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Summary:
Knightian uncertainty (or model uncertainty) is by now a major theme in financial economics. The consequences of Knightian uncertainty for financial markets, in particular concerning volatility uncertainty, remain largely unexplored. This project combines the economic theory of general equilibrium under uncertainty and the newly developed stochastic calculus for non-dominated classes of probability measures (G-calculus) to study the consequences for asset markets. As a long-run goal, we aim to explore equilibrium models based on a continuum of locally interacting agents with the help of new results on stochastic partial differential equations.
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21039
Michael Kupper, Max Nendel, Sven Fuhrmann PDF
Wasserstein perturbations of Markovian transition semigroups Published: Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques 59 (2023), 904–932 |
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21032
Julia Eisenberg, Lukas Fabrykowski, Maren Diane Schmeck PDF
Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model Project: C5 Published: Risks 9, no. 4 (2021), Article No. 73 |
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20080
Felix-Benedikt Liebrich, Max Nendel PDF
Robust Orlicz spaces: observations and caveats Published: SIAM Journal on Financial Mathematics 13 (2022), 1344–1378 |
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20063
Max Nendel, Maren Diane Schmeck, Frank Riedel PDF
A Decomposition of General Premium Principles Into Risk and Deviation Project: C5 Published: Insurance: Mathematics and Economics 100 (2021), 193–209 |
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20051
Annika Kemper, Maren Diane Schmeck, Anna Balci PDF
The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets Project: C5 Published: Energy Economics 113, no. 106221 (2022) |
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19108
Robert Denk, Michael Kupper, Max Nendel PDF
Convex monotone semigroups on lattices of continuous functions Project: C5 To appear: Publications of the Research Institute for Mathematical Sciences (2021) |
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19102
Max Nendel PDF
On nonlinear expectations and markov chains under model uncertainty Project: C5 Published: International Journal of Approximate Reasoning 130 (2021), 226–245 |
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19095
Hanwu Li, Shige Peng PDF
Published: Stochastic Processes and their Applications 130, no. 11 (2020), 6556--6579
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Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle |
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19069
Max Nendel PDF
A note on stochastic dominance, uniform integrability, and lattice properties Project: C5 Published: Bulletin of the London Mathematical Society 52, no. 5 (2020), 907--923 Notes: DOI: 10.1112/blms.12371 |
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19068
Robert Denk, Michael Kupper, Max Nendel PDF
Convex semigroups on $L^p$-like spaces Project: C5 Published: Journal of Evolution Equations 21 (2021), 2491–2521 |
