Project C7: Markovian dynamics under model uncertainty

Summary:

The project aims to investigate model uncertainty in dynamic settings. On the theoretical side, we aim to develop new solution concepts that are applicable to a wide range of Hamilton-Jacobi-Bellman equations appearing in robust finance and optimal decision problems under uncertainty. Further topics include the weakening of topological assumptions in order to tackle infinite-dimensional situations, the treatment of nonparametric uncertainty, and the development of numerical methods for dynamical systems under model uncertainty in economic and financial applications.

Recent Preprints: