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pro vyhledávání: '"Imkeller, Peter"'
In this paper, we consider quadratic forward-backward SDEs (QFBSDEs), for {which} the drift in the forward equation does not satisfy the standard globally Lipschitz condition and the driver of the backward system {possesses} nonlinearity of type $f(|
Externí odkaz:
http://arxiv.org/abs/2210.05622
Autor:
Imkeller Peter, Perkowski Nicolas
Publikováno v:
Annales Mathematicae Silesianae, Vol 37, Iss 2, Pp 149-168 (2023)
We approach the problem of integration for rough integrands and integrators, typically representing trajectories of stochastic processes possessing only some Hölder regularity of possibly low order, in the framework of para-control calculus. For thi
Externí odkaz:
https://doaj.org/article/38fd970d0f0445a493918cee75d83fcd
We investigate Weierstrass functions with roughness parameter $\gamma$ that are H\"older continuous with coefficient $H={\log\gamma}/{\log \frac12}.$ Analytical access is provided by an embedding into a dynamical system related to the baker transform
Externí odkaz:
http://arxiv.org/abs/2009.03628
We consider the problem of Hurst index estimation for solutions of stochastic differential equations driven by an additive fractional Brownian motion. Using techniques of the Malliavin calculus, we analyze the asymptotic behavior of the quadratic var
Externí odkaz:
http://arxiv.org/abs/1903.02364
Autor:
Imkeller, Peter, Reis, Goncalo dos
We compute the Hausdorff dimension of a two-dimensional Weierstrass function, related to lacunary (Hadamard gap) power series, that has no L\'evy area. This is done by interpreting it as a pullback attractor of a dynamical system based on the Baker t
Externí odkaz:
http://arxiv.org/abs/1806.09585
We close an unexpected gap in the literature of stochastic differential equations (SDEs) with drifts of super linear growth (and random coefficients), namely, we prove Malliavin and Parametric Differentiability of such SDEs. The former is shown by pr
Externí odkaz:
http://arxiv.org/abs/1803.06947
Autor:
Fromm, Alexander, Imkeller, Peter
We consider the utility maximization problem for a general class of utility functions defined on the real line. We rely on existing results which reduce the problem to a coupled forward-backward stochastic differential equation (FBSDE) and concentrat
Externí odkaz:
http://arxiv.org/abs/1711.06033
We formulate a notion of doubly reflected BSDE in the case where the barriers $\xi$ and $\zeta$ do not satisfy any regularity assumption and with a general filtration. Under a technical assumption (a Mokobodzki-type condition), we show existence and
Externí odkaz:
http://arxiv.org/abs/1704.00625
We consider the optimal stopping problem with non-linear $f$-expectation (induced by a BSDE) without making any regularity assumptions on the reward process $\xi$. and with general filtration. We show that the value family can be aggregated by an opt
Externí odkaz:
http://arxiv.org/abs/1611.09179
Autor:
Berner, Judith, Achatz, Ulrich, Batte, Lauriane, Bengtsson, Lisa, De La Camara, Alvaro, Crommelin, Daan, Christensen, Hannah, Colangeli, Matteo, Dolaptchiev, Stamen, Franzke, Christian L. E., Friederichs, Petra, Imkeller, Peter, Jarvinen, Heikki, Juricke, Stephan, Kitsios, Vassili, Lott, Franois, Lucarini, Valerio, Mahajan, Salil, Palmer, Timothy N., Penland, Cecile, Von Storch, Jin-Song, Sakradzija, Mirjana, Weniger, Michael, Weisheimer, Antje, Williams, Paul D., Yano, Jun-Ichi
The last decade has seen the success of stochastic parameterizations in short-term, medium-range and seasonal forecasts: operational weather centers now routinely use stochastic parameterization schemes to better represent model inadequacy and improv
Externí odkaz:
http://arxiv.org/abs/1510.08682