researcher

P. Imkeller

45 papers hereh-index 385.9k citations195 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position

first author16
middle author20
last author7

Across the 43 of 45 papers where every author was matched, so the position is known.

fields

math.PR36
math.DS3
q-fin.PR3
math.AP1
physics.ao-ph1
q-fin.CP1

identity via Semantic Scholar / OpenAlex

activity

20032022

most citedUtility maximization in incomplete markets

439 citations · 1.3k across the 38 of their papers we have counts for

collaborators

Showing 2017 · math.PRShow all

2 papers · 2 filters

math.PR2017

Utility maximization via decoupling fields

Alexander Fromm, Peter Imkeller

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 fo…

math.PR2017★ 7 cited

Doubly Reflected BSDEs and $E^{f}$ -Dynkin games: beyond the right-continuous case

Miryana Grigorova, Peter Imkeller, Youssef Ouknine +1

We formulate a notion of doubly reflected BSDE in the case where the barriers $ξ$ and $ζ$ do not satisfy any regularity assumption and with a general filtration. Under a technical…

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Data

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.

Utility maximization via decoupling fields

Doubly Reflected BSDEs and Ef-Dynkin games: beyond the right-continuous case

Doubly Reflected BSDEs and $E^{f}$ -Dynkin games: beyond the right-continuous case