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q-fin.MF2022
Robust utility maximization with nonlinear continuous semimartingales
David Criens, Lars Niemann
In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncer…
q-fin.MF2021
A conditional version of the second fundamental theorem of asset pricing in discrete time
Lars Niemann, Thorsten Schmidt
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framewo…