1 citations · 1 across the 7 of their papers we have counts for
Showing math.OCShow all
2 papers · 1 filter
math.OC2025
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…
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…