2 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.PR2021
Wasserstein perturbations of Markovian transition semigroups
Sven Fuhrmann, Michael Kupper, Max Nendel
In this paper, we deal with a class of time-homogeneous continuous-time Markov processes with transition probabilities bearing a nonparametric uncertainty. The uncertainty is model…