21 citations · 71 across the 20 of their papers we have counts for
4 papers · 1 filter
Martingales and Path-Dependent PDEs via Evolutionary Semigroups
Robert Denk, Markus Kunze, Michael Kupper
In this article, we develop a semigroup-theoretic framework for the analytic characterisation of martingales with path-dependent terminal conditions. Our main result establishes th…
Convex semigroups on -like spaces
Robert Denk, Michael Kupper, Max Nendel
In this paper, we investigate convex semigroups on Banach lattices with order continuous norm, having -spaces in mind as a typical application. We show that the basic results…
A semigroup approach to nonlinear Lévy processes
Robert Denk, Michael Kupper, Max Nendel
We study the relation between Lévy processes under nonlinear expectations, nonlinear semigroups and fully nonlinear PDEs. First, we establish a one-to-one relation between nonlinea…
Kolmogorov type and general extension results for nonlinear expectations
Robert Denk, Michael Kupper, Max Nendel
We provide extension procedures for nonlinear expectations to the space of all bounded measurable functions. We first discuss a maximal extension for convex expectations which have…