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