167 citations · 539 across the 32 of their papers we have counts for
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math.PR2011★ 29 cited
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…
math.PR2011★ 10 cited
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…