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math.PR2022
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,…
math.PR2022★ 3 cited
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…
math.PR2022
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…