Publications 1997 -
- L. Arnold, P. Imkeller
- Normal forms for stochastic differential equations. Probab. Theory Relat. Fields 110, No.4, 559-588 (1998)
- P. Imkeller
- The smoothness of laws of random flags and Oseledets spaces of linear stochastic differential equations. Potential Anal. 9, No.4, 321-349 (1998)
- P. Imkeller, M. Scheutzow
- On the spatial behaviour of stochastic flows in Euclidean space. Ann. Probab. 27, No.1, 109-129 (1999)
- L. Arnold, P. Imkeller
- On the integrability condition in the multiplicative ergodic theorem for stochastic differential equations. Stochastics Stochastics Rep. 64, No. 3-4, 195-210 (1998)
- F. Weisz, P. Imkeller
- Critical dimensions for the existence of self-intersection local times of the n-parameter Brownian motion in R^d. J. Theor. Probab. 12, No.3, 721-737 (1999)
- L. Arnold, P. Imkeller
- Rotation numbers for linear stochastic differential equations. Ann. Probab. 27, No.1, 130-149 (1999)
- P. Imkeller, C. Lederer
- An explicit description of the Lyapunov exponents of the noisy damped harmonic oscillator. Dyn. Stab. Syst. 14, No.4, 385-405 (1999)
- H. Crauel, P. Imkeller, M. Steinkamp
- Bifurcation of one dimensional stochastic differential equations. Crauel, Hans (ed.) et al., Stochastic dynamics. Conference on Random dynamical systems, Bremen, Germany, April 28 - May 2, 1997. Dedicated to Ludwig Arnold on the occasion of his 60th birthday. New York, NY: Springer. 27-47 (1999)
- J. Amendinger, P. Imkeller, M. Schweizer
- Additional logarithmic utility of an insider. Stochastic Processes Appl. 75, No.2, 263-286 (1998)
- P. Imkeller, F. Weisz
- Double points of the Brownian sheet in R^d and the geometry of the parameter space. Stochastics Stochastics Rep. 70, No.3-4, 165-211 (2000)
- L. Arnold, P. Imkeller,
- The Kramers oscillator revisited. Lecture Notes in Physics, Springer Verlag Berlin, vol. 557 (2000), pp. 280-291
- L. Arnold, P. Imkeller, N.S. Namachchivaya
- The asymptotic stability of weakly perturbed two dimensional Hamiltonian systems. Proceedings of 18-th Biennial Conference on Mechanical Vibration and Noise ASME Design Engineering Technical Conferences September 9-12, 2001, Pittsburgh, Pennsylvania, USA
- L. Arnold, P. Imkeller, N.S. Namachchivaya
- The asymptotic stability of a noisy non-linear oscillator. Journal of Sound and Vibration, vol. 269 (2001), Issues 3-5, pp 1003-1029
- P. Imkeller, B. Schmalfuss
- The conjugacy of stochastic and random differential equations and the existence of global attractors. J. Dyn. Differ. Equations 13, No.2, 215-249 (2001)
- P. Imkeller, C. Lederer
- On the cohomology of stochastic and random differential equations. Probab. Theory Relat. Fields 120, No.2, 209-235 (2001)
- 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. Dyn. Syst. 16, No. 1, 29-61 (2001)
- P. Imkeller, M. Pontier, F. Weisz
- Free lunch and arbitrage possibilities in a financial market model with an insider. Stochastic Processes Appl. 92, No. 1, 103-130 (2001)
- P. Imkeller
- Energy balance models - viewed from stochastic dynamics. Imkeller, Peter (ed.) et al., Stochastic climate models. Proceedings of a workshop, Chorin, Germany, Summer 1999. Basel: Birkhäuser. Prog. Probab. 49, 213-240 (2001)
- A. Monahan, L. Pandolfo, P. Imkeller
- Stochastic confinement of Rossby waves by fluctuating eastward flows. Imkeller, Peter (ed.) et al., Stochastic climate models. Proceedings of a workshop, Chorin, Germany, Summer 1999. Basel: Birkhäuser. Prog. Probab. 49, 325-343 (2001)
- P. Imkeller, A. Monahan, L. Pandolfo
- Some mathematical remarks concerning the localization of planetary waves in a stochastic background flow. Imkeller, Peter (ed.) et al., Stochastic climate models. Proceedings of a workshop, Chorin, Germany, Summer 1999. Basel: Birkhäuser. Prog. Probab. 49, 345-368 (2001)
- P. Imkeller, I. Pavlyukevich
- Stochastic resonance in two-state Markov chains. Arch. Math. 77, No.1, 107-115 (2001)
- P. Imkeller
- Random times at which insiders can have free lunches. Stochastics Stochastics Rep. 74, No. 1-2, 465-487 (2002)
- P. Imkeller, G. Milstein
