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math.OC2025
Representation Theorems for Convex Expectations and Semigroups on Path Space
David Criens, Michael Kupper
The objective of this paper is to investigate the connection between penalty functions from stochastic optimal control, convex semigroups from analysis and convex expectations from…
math.OC2025
Asymptotic Optimality in Data-Driven Decision Making
Radek SalaÄ, Michael Kupper, Tobias Sutter
Given data generated by an observable stochastic process, we study how to construct statistically optimal decisions for general stochastic optimization problems. Our setting encomp…