1 citations · 1 across the 1 of their papers we have counts for
2 papers
math.OC2025
Hopf-Lax approximation for value functions of Lévy optimal control problems
Michael Kupper, Max Nendel, Alessandro Sgarabottolo
In this paper, we investigate stochastic versions of the Hopf-Lax formula which are based on compositions of the Hopf-Lax operator with the transition kernel of a Lévy process taki…
q-fin.MF2024★ 1 cited
Discrete approximation of risk-based prices under volatility uncertainty
Jonas Blessing, Michael Kupper, Alessandro Sgarabottolo
We discuss the asymptotic behaviour of risk-based indifference prices of European contingent claims in discrete-time financial markets under volatility uncertainty as the number of…