25013
Michael Kupper, Max Nendel, Alessandro Sgarabottolo PDF
Hopf-Lax approximation for value functions of Lévy optimal control problems
Project:
C7
To appear: Proceedings of the American Mathematical Society (2025)
X
Hopf-Lax approximation for value functions of Lévy optimal control problems
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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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24090
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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24089
Serena Della Corte, Fabian Fuchs, Richard Kraaij, Max Nendel PDF
A comparison principle based on couplings of partial integro-differential operators
Project:
C7
X
A comparison principle based on couplings of partial integro-differential operators
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24088
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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24047
Corrado De Vecchi, Max Nendel, Jan Streicher PDF
Upper comonotonicity and risk aggregation under dependence uncertainty
Project:
C7
X
Upper comonotonicity and risk aggregation under dependence uncertainty
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23090
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
X
A hypothesis test for the long-term calibration in rating systems with overlapping time windows
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23077
Michael Kupper, Max Nendel, Alessandro Sgarabottolo PDF
Risk measures based on weak optimal transport
Project:
C7
Published: Quantitative Finance 25 (2025), 163–180
X
Risk measures based on weak optimal transport
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23065
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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23035
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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