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Mathematics

D-Index
40
Citations
6702
World Ranking
2056
National Ranking
130

Overview

Peter Imkeller is affiliated with Humboldt-Universität zu Berlin in Germany. Their main fields of study include Mathematics and Economics, Econometrics and Finance, with research spanning multiple subfields such as Finance, Management Science and Operations Research, Mathematical Physics, Geometry and Topology, and Applied Mathematics.

The scientist's research covers several key topics, including:

  • Stochastic processes and financial applications
  • Mathematical Dynamics and Fractals
  • Risk and Portfolio Optimization
  • Geometric Analysis and Curvature Flows
  • Probability and Risk Models
  • Monetary Policy and Economic Impact
  • Advanced Topology and Set Theory

Peter Imkeller's recent scholarly output includes the following papers:

  • "On the strict value of the non-linear optimal stopping problem," 2020, published in Electronic Communications in Probability
  • "Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure," 2020, arXiv (Cornell University)
  • "Utility maximization via decoupling fields," 2020, The Annals of Applied Probability
  • "Takagi type functions and dynamical systems: the smoothness of the SBR measure and the existence and smoothness of local time," 2021, arXiv (Cornell University)
  • "Differentiability of quadratic forward-backward SDEs with rough drift," 2022, arXiv (Cornell University)

Frequent co-authors collaborating with Peter Imkeller include:

  • Olivier Menoukeu Pamen
  • Rhoss Likibi Pellat
  • Miryana Grigorova
  • Youssef Ouknine
  • Marie-Claire Quenez

Publication venues where Peter Imkeller has predominantly published their work are:

  • arXiv (Cornell University)
  • The Annals of Applied Probability
  • Electronic Communications in Probability
  • Annales Mathematicae Silesianae

Best Publications

  • Stochastic climate models

    Peter Imkeller;Jin-Song von Storch

  • Paracontrolled distributions and singular PDEs

    Massimiliano Gubinelli;Peter Imkeller;Nicolas Perkowski

  • Utility maximization in incomplete markets

    Ying Hu;Peter Imkeller;Matthias Muller

  • Stochastic Parameterization: Towards a new view of Weather and Climate Models

    Judith Berner;Ulrich Achatz;Lauriane Batte;Lisa Bengtsson

  • Additional logarithmic utility of an insider

    Jürgen Amendinger;Peter Imkeller;Martin Schweizer

  • Stochastic Parameterization: Towards a new view of Weather and Climate Models

    Judith Berner;Ulrich Achatz;Lauriane Batte;Lisa Bengtsson

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

    Peter Imkeller;Björn Schmalfuss

  • First exit times of SDEs driven by stable Lévy processes

    P. Imkeller;I. Pavlyukevich

  • Additional utility of insiders with imperfect dynamical information

    José Manuel Corcuera;Peter Imkeller;Arturo Kohatsu-Higa;David Nualart

  • Chaos expansions of double intersection local time of Brownian motion in Rd and renormalization

    Peter Imkeller;Victor Perez-Abreu;Josep Vives

  • Backward stochastic differential equations with time delayed generators - results and counterexamples

    Łukasz Delong;Peter Imkeller

  • Lévy flights: transitions and meta-stability

    Peter Imkeller;Ilya Pavlyukevich

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

    Peter Imkeller;Monique Pontier;Ferenc Weisz

  • On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures

    Łukasz Delong;Peter Imkeller

  • CONCEPTUAL STOCHASTIC CLIMATE MODELS

    Peter Imkeller;Adam Hugh Monahan;Adam Hugh Monahan

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

    Peter Imkeller

  • The shannon information of filtrations and the additional logarithmic utility of insiders

    Stefan Ankirchner;Steffen Dereich;Peter Imkeller

  • Large deviations and a Kramers’ type law for self-stabilizing diffusions

    Samuel Herrmann;Peter Imkeller;Dierk Peithmann

  • Normal forms for stochastic differential equations

    Ludwig Arnold;Peter Imkeller

  • Anticipation cancelled by a Girsanov transformation : a paradox on Wiener space

    Hans Föllmer;Peter Imkeller

Frequent Co-Authors

Massimiliano Gubinelli
Massimiliano Gubinelli University of Oxford
David Nualart
David Nualart University of Kansas
Arnaud Debussche
Arnaud Debussche École Normale Supérieure de Rennes
Jerzy Zabczyk
Jerzy Zabczyk Polish Academy of Sciences
Christian Franzke
Christian Franzke Universität Hamburg
Franco Flandoli
Franco Flandoli Scuola Normale Superiore di Pisa
Heikki Järvinen
Heikki Järvinen University of Helsinki
Antje Weisheimer
Antje Weisheimer University of Oxford
Tim Palmer
Tim Palmer University of Oxford
Michael Scheutzow
Michael Scheutzow Technical University of Berlin

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