1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.PR2023
A stochastic representation theorem for sublinear semigroups with non-local generators
David Criens, Lars Niemann
In this paper we investigate sublinear semigroups whose pointwise generators are given by non-local Hamilton-Jacobi-Bellman operators. Our main result provides a stochastic represe…
math.PR2023★ 1 cited
Nonlinear Semimartingales and Markov Processes with Jumps
David Criens, Lars Niemann
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a semimartingale with uncertain local characteristics. Here, the differential char…
math.AP2023
A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs
David Criens
We establish a convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs. Our proof is based on a novel convergence theorem for dyna…