- Moment Lyapunov exponent for conservative systems with small periodic and random perturbations. Stoch. Dyn. 2, No.1, 25-48 (2002)
- P. Imkeller, C. Lederer
- The cohomology of stochastic and random differential equations, and local linearization of stochastic flows. Stoch. Dyn. 2, No.2, 131-159 (2002)
- S. Herrmann, P. Imkeller
- Barrier crossings characterize stochastic resonance. Stoch. Dyn. 2, No.3, 413-436 (2002)
- P. Imkeller, I. Pavlyukevich
- Model reduction and stochastic resonance. Stoch. Dyn. 2, No.4, 463-506 (2002)
- P. Imkeller, A. Monahan
- Conceptual stochastic climate models. Stoch. Dyn. 2, No.3, 311-326 (2002)
- P. Imkeller, I. Pavlyukevich
- The reduction of potential diffusions to finite state Markov chains and stochastic resonance. Sri Namachchivaya, N. (ed.) et al., IUTAM symposium on nonlinear stochastic dynamics. Proceedings of the IUTAM symposium, Monticello, IL, USA, Augsut 26--30, 2002. Dordrecht: Kluwer Academic Publishers. Solid Mech. Appl. 110, 57-69 (2003)
- S. Herrmann, P. Imkeller, I. Pavlyukevich
- Stochastic Resonance: non-robust and robust tuning notions. in: K. Haman, B. Jakubiak and J. Zabczyk (eds.), Probabilistic Problems in Atmospheric and Water Sciences. Proceedings of the Workshop held at the Bedlewo Mathematical Conference Center, December 16-18, 2002, Banach Center Publ., 2003
- 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. Dyn. Syst. 18, No. 4, 295-350 (2003)
- P. Imkeller, P.Kloeden
- On the computation of invariant measures in random dynamical systems. Stoch. Dyn. 3, No. 2, 247-265 (2003)
- P. Imkeller
- Malliavin's calculus in insider models: additional utility and free lunches. Math. Finance 13, No. 1, 153-169 (2003)
- J. M. Corcuera, P. Imkeller, A. Kohatsu-Higa, D. Nualart
- Additional utility of insiders with imperfect dynamical information. Finance Stoch. 8, No. 3, 437-450 (2004)
- P. Imkeller, I. Pavlyukevich
- Stochastic resonance: a comparative study of two-state models. Dalang, Robert C. (ed.) et al., Seminar on stochastic analysis, random fields and applications IV, Centro Stefano Franscini, Ascona, Switzerland, May 20--24, 2002. Proceedings. Basel: Birkhäuser. Progress in Probability 58, 141-154 (2004)
- S. Herrmann, P. Imkeller
- The exit problem for diffusions with time periodic drift and stochastic resonance. Ann. Appl. Probab. 15, No. 1A, 39-68 (2005)
- S. Ankirchner, P. Imkeller
- Finite utility on financial markets with asymmetric information and structure properties of the price dynamics. Ann. Inst. Henri Poincaré, Probab. Stat. 41, No. 3, 479-503 (2005)
- Y. Hu, P. Imkeller, M. Müller
- Partial equilibrium and market completion. Int. J. Theor. Appl. Finance 8, No. 4, 483-508 (2005)
- S. Herrmann, P. Imkeller, I. Pavlyukevich
- Two mathematical approaches to stochastic resonance. Deuschel, Jean-Dominique (ed.) et al., Interacting stochastic systems. Berlin: Springer. 327-351 (2005)
- Y. Hu, P. Imkeller, M. Müller
- Utility maximization in incomplete markets. Ann. Appl. Probab. 15, No. 3, 1691-1712 (2005)
- M. Fischer, P. Imkeller
- A two state model for noise-induced resonance in bistable systems with delays. Stoch. Dyn. 5, No. 2, 247-270 (2005)
- S. Chaumont, U. Horst P. Imkeller, M. Müller
- A simple model for trading climate risk. Vierteljahrshefte zur Wirtschaftsforschung 74 (2005), 2, 175-195
- S. Chaumont, P. Imkeller, M. Müller
- Equilibrium trading of climate and weather risk and numerical simulation in a Markovian framework. SERRA, Springer Berlin, Vol. 20/3 (2006), 184-205
- S. Ankirchner, S. Dereich, P. Imkeller
- The Shannon information of filtrations and the additional logarithmic utility of insiders. Ann. Probab. 34, No. 2, 743-778 (2006)
- P. Imkeller, I. Pavlyukevich
- First exit times of SDEs driven by stable Lévy processes. Stochastic Processes Appl. 116, No. 4, 611-642 (2006)
- S. Herrmann, P. Imkeller, D. Peithmann
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Transition times and stochastic resonance for multidimensional diffusions with time periodic drift: a large deviations approach.
