439 citations · 1.3k across the 38 of their papers we have counts for
4 papers · 2 filters
First exit times for Lévy-driven diffusions with exponentially light jumps
Peter Imkeller, Ilya Pavlyukevich, Torsten Wetzel
We consider a dynamical system described by the differential equation with a unique stable point at the origin. We perturb the system by the Lévy noise of inte…
On measure solutions of backward stochastic differential equations
Stefan Ankirchner, Peter Imkeller, Alexandre Popier
We consider backward stochastic differential equations (BSDE) with nonlinear generators typically of quadratic growth in the control variable. A measure solution of such a BSDE wil…
Global flows for stochastic differential equations without global Lipschitz conditions
Shizan Fang, Peter Imkeller, Tusheng Zhang
We consider stochastic differential equations driven by Wiener processes. The vector fields are supposed to satisfy only local Lipschitz conditions. The Lipschitz constants of the…
Classical and Variational Differentiability of BSDEs with quadratic growth
Stefan Ankirchner, Peter Imkeller, Goncalo Dos Reis
We consider Backward Stochastic Differential Equations (BSDE) with generators that grow quadratically in the control variable. In a more abstract setting, we first allow both the t…