupled atmosphere-ocean models to stochastic ocean models: a numerical case study of the Lorenz-Maas system (short version) June 24, 2003; pdf (13889 K) .ps.gz (7152 K)
S. Ankirchner, P. Imkeller: Finite utility on financial markets with asymmetric information and structure properties of the price dynamics September 10, 2003; pdf (252 K) .ps.gz (199 K)
Y. Hu, P. Imkeller, M. Müller: Partial Equilibrium and Market Completion September 10, 2003; pdf (241 K) .ps.gz (200 K)
S. Herrmann, P. Imkeller, I. Pavlyukevich: Two Mathematical Approaches to Stochastic Resonance December 17, 2003; pdf (273 K) .ps.gz (263 K)
Y. Hu, P. Imkeller, M. Müller: Utility maximization in incomplete markets December 17, 2003; pdf (218 K) .ps.gz (181 K)
S. Chaumont, P. Imkeller, M. Müller: Equilibrium trading of climate and weather risk and numerical simulation in a Markovian framework January 15, 2004; pdf (540 K) .ps.gz (224 K)
S. Ankirchner, S. Dereich, P. Imkeller: The Shannon information of filtrations and the additional logarithmic utility of insiders July 15, 2004; pdf (280 K) .ps.gz (236 K)
M. Fischer, P. Imkeller: A two state model for noise-induced resonance in bistable systems with delays July 15, 2004; pdf (394 K) .ps.gz (276 K)
P. Imkeller, I. Pavlyukevich: First exit times of solutions of non-linear stochastic differential equations driven by symmetric Levy processes with alpha-stable component September 15, 2004; pdf (405 K) .ps.gz (189 K)
S. Herrmann, P. Imkeller, D. Peithmann: Large deviations for diffusions with time periodic drift and stochastic resonance April 13, 2005; pdf (314 K) .ps.gz (279 K)
S. Ankirchner, S. Dereich, P. Imkeller: Enlargement of filtrations and continuous Girsanov-type embeddings November 15, 2004; pdf (252 K) .ps.gz (211 K)
S. Chaumont, U. Horst, P. Imkeller, M. Mller: A simple model for trading climate risk March 8, 2005; pdf (244 K) .ps.gz (211 K)
M. Fischer, P. Imkeller: Noise induced resonance in bistable systems caused by delay feedback March 15, 2005; pdf (557 K) .ps.gz (405 K)
S. Fang, P. Imkeller, T. Zhang: Global flows for stochastic differential equations without global Lipschitz conditions September 12, 2005; pdf (213 K) .ps.gz (181 K)
S. Ankirchner, P. Imkeller, A. Popier: Optimal cross hedging of insurance derivatives March 19, 2007; pdf (253 K) .ps.gz (207 K)
P. Imkeller, I. Pavlyukevich: Levy flights: transitions and meta-stability January 11, 2006; pdf (238 K)
P. Imkeller, I. Pavlyukevich: Meta-stable Behavior of Small Noise Levy-Driven Diffusions July 21, 2006; pdf (348 K)
S. Ankirchner, P. Imkeller, A. Popier: On measure solutions of backward stochastic differential equations February 12, 2008; pdf (217 K) .ps.gz (171 K)
S. Ankirchner, P. Imkeller: Financial markets with asymmetric information: information drift, additional utility and entropy August 25, 2006; pdf (160 K) .ps.gz (72 K)
S. Herrmann, P. Imkeller, D. Peithmann: Large deviations and a Kramers' type law for self-stabilizing diffusions November 7, 2006; pdf (1086 K)
S. Ankirchner, P. Imkeller, G. Reis: Classical and Variational Differentiability of BSDEs with Quadratic Growth September 28, 2007; pdf (301 K) .ps.gz (275 K)
S. Ankirchner, P. Imkeller, G. Reis: Pricing and hedging of derivatives based on non-tradable underlyings July 4, 2007; pdf (246 K) .ps.gz (212 K)
P. Imkeller, I. Pavlyukevich, T. Wetzel: First exit times for Levy-driven diffusions with exponentially light jumps December 3, 2007; pdf (265 K) .ps.gz (216 K)
S. Ankirchner, G. Heyne, P. Imkeller: A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift December 11, 2007; pdf (200 K) .ps.gz (164 K)
S. Ankirchner, P. Imkeller: Quadratic hedging of weather and catastrophe risk by using short term climate predictions February 12, 2008; pdf (254 K) .ps.gz (214 K)
C. Hein, P. Imkeller, I. Pavlyukevitch,: Limit theorems for p-variations of solutions of SDEs driven by additive non Gaussian stable Levy noise, November 9, 2008; pdf (385 K)
C. Hein, P. Imkeller, I. Pavlyukevitch, November 15, 2008: Simple SDE dynamical models interpreting climate data and their meta-stability, November 15, 2008; pdf (338 K)
P. Imkeller,: Malliavin's calculus and applications in stochastic control and finance, December 15, 2008; pdf (418 K)
S. Ankirchner, P. Imkeller;: Hedging with residual risk: a BSDE approach, March 18, 2009; pdf (240 K)
G. Reis, P. Imkeller,: Path regularity and explicit truncations order for BSDE with drivers of quadratic growth, March 22, 2009; pdf (317 K)
L. Delong, P. Imkeller,: Backward stochastic differential equations with time delayed generators - results and counterexamples, July 1, 2009; pdf (296 K)
P. Imkeller, A. Reveillac, A. Richter: Differentiability of quadratic BSDE generated by continous martingales and hedging in incomplete markets, July 6, 2009; pdf (304 K)
Z. Brezniak, B. Goldys, P. Imkeller, S. Peszat, E. Priola, J. Zabczyk: Time irregularity of generalized Ornstein-Uhlenbeck processes, October 22, 2009; pdf (176 K)
L. Delong, P. Imkeller: On Malliavin's differentiability of BSDE with time delayed generators driven bei Brownian motions and Poisson random mesures, November 17, 2009; pdf (344 K)
P. Imkeller, G. Dos Reis, J. Zhang: Results on numerics for FBSDE with drivers of quadratic growth, November 17, 2009; pdf (203 K)

Last modification: 17. 11. 2009,