2 papers
math.NA2026
Numerical method for nonlinear Kolmogorov PDEs via sensitivity analysis
Daniel Bartl, Ariel Neufeld, Kyunghyun Park
We examine nonlinear Kolmogorov partial differential equations (PDEs). Here the nonlinear part of the PDE comes from its Hamiltonian where one maximizes over all possible drift and…
math.OC2025
Sensitivity of robust optimization problems under drift and volatility uncertainty
Daniel Bartl, Ariel Neufeld, Kyunghyun Park
We examine optimization problems in which an investor has the opportunity to trade in stocks with the goal of maximizing her worst-case cost of cumulative gains and losses. Her…