3 papers
math.OC2025
Asymptotic Optimality in Data-Driven Decision Making
Radek Salač, Michael Kupper, Tobias Sutter
Given data generated by an observable stochastic process, we study how to construct statistically optimal decisions for general stochastic optimization problems. Our setting encomp…
math.PR2025
Martingales and Path-Dependent PDEs via Evolutionary Semigroups
Robert Denk, Markus Kunze, Michael Kupper
In this article, we develop a semigroup-theoretic framework for the analytic characterisation of martingales with path-dependent terminal conditions. Our main result establishes th…
math.OC2025
Representation Theorems for Convex Expectations and Semigroups on Path Space
David Criens, Michael Kupper
The objective of this paper is to investigate the connection between penalty functions from stochastic optimal control, convex semigroups from analysis and convex expectations from…