5 papers
Extreme points of sets of probability measures and -divergences
Gerrit Bauch, Max Nendel, Alessandro Sgarabottolo
In this work, we prove several equivalent characterizations of the extreme points of convex sets of probability measures of the form , where $\mathc…
A Small-Noise Analysis of Controlled Functional Differential Equations with Gaussian Noise
David Criens, Max Nendel
We study small-noise asymptotics for controlled functional differential equations driven by additive Gaussian noise. The Gaussian noise is modeled on an abstract Wiener space, cove…
Optimal Market Making in Prediction Markets
Dominik Feil, Max Nendel
Prediction markets are attracting growing attention as trading volumes rise and their practical relevance increases. To ensure efficient price discovery, liquidity provision become…
Chernoff-Mehler Approximation for Lévy Processes with Drift
Max Nendel
In this paper, we study an approximation scheme for Lévy processes with drift in terms of a representation that is akin to the celebrated Mehler formula for Lévy-Ornstein-Uhlenbeck…
Pasting of Equilibria and Donsker-type Results for Mean Field Games
Jodi Dianetti, Max Nendel, Ludovic Tangpi +1
This paper studies the relation between equilibria in single-period, discrete-time and continuous-time mean field game models. First, for single-period mean field games, we establi…