3 citations · 4 across the 7 of their papers we have counts for
4 papers · 1 filter
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…
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…