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  • Search: subject:"fully nonlinear PDE"
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Year of publication
Subject
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fully nonlinear PDE 6 Nisio semigroup 4 Nichtlineare Regression 3 Nonlinear regression 3 Convex semigroup 2 Feller process 2 Hamilton-Jacobi-Bellman equations 2 Lévy process 2 Markovian convolution semigroup 2 Stochastic process 2 Stochastischer Prozess 2 Theorie 2 Theory 2 convex expectation space 2 nonlinear Cauchy problem 2 nonlinear expectation 2 viscosity solution 2 well-posedness and uniqueness 2 Finanzmathematik 1 Markov chain 1 Markov-Kette 1 Mathematical finance 1 Mathematical programming 1 Mathematische Optimierung 1 Nichtlineare Optimierung 1 Nonlinear programming 1 Option pricing theory 1 Optionspreistheorie 1
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Online availability
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Free 6
Type of publication
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Book / Working Paper 6
Type of publication (narrower categories)
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Working Paper 6 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3
Language
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English 6
Author
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Nendel, Max 6 Denk, Robert 4 Kupper, Michael 4 Röckner, Michael 2
Published in...
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Center for Mathematical Economics Working Papers 3 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 3
Source
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ECONIS (ZBW) 3 EconStor 3
Showing 1 - 6 of 6
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A semigroup approach to nonlinear Lévy processes
Denk, Robert; Kupper, Michael; Nendel, Max - 2019
viscosity solution of the fully nonlinear PDE ∂tu=supλ∈ΛAλu. The results are illustrated with several examples. …
Persistent link: https://www.econbiz.de/10012042149
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Upper envelopes of families of feller semigroups and viscosity solutions to a class of nonlinear cauchy problems
Nendel, Max; Röckner, Michael - 2019
In this paper we construct the smallest semigroup S that dominates a given family of linear Feller semigroups. The semigroup S will be referred to as the semigroup envelope or Nisio semigroup. In a second step we investigate strong continuity properties of the semigroup envelope and show that it...
Persistent link: https://www.econbiz.de/10012042157
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Convex semigroups on Banach lattices
Denk, Robert; Kupper, Michael; Nendel, Max - 2019
In this paper, we investigate convex semigroups on Banach lattices. First, we consider the case, where the Banach lattice is σ-Dedekind complete and satisfies a monotone convergence property, having Lp-spaces in mind as a typical application. Second, we consider monotone convex semigroups on a...
Persistent link: https://www.econbiz.de/10012388839
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Cover Image
A semigroup approach to nonlinear Lévy processes
Denk, Robert; Kupper, Michael; Nendel, Max - 2019
viscosity solution of the fully nonlinear PDE ∂tu=supλ∈ΛAλu. The results are illustrated with several examples. …
Persistent link: https://www.econbiz.de/10012009874
Saved in:
Cover Image
Upper envelopes of families of feller semigroups and viscosity solutions to a class of nonlinear cauchy problems
Nendel, Max; Röckner, Michael - 2019
In this paper we construct the smallest semigroup S that dominates a given family of linear Feller semigroups. The semigroup S will be referred to as the semigroup envelope or Nisio semigroup. In a second step we investigate strong continuity properties of the semigroup envelope and show that it...
Persistent link: https://www.econbiz.de/10012016106
Saved in:
Cover Image
Convex semigroups on Banach lattices
Denk, Robert; Kupper, Michael; Nendel, Max - 2019
In this paper, we investigate convex semigroups on Banach lattices. First, we consider the case, where the Banach lattice is σ-Dedekind complete and satisfies a monotone convergence property, having Lp-spaces in mind as a typical application. Second, we consider monotone convex semigroups on a...
Persistent link: https://www.econbiz.de/10012062770
Saved in:
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