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math.PR2023
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…
math.PR2023★ 1 cited
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…