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Project C5: Financial equilibria under Knightian uncertainty


Principal Investigator(s)
Shige Peng
Frank Riedel
Visitor(s)
Currently no visitors.

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.


Recent Preprints:

20080 Felix-Benedikt Liebrich, Max Nendel PDF

Robust Orlicz spaces: observations and caveats

Project: C5

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Robust Orlicz spaces: observations and caveats


Authors: Felix-Benedikt Liebrich, Max Nendel Projects: C5
Submission Date: 17.07.2020 Submitter: Giorgio Ferrari
Download: PDF Link: 20080

20063 Max Nendel, Maren Diane Schmeck, Frank Riedel PDF

A Decomposition of General Premium Principles Into Risk and Deviation

Project: C5

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A Decomposition of General Premium Principles Into Risk and Deviation


Authors: Max Nendel, Maren Diane Schmeck, Frank Riedel Projects: C5
Submission Date: 25.06.2020 Submitter: Herbert Dawid
Download: PDF Link: 20063

20051 Annika Kemper, Maren Diane Schmeck, Anna Khripunova-Balci PDF

The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets

Project: C5

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The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets


Authors: Annika Kemper, Maren Diane Schmeck, Anna Khripunova-Balci Projects: C5
Submission Date: 14.05.2020 Submitter: Giorgio Ferrari
Download: PDF Link: 20051

19102 Max Nendel PDF

On nonlinear expectations and markov chains under model uncertainty

Project: C5

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On nonlinear expectations and markov chains under model uncertainty


Authors: Max Nendel Projects: C5
Submission Date: 29.11.2019 Submitter: Giorgio Ferrari
Download: PDF Link: 19102

19095 Hanwu Li, Shige Peng PDF

Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle

Project: C3, C5

To appear: Stochastic Processes and their Applications (2020)

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Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle


Authors: Hanwu Li, Shige Peng Projects: C3, C5
Submission Date: 21.10.2019 Submitter: Giorgio Ferrari
Download: PDF Link: 19095
To appear: Stochastic Processes and their Applications (2020)

19069 Max Nendel PDF

A note on stochastic dominance, uniform integrability, and lattice properties

Project: C5

To appear: Bulletin of the London Mathematical Society (2020)

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A note on stochastic dominance, uniform integrability, and lattice properties


Authors: Max Nendel Projects: C5
Submission Date: 09.09.2019 Submitter: Giorgio Ferrari
Download: PDF Link: 19069
To appear: Bulletin of the London Mathematical Society (2020)

19068 Robert Denk, Michael Kupper, Max Nendel PDF

Convex semigroups on Banach lattices

Project: C5

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Convex semigroups on Banach lattices


Authors: Robert Denk, Michael Kupper, Max Nendel Projects: C5
Submission Date: 05.09.2019 Submitter: Giorgio Ferrari
Download: PDF Link: 19068

19065 Jodi Dianetti, Giorgio Ferrari, Markus Fischer, Max Nendel PDF

Submodular mean field games: existence and approximation of solutions

Project: C4, C5

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Submodular mean field games: existence and approximation of solutions


Authors: Jodi Dianetti, Giorgio Ferrari, Markus Fischer, Max Nendel Projects: C4, C5
Submission Date: 18.08.2019 Submitter: Herbert Dawid
Download: PDF Link: 19065

19030 Max Nendel, Michael Röckner PDF

Upper envelopes of families of Feller semigroups and viscosity solutions to a class of nonlinear Cauchy problems

Project: B1, C5

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Upper envelopes of families of Feller semigroups and viscosity solutions to a class of nonlinear Cauchy problems


Authors: Max Nendel, Michael Röckner Projects: B1, C5
Submission Date: 12.06.2019 Submitter: Giorgio Ferrari
Download: PDF Link: 19030

19004 Robert Denk, Michael Kupper, Max Nendel PDF

A semigroup approach to nonlinear Lévy processes

Project: C5

To appear: Stochastic Processes and their Applications (2020)

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A semigroup approach to nonlinear Lévy processes


Authors: Robert Denk, Michael Kupper, Max Nendel Projects: C5
Submission Date: 08.03.2019 Submitter: Giorgio Ferrari
Download: PDF Link: 19004
To appear: Stochastic Processes and their Applications (2020)



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