Abstract: Motivated by model uncertainty, we focus on semigroups of convex monotone operators on spaces of continuous functions. In contrast to the linear theory, the domain of the generator is not invariant. In order to overcome this issue, we consider so-called Lipschitz sets which turn out to be a suitable domain for a weaker notion of the generator. This is defined using Gamma-convergence in an appropriate function space. We show that the Gamma-generator uniquely characterizes the nonlinear semigroup. In particular, we obtain that different approximation schemes lead to the same semigroup. As an application of our results, we show that LLN and CLT type results for convex expectations can be systematically obtained by the so-called Chernoff approximation. The talk is based on joint work with Jonas Blessing, Robert Denk and Max Nendel.

Unless otherwise specified, in Term 2 and Term 3, the Stochastic Finance seminar takes place on Wednesdays, starting at 11:00 am. In Term 2, the seminar takes place in Room B2.02 (Chemistry and Science Concourse)Link opens in a new window.

While the seminars will run in person, there is also the possibility to join via MS Teams. If you wish to be added to the respective Team, please contact the seminar organiser Miryana GrigorovaLink opens in a new window.

All are welcome.