3 citations · 4 across the 7 of their papers we have counts for
5 papers · 1 filter
A stochastic representation theorem for sublinear semigroups with non-local generators
David Criens, Lars Niemann
In this paper we investigate sublinear semigroups whose pointwise generators are given by non-local Hamilton-Jacobi-Bellman operators. Our main result provides a stochastic represe…
Nonlinear Semimartingales and Markov Processes with Jumps
David Criens, Lars Niemann
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a semimartingale with uncertain local characteristics. Here, the differential char…
A class of multidimensional nonlinear diffusions with the Feller property
David Criens, Lars Niemann
In this note we consider a family of nonlinear (conditional) expectations that can be understood as a multidimensional diffusion with uncertain drift and certain volatility. Here,…
Markov selections and Feller properties of nonlinear diffusions
David Criens, Lars Niemann
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a diffusion with uncertain local characteristics. Here, the differential character…
Nonlinear Continuous Semimartingales
David Criens, Lars Niemann
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a continuous semimartingale with uncertain local characteristics. Here, the differ…