9 citations · 26 across the 36 of their papers we have counts for
6 papers · 1 filter
Separating Times for One-Dimensional General Diffusions
David Criens, Mikhail Urusov
The separating time for two probability measures on a filtered space is an extended stopping time which captures the phase transition between equivalence and singularity. More spec…
Stochastic Processes under Parameter Uncertainty
David Criens
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a stochastic process with uncertain parameters. We develop a general framework whi…
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…