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Project C7: Markovian dynamics under model uncertainty


Principal Investigator(s)
Max Nendel
Visitor(s)
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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:

22039 Ben Goldys, Max Nendel, Michael Röckner PDF

Operator semigroups in the mixed topology and the inifinitesimal description of Markov processes

Project: A5, C5, C7

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Operator semigroups in the mixed topology and the inifinitesimal description of Markov processes


Authors: Ben Goldys, Max Nendel, Michael Röckner Projects: A5, C5, C7
Submission Date: 19.04.2022 Submitter: Frank Riedel
Download: PDF Link: 22039

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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Convex monotone semigroups and their generators with respect to Γ-convergence


Authors: Jonas Blessing, Robert Denk, Michael Kupper, Max Nendel Projects: C7
Submission Date: 18.02.2022 Submitter: Frank Riedel
Download: PDF Link: 22025

22020 Jodi Dianetti, Giorgio Ferrari, Markus Fischer, Max Nendel PDF

A unifying framework for submodular mean field games

Project: C4, C5, C7

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A unifying framework for submodular mean field games


Authors: Jodi Dianetti, Giorgio Ferrari, Markus Fischer, Max Nendel Projects: C4, C5, C7
Submission Date: 21.01.2022 Submitter: Herbert Dawid
Download: PDF Link: 22020

21039 Michael Kupper, Max Nendel, Sven Fuhrmann PDF

Wasserstein perturbations of Markovian transition semigroups

Project: C5, C7

To appear: Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques (2022)

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Wasserstein perturbations of Markovian transition semigroups


Authors: Michael Kupper, Max Nendel, Sven Fuhrmann Projects: C5, C7
Submission Date: 14.05.2021 Submitter: Herbert Dawid
Download: PDF Link: 21039
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

Project: C5, C7

To appear: SIAM Journal on Financial Mathematics (2022)

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Robust Orlicz spaces: observations and caveats


Authors: Felix-Benedikt Liebrich, Max Nendel Projects: C5, C7
Submission Date: 17.07.2020 Submitter: Giorgio Ferrari
Download: PDF Link: 20080
To appear: SIAM Journal on Financial Mathematics (2022)



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