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