6 papers
A decomposition of general premium principles into risk and deviation
Max Nendel, Frank Riedel, Maren Diane Schmeck
We provide an axiomatic approach to general premium principles in a probability-free setting that allows for Knightian uncertainty. Every premium principle is the sum of a risk mea…
A note on stochastic dominance and compactness
Max Nendel
In this work, we discuss completeness for the lattice orders of first and second order stochastic dominance. The main results state that, both, first and second order stochastic do…
Submodular Mean Field Games: Existence and Approximation of Solutions
Jodi Dianetti, Giorgio Ferrari, Markus Fischer +1
We study mean field games with scalar It{ô}-type dynamics and costs that are submodular with respect to a suitable order relation on the state and measure space. The submodularity…
Upper envelopes of families of Feller semigroups and viscosity solutions to a class of nonlinear Cauchy problems
Max Nendel, Michael Röckner
In this paper, we consider the (upper) semigroup envelope, i.e. the least upper bound, of a given family of linear Feller semigroups. We explicitly construct the semigroup envelope…
Regularity and asymptotic behaviour for a damped plate-membrane transmission problem
Bienvenido Barraza Martinez, Robert Denk, Jairo Hernandez Monzon +2
We consider a transmission problem where a structurally damped plate equation is coupled with a damped or undamped wave equation by transmission conditions. We show that exponentia…
Markov chains under nonlinear expectation
Max Nendel
In this paper, we consider continuous-time Markov chains with a finite state space under nonlinear expectations. We define so-called Q-operators as an extension of Q-matrices or ra…