Ann. Appl. Probab. 16, No. 4, 1851-1892 (2006)
- M. Fischer, P. Imkeller
- Noise induced resonance in bistable systems caused by delay feedback. Stochastic Anal. Appl. 24, No. 1, 135-194 (2006)
- P. Imkeller, I. Pavlyukevich
- Levy flights: transitions and meta-stability. J. Phys. A, Math. Gen. 39, No. 15, L237-L246 (2006)
- S. Ankirchner, S. Dereich, P. Imkeller
- Enlargement of filtrations and continuous Girsanov-type embeddings. Donati-Martin, Catherine (ed.) et al., 40th seminar on probability. Berlin: Springer. Lecture Notes in Mathematics 1899, 389-410 (2007)
- S. Fang, P. Imkeller, T. Zhang
- Global flows for stochastic differential equations without global Lipschitz conditions. Ann. Probab. 35, No. 1, 180-205 (2007)
- S. Ankirchner, P. Imkeller
- Financial markets with asymmetric information: information drift, additional utility and entropy. Akahori, Jiro (ed.) et al., Stochastic processes and applications to mathematical finance. Proceedings of the 6th Ritsumeikan international symposium, Kyoto, Japan, March 6--10, 2006. Hackensack, NJ: World Scientific. 1-22 (2007)
- S. Ankirchner, P. Imkeller, G. Reis
- Classical and Variational Differentiability of BSDEs with Quadratic Growth Electron. J. Probab. 12, 1418-1453, electronic only (2007)
- P. Imkeller, S. Roelly
- Die Wiederentdeckung eines Mathematikers: Wolfgang Döblin. (German) [The rediscovery of a mathematician: Wolfgang Doeblin] Mitt. Dtsch. Math.-Ver. 15 (2007) no. 3, 154-159
- S. Ankirchner, P. Imkeller, A. Popier
- Optimal cross hedging of insurance derivatives. Stochastic Anal. Appl. 26, No. 4, 679-709 (2008)
- P. Imkeller, I. Pavlyukevich
- Meta-stable behavior of small noise Levy-driven diffusions. ESAIM Probab. Stat. 12 (2008), 412--437
- H. Crauel, P. Imkeller,
- Preface Special issue for Prof. Ludwig Arnold's 70th birthday. Part 1, Stoch. Dyn. Vol. 8, No 1 v--vi (2008)
- H. Crauel, P. Imkeller, P. Kloeden, B. Schmalfuß
- Preface Special issue for Prof. Ludwig Arnold's 70th birthday. Part 2, Stoch. Dyn. Vol. 8, No 3 v--vi (2008)
- S. Ankirchner, G. Heyne, P. Imkeller
- A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift. Stoch. Dyn. 8, No. 1, 35-46 (2008)
- P. Imkeller, C. Hein and I. Pavlyukevich
- Simple SDE dynamical models interpreting climate data and their meta-stability. Oberwolfach Reports, (2008)
- S. Herrmann, P. Imkeller, D. Peithmann
- Large deviations and a Kramers' type law for self-stabilizing diffusions. Ann. Appl. Probab. 18, No. 4, 1379-1423 (2008)
- S. Ankirchner, P. Imkeller, A. Popier
- On measure solutions of backward stochastic differential equations. Stoch. Proc. Appl., Vol. 119, Issue 9 (2009), pp. 2744-2772
- P. Imkeller, I. Pavlyukevich, T. Wetzel
- First exit times for Levy-driven diffusions with exponentially light jumps. Ann. Probab. 37, No. 2 (2009) pp. 530-564
- P. Imkeller, G. Reis
- Path regularity and explicit truncations order for BSDE with drivers of quadratic growth. Stoch. Proc. Appl. (2010), Vol. 120, No. 3, 348-379
- C. Hein, P. Imkeller, I. Pavlyukevich
