439 citations · 1.3k across the 38 of their papers we have counts for
45 papers
Differentiability of quadratic forward-backward SDEs with rough drift
Peter Imkeller, Rhoss Likibi Pellat, Olivier Menoukeu Pamen
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 t…
Takagi type functions and dynamical systems: the smoothness of the SBR measure and the existence and smoothness of local time
P. Imkeller, O. Menoukeu Pamen, F. Proske
We investigate the occupation measures and local times of Takagi-type functions with roughness parameter , which are Hölder continuous with exponent …
Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure
Peter Imkeller, Olivier Menoukeu Pamen, Goncalo dos Reis +1
We investigate Weierstrass functions with roughness parameter that are Hölder continuous with coefficient Analytical access is provided by an embedd…
Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
Jan Gairing, Peter Imkeller, Radomyra Shevchenko +1
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 Malli…
On the Hausdorff dimension of a 2-dimensional Weierstrass curve
Peter Imkeller, Goncalo dos Reis
We compute the Hausdorff dimension of a two-dimensional Weierstrass function, related to lacunary (Hadamard gap) power series, that has no Lévy area. This is done by interpreting i…
Differentiability of SDEs with drifts of super-linear growth
Peter Imkeller, Gonçalo dos Reis, William Salkeld
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 an…