1 citations · 1 across the 7 of their papers we have counts for
7 papers
Neural operators approximate strongly continuous convex monotone semigroups
Jonas Blessing, Philipp Schmocker, Alessandro Sgarabottolo
We approximate strongly continuous convex monotone semigroups by learning their Chernoff-type one-step operators with neural operators. First, we introduce the general class of so-…
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…
Scaling limits of multi-period distributionally robust optimization problems
Max Nendel, Ariel Neufeld, Kyunghyun Park +1
We examine the scaling limit of multi-period distributionally robust optimization (DRO) problems via a semigroup approach. Each period involves a worst-case maximization over distr…
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…
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…
A parametric approach to the estimation of convex risk functionals based on Wasserstein distance
Max Nendel, Alessandro Sgarabottolo
In this paper, we explore a static setting for the assessment of risk in the context of mathematical finance and actuarial science that takes into account model uncertainty in the…