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17001
Matteo Burzoni, Frank Riedel, Halil Mete Soner PDF
Viability and Arbitrage under Knightian Uncertainty Project: C5 Published: Econometrica 89, no. 3 (2021), 1207–1234 |
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17028
Patrick Beißner, Frank Riedel PDF
Equilibria under Knightian Price Uncertainty Project: C5 Published: Econometrica 87 (2019), 37–64 |
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17030
Patrick Beißner, Frank Riedel PDF
Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty Project: C5 Published: Finance and Stochastics 22 (2018), 603–620
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Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty |
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18037
Bienvenido Barraza Martínez, Robert Denk, Jairo Hernández Monzón, Felix Kammerlander, Max Nendel PDF
Regularity and asymptotic behaviour for a damped plate-membrane transmission problem Project: C5 Published: Journal of Mathematical Analysis and Applications 474 (2019), 1082–1103 |
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18038
Max Nendel PDF
Markov chains under nonlinear expectation Project: C5 Published: Mathematical Finance 31 (2021), 474–507 Notes: DOI:10.1111/mafi.12289 |
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19004
Robert Denk, Michael Kupper, Max Nendel PDF
A semigroup approach to nonlinear Lévy processes Project: C5 Published: Stochastic Processes and their Applications 130, no. 3 (2020), 1616–1642 |
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19030
Max Nendel, Michael Röckner PDF
Published: SIAM Journal of Control and Optimization 59, no. 6 (2021), 4400-4428 Notes: https://doi.org/10.1137/20M1314823
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Upper envelopes of families of Feller semigroups and viscosity solutions to a class of nonlinear Cauchy problems |
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19065
Jodi Dianetti, Giorgio Ferrari, Markus Fischer, Max Nendel PDF
Submodular mean field games: existence and approximation of solutions Published: Ann. Appl. Probab. 31, no. 6 (2021), 2538–2566 Notes: DOI: 10.1214/20-AAP1655 |
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19068
Robert Denk, Michael Kupper, Max Nendel PDF
Convex semigroups on $L^p$-like spaces Project: C5 Published: Journal of Evolution Equations 21 (2021), 2491–2521 |
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19069
Max Nendel PDF
A note on stochastic dominance, uniform integrability, and lattice properties Project: C5 Published: Bulletin of the London Mathematical Society 52, no. 5 (2020), 907--923 Notes: DOI: 10.1112/blms.12371 |
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19095
Hanwu Li, Shige Peng PDF
Published: Stochastic Processes and their Applications 130, no. 11 (2020), 6556--6579
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Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle |
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19102
Max Nendel PDF
On nonlinear expectations and markov chains under model uncertainty Project: C5 Published: International Journal of Approximate Reasoning 130 (2021), 226–245 |
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19108
Robert Denk, Michael Kupper, Max Nendel PDF
Convex monotone semigroups on lattices of continuous functions Project: C5 To appear: Publications of the Research Institute for Mathematical Sciences (2021) |
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20051
Annika Kemper, Maren Diane Schmeck, Anna Balci PDF
The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets Project: C5 Published: Energy Economics 113, no. 106221 (2022) |
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20063
Max Nendel, Maren Diane Schmeck, Frank Riedel PDF
A Decomposition of General Premium Principles Into Risk and Deviation Project: C5 Published: Insurance: Mathematics and Economics 100 (2021), 193–209 |
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20080
Felix-Benedikt Liebrich, Max Nendel PDF
Robust Orlicz spaces: observations and caveats Published: SIAM Journal on Financial Mathematics 13 (2022), 1344–1378 |
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21032
Julia Eisenberg, Lukas Fabrykowski, Maren Diane Schmeck PDF
Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model Project: C5 Published: Risks 9, no. 4 (2021), Article No. 73 |
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21039
Michael Kupper, Max Nendel, Sven Fuhrmann PDF
Wasserstein perturbations of Markovian transition semigroups Published: Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques 59 (2023), 904–932 |
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22020
Jodi Dianetti, Giorgio Ferrari, Markus Fischer, Max Nendel PDF
A unifying framework for submodular mean field games Published: Mathematics of Operations Research 48 (2023), 1679–1710 |
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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 Published: Journal of Differential Equations 412 (2024), 23–86 |
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22043
Patrick Beißner, Jan Werner PDF
Optimal allocations with $\alpha$-maxmin utilities, Choquet expected utilities, and prospect theory Project: C5 Published: Theor. Econ. 18 (2023), 993–1022
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Optimal allocations with $\alpha$-maxmin utilities, Choquet expected utilities, and prospect theory |
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23015
René Aid, Annika Kemper, Nizar Touzi PDF
A principal-agent framework for optimal incentives in renewable investments Project: C5 Published: International Journal of Theoretical and Applied Finance (2025) |
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23020
Annika Kemper, Maren Diane Schmeck PDF
Project: C5 Published: Mathematics and Financial Economics (2025), 1 - 35
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The market price of jump risk for delivery periods: Pricing of electricity swaps with geometric averaging |
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23052
Lasse Mononen PDF
Project: C5
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Expected utility without linearity: Distinguishing between prospect theory and cumulative prospect theory |
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23069
Lasse Mononen PDF
Observable interpersonal utility comparisons Project: C5 To appear: Social Choice and Welfare (2025) Notes: https://doi.org/10.1007/s00355-025-01584-z |
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24014
Jodi Dianetti, Frank Riedel, Lorenzo Maria Stanca PDF
Optimal consumption and investment under relative performance criteria with Epstein-Zin utility |
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24015
Lasse Mononen PDF
Dynamically consistent intertemporal dual-self expected utility Project: C5 |
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24016
Lasse Mononen PDF
Dynamically consistent intergenerational welfare Project: C5 |
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24020
Lasse Mononen PDF
The empirical content of expected utility Project: C5 |
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24031
Lasse Mononen PDF
State Dependent Utility and Ambiguity Project: C5 |
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24078
Émy Lecuyer, Frank Riedel, Lorenzo Stanca PDF
Arbitrage pricing in convex, cash-additive markets Project: C5 |
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25016
Patrick Beißner, Frank Riedel PDF
Belief-neutral efficiency in financial markets Project: C5 |
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25024
Lasse Mononen PDF
On preference for simplicity and probability weighting Project: C5 |