- Limit theorems for p-variations of solutions of SDEs driven by additive Stable Levy noise and model selection for paleo-climatic data. Interdisciplinary Math. Sciences, Vol. 8 (2009), 137-150
- pdf (240 K)
- P. Imkeller, G. Dos Reis and J. Zhang
- Results on numerics for FBSDE with drivers of quadratic growth. Contemporary Quantitative Finance. Essays in Honour of Eckhard Platen (Chiarella, C.; Novikov, A. (Eds.)), Springer Verlag (2010)
- S. Ankirchner, P. Imkeller, G. Reis
- Pricing and hedging of derivatives based on non-tradable underlyings. Math. Finance (2010), Vol. 20, No. 2, 289 -312
- L. Delong, P. Imkeller
- Backward stochastic differential equations with time delayed generators - results and counterexamples. Ann. of Appl. Probab. (2010), Vol. 20, No. 4, 1512-1536
- Z. Brzezniak, B.Goldys, P. Imkeller, S. Peszat, E. Priola and J. Zabczyk
- Time Irregularity of Generalized Ornstein-Uhlenbeck Processes. C.R.Acad.Sci. Paris Ser. Math.(2010), Vol. 348, 273-276
- L. Delong and P. Imkeller
- On Malliavin's differentiability of BSDE with time delayed generators driven by Brownian motions and Poisson random measures. Stoch. Proc. Appl. (2010), Vol. 120, No. 9, 1748-1775
- S. Ankirchner, P. Imkeller
- Hedging with residual risk: a BSDE approach. Progress in Probability Ascona 2008, Proceedings (2010), in press
- P. Imkeller, I. Pavlyukevich and M. Stauch
- First exit times of non-linear dynamical systems in R^d in perturbed by multifractal Lévy noise. J. Stat. Physics, Vol. 141 (2010), pp. 94-149
- A. Debussche, M. Högele and P. Imkeller
- Asymptotic first exit times of the Chafee-Infante equation with small heavy-tailed Levy noise. Electronic Communications in Probability 16 (2011), 213-225
- P. Imkeller, A.Reveillac and J. Zhang
- Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization. Int. Journal of Theoretical and Applied Finance 14 (2011), 635-667
- P. Imkeller, I.Pavlyukevich and T. Wetzel
- The hierarchy of exit times of Levy-driven Langevin equations. Eur.Phys.J. Special Topics, Vol. 191 (2010), 211-222
- P. Imkeller, A. Reveillac, A. Richter
- Differentiability of quadratic BSDE generated by continous martingales and hedging in incomplete markets, Ann. of Appl. Probab. 22 (2012), 285-336
- J. Gairing, P. Imkeller, C. Hein and I. Pavlyukevich
- Dynamical models of climate time series and the rate of convergence of power variations. Mathematisches Forschungsinstitut Oberwolfach, Report No. 40/2011, DOI: 10.4171/OWR/2011/40, (2011)
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Books
- P. Imkeller; Jin-Song von Storch
- Stochastic Climate Models. Progress in Probability Vol. 49, Birkhäuser Verlag (2001)
- P. Imkeller
- Malliavin's calculus and applications in stochastic control and finance. IMPAN Lecture Notes 1. Warsaw: Polish Academy of Science, Institute of Mathematics, 83p. (2008)
- J. Blath, P. Imkeller, S. Roelly (eds.)
- Surveys in Stochastic Processes. EMS Series of Congress Reports. EMS Publishing House (2011)