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q-fin.MF2023
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…
math.PR2023★ 1 cited
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…