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.
22039
Ben Goldys, Max Nendel, Michael Röckner PDF
Operator semigroups in the mixed topology and the inifinitesimal description of Markov processes |
22025
Jonas Blessing, Robert Denk, Michael Kupper, Max Nendel PDF
Convex monotone semigroups and their generators with respect to Γ-convergence Project: C7 |
22020
Jodi Dianetti, Giorgio Ferrari, Markus Fischer, Max Nendel PDF
A unifying framework for submodular mean field games |
21039
Michael Kupper, Max Nendel, Sven Fuhrmann PDF
Wasserstein perturbations of Markovian transition semigroups To appear: Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques (2022) |
20080
Felix-Benedikt Liebrich, Max Nendel PDF
Robust Orlicz spaces: observations and caveats To appear: SIAM Journal on Financial Mathematics (2022) |