11 papers
A Small-Noise Analysis of Controlled Functional Differential Equations with Gaussian Noise
David Criens, Max Nendel
We study small-noise asymptotics for controlled functional differential equations driven by additive Gaussian noise. The Gaussian noise is modeled on an abstract Wiener space, cove…
Risk-sensitive exit-time control for stochastic differential equations with path-dependent coefficients
David Criens, Fabian Fuchs
In this work, we study small-noise asymptotics of risk-sensitive exit-time control problems governed by stochastic differential equations with path-dependent coefficients. Our main…
Set-valued propagation of chaos for controlled path-dependent McKean-Vlasov SPDEs
David Criens, Moritz Ritter
We develop a limit theory for controlled path-dependent mean field stochastic partial differential equations (SPDEs) within the semigroup approach of Da Prato and Zabczyk. More pre…
A limit theory for controlled McKean-Vlasov SPDEs
David Criens
We develop a limit theory for controlled mean field stochastic partial differential equations in a variational framework. More precisely, we prove existence results for mean field…
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…
On the structure of increasing profits in a 1D general diffusion market with interest rates
Alexis Anagnostakis, David Criens, Mikhail Urusov
In this paper, we investigate a financial market model consisting of a risky asset, modeled as a general diffusion parameterized by a scale function and a speed measure, and a bank…