3 papers
q-fin.MF2026
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…
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 tak…
math.FA2025
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…