439 citations · 1.3k across the 38 of their papers we have counts for
3 papers · 2 filters
Dimensional reduction in nonlinear filtering: A homogenization approach
Peter Imkeller, N. Sri Namachchivaya, Nicolas Perkowski +1
We propose a homogenized filter for multiscale signals, which allows us to reduce the dimension of the system. We prove that the nonlinear filter converges to our homogenized filte…
The Existence of Dominating Local Martingale Measures
Peter Imkeller, Nicolas Perkowski
We prove that, for locally bounded processes, absence of arbitrage opportunities of the first kind is equivalent to the existence of a dominating local martingale measure. This is…
Forward-backward systems for expected utility maximization
Ulrich Horst, Ying Hu, Peter Imkeller +2
In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with gener…