1 citations · 2 across the 6 of their papers we have counts for
6 papers
An optimal transport foundation for a class of dynamically consistent risk measures
Sven Fuhrmann, Michael Kupper, Max Nendel
We study a class of dynamically consistent risk measures that robustify a time-homogeneous Markovian reference model by allowing for distributional uncertainty in its transition la…
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…
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…
Evolutionary semigroups on path spaces
Robert Denk, Markus Kunze, Michael Kupper
We introduce the concept evolutionary semigroups on path spaces, generalizing the notion of transition semigroups to possibly non-Markovian stochastic processes. We study the basic…
Risk measures based on weak optimal transport
Michael Kupper, Max Nendel, Alessandro Sgarabottolo
In this paper, we study convex risk measures with weak optimal transport penalties. In a first step, we show that these risk measures allow for an explicit representation via a non…
Convergence rates for Chernoff-type approximations of convex monotone semigroups
Jonas Blessing, Lianzi Jiang, Michael Kupper +1
We provide explicit convergence rates for Chernoff-type approximations of convex monotone semigroups which have the form for bounded con…