20080
Felix-Benedikt Liebrich, Max Nendel PDF
Robust Orlicz spaces: observations and caveats
Project:
C5, C7
Published: SIAM Journal on Financial Mathematics 13 (2022), 1344–1378
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Robust Orlicz spaces: observations and caveats
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21039
Michael Kupper, Max Nendel, Sven Fuhrmann PDF
Wasserstein perturbations of Markovian transition semigroups
Project:
C5, C7
Published: Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques 59 (2023), 904–932
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Wasserstein perturbations of Markovian transition semigroups
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22020
Jodi Dianetti, Giorgio Ferrari, Markus Fischer, Max Nendel PDF
A unifying framework for submodular mean field games
Project:
C4, C5, C7
Published: Mathematics of Operations Research 48 (2023), 1679–1710
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A unifying framework for submodular mean field games
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22025
Jonas Blessing, Robert Denk, Michael Kupper, Max Nendel PDF
Convex monotone semigroups and their generators with respect to $\Gamma$-convergence
Project:
C7
Published: Journal of Functional Analysis 288, no. 8 (2025), Paper No. 110841
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Convex monotone semigroups and their generators with respect to $\Gamma$-convergence
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22039
Ben Goldys, Max Nendel, Michael Röckner PDF
Operator semigroups in the mixed topology and the infinitesimal description of Markov processes
Project:
C5, C7, A5
Published: Journal of Differential Equations 412 (2024), 23–86
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Operator semigroups in the mixed topology and the infinitesimal description of Markov processes
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22062
Max Nendel PDF
Lower semicontinuity of monotone functionals in the mixed topology on $C_b$
Project:
C7
Published: Finance and Stochastics 29 (2025), 261–287
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Lower semicontinuity of monotone functionals in the mixed topology on $C_b$
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22067
Max Nendel, Alessandro Sgarabottolo PDF
A parametric approach to the estimation of convex risk functionals based on Wasserstein distance
Project:
C7
Published: Applied Mathematics and Optimization 93, no. 8 (2025)
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A parametric approach to the estimation of convex risk functionals based on Wasserstein distance
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23007
Max Nendel, Jan Streicher PDF
An axiomatic approach to default risk and model uncertainty in rating systems
Project:
C7
Published: Journal of Mathematical Economics 109 (2023), Article number 102896
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An axiomatic approach to default risk and model uncertainty in rating systems
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23025
Jonas Blessing, Michael Kupper, Max Nendel PDF
Convergence of infinitesimal generators and stability of convex monotone semigroups
Project:
C7
X
Convergence of infinitesimal generators and stability of convex monotone semigroups
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23047
Andrea Monaco, Adamaria Perrotta, Alessandro Sgarabottolo PDF
Assessing swaption portfolios for prepayment risk mitigation: A parametric perspective
Project:
C7
X
Assessing swaption portfolios for prepayment risk mitigation: A parametric perspective
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23060
Michael Kupper, Max Nendel, Alessandro Sgarabottolo PDF
Risk measures based on weak optimal transport
Project:
C7
Published: Quantitative Finance 25 (2025), 163–180
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Risk measures based on weak optimal transport
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23072
Patrick Kurth, Max Nendel, Jan Streicher PDF
A hypothesis test for the long-term calibration in rating systems with overlapping time windows
Project:
C7
Published: Risks 12 (2024), Article number 131
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A hypothesis test for the long-term calibration in rating systems with overlapping time windows
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24036
Corrado De Vecchi, Max Nendel, Jan Streicher PDF
Upper comonotonicity and risk aggregation under dependence uncertainty
Project:
C7
Published: Mathematical Finance 36, no. 1 (2026), 118-139
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Upper comonotonicity and risk aggregation under dependence uncertainty
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24065
Jonas Blessing, Michael Kupper, Alessandro Sgarabottolo PDF
Discrete approximation of risk-based prices under volatility uncertainty
Project:
C7
X
Discrete approximation of risk-based prices under volatility uncertainty
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24066
Serena Della Corte, Fabian Fuchs, Richard Kraaij, Max Nendel PDF
A comparison principle based on couplings of partial integro-differential operators
Project:
C7
To appear: J. Math. Pures Appl. (9) 210 (2026), Paper No. 103872, 54 pp. (2026)
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A comparison principle based on couplings of partial integro-differential operators
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24067
Jodi Dianetti, Max Nendel, Ludovic Tangpi, Shichun Wang PDF
Pasting of equilibria and Donsker-type results for mean field games
Project:
C4, C7
X
Pasting of equilibria and Donsker-type results for mean field games
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25012
Fabian Fuchs, Max Nendel PDF
Existence of viscosity solutions to abstract cauchy problems via nonlinear semingroups
Project:
C7
X
Existence of viscosity solutions to abstract cauchy problems via nonlinear semingroups
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25013
Michael Kupper, Max Nendel, Alessandro Sgarabottolo PDF
Hopf-Lax approximation for value functions of Lévy optimal control problems
Project:
C7
Published: Proc. Amer. Math. Soc. 154 (2026), 243-254
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Hopf-Lax approximation for value functions of Lévy optimal control problems
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