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Imkeller, Peter - Institut für Mathematik, Humboldt Universität zu Berlin
On the computation of invariant measures in random dynamical systems #
Stochastic Resonance: a Comparative Study of Two-State Models
Quadratic hedging of weather and catastrophe risk by using short term climate predictions
A simple model for trading climate risk # Sebastien Chaumont, Peter Imkeller and Matthias Muller
Differentiability of quadratic BSDE generated by continuous martingales and hedging in incomplete markets
Noise induced resonance in bistable systems caused by delay Markus Fischer
Prof. Dr. Peter Imkeller Institut fr Mathematik
THE REDUCTION OF POTENTIAL DIFFUSIONS TO FINITE STATE
arXiv:math.PR/0409246 First exit times of solutions
Two Mathematical Approaches to Stochastic Resonance
On measure solutions of backward stochastic di#erential equations
Model Reduction and Stochastic Resonance P. Imkeller # I. Pavlyukevich +
Utility maximization in incomplete markets # Campus de Beaulieu
Hedging with residual risk: a BSDE approach Stefan Ankirchner and Peter Imkeller
Two Mathematical Approaches to Stochastic Resonance
August 25, 2006 13:13 Proceedings Trim Size: 9in x 6in ritsumeikan3 Financial markets with asymmetric information: information drift,
Stochastic resonance: nonrobust and robust tuning notions #
August 25, 2006 14:41 Proceedings Trim Size: 9in x 6in ritsumeikan3 Financial markets with asymmetric information: information drift,
THE REDUCTION OF POTENTIAL DIFFUSIONS TO FINITE STATE
The Shannon information of filtrations and the additional logarithmic utility of insiders
Optimal cross hedging of insurance derivatives Stefan Ankirchner
A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift
April 23, 2001 14:40 Proceedings of 18-th Biennial Conference on Mechanical Vibration and Noise
Model Reduction and Stochastic Resonance P. Imkeller
Stochastic Resonance: a Comparative Study of Two-State Models
The exit problem for diffusions with time periodic drift and stochastic resonance
On the computation of invariant measures in random dynamical systems
Partial Equilibrium and Market Completion Campus de Beaulieu
Equilibrium trading of climate and weather risk and numerical simulation in a Markovian framework
The Shannon information of filtrations and the additional logarithmic utility of insiders
A two state model for noise-induced resonance in bistable systems with delay
arXiv:math.PR/0409246v115Sep2004 First exit times of solutions
A simple model for trading climate risk Sebastien Chaumont, Peter Imkeller and Matthias Muller
Optimal cross hedging of insurance derivatives Stefan Ankirchner
On measure solutions of backward stochastic differential equations
Classical and Variational Differentiability of BSDEs with Quadratic Growth
Pricing and hedging of derivatives based on non-tradable underlyings
A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift
Simple SDE dynamical models interpreting climate data and their meta-stability
Path regularity and explicit truncation order for BSDE with drivers of quadratic growth
Backward stochastic dierential equations with time delayed generators -results and
Additional utility of insiders with imperfect dynamical information
A two state model for noise-induced resonance in bistable systems with delay #
TIME IRREGULARITY OF GENERALIZED ORNSTEINUHLENBECK PROCESSES
V V
First exit times for Levydriven di#usions with exponentially light jumps
Partial Equilibrium and Market Completion # Campus de Beaulieu
Reduction of deterministic coupled atmosphere-ocean models to stochastic ocean models
Finite utility on financial markets with asymmetric information and structure properties of the price
Large deviations for di#usions with time periodic drift and stochastic resonance
THE ASYMPTOTIC STABILITY OF A NOISY NONLINEAR OSCILLATOR This manuscript has 36 pages
Global flows for stochastic differential equations without global Lipschitz conditions
On Malliavin's dierentiability of BSDE with time delayed generators driven by
Additional utility of insiders with imperfect dynamical information
On measure solutions of backward stochastic differential equations
Results on numerics for FBSDE with drivers of quadratic growth Peter Imkeller Goncalo Dos Reis Jianing Zhang
Utility maximization in incomplete markets Campus de Beaulieu
First exit times for Levy-driven diffusions with exponentially light jumps
Metastable Behaviour of Small Noise Levy-Driven Diffusions Peter Imkeller and Ilya Pavlyukevich
LETTER TO THE EDITOR Levy Flights: Transitions and Meta-Stability
On measure solutions of backward stochastic di#erential equations
The exit problem for di#usions with time periodic drift and stochastic resonance
Pricing and hedging of derivatives based on nontradable underlyings
Classical and Variational Di#erentiability of BSDEs with Quadratic Growth
Equilibrium trading of climate and weather risk and numerical simulation in a Markovian framework #
Global flows for stochastic di#erential equations without global Lipschitz conditions
Limit theorems for p-variations of solutions of SDEs driven by additive non-Gaussian stable Levy noise
Stochastic resonance: non-robust and robust tuning notions
Large deviations for diffusions with time periodic drift and stochastic resonance