Nonlinear semimartingales and Markov processes with jumps

DOI10.1007/s00028-024-01046-6MaRDI QIDQ6667648

David Criens, Lars Niemann

Publication date: 20 January 2025

Published in: Journal of Evolution Equations (Search for Journal in Brave)

zbMATH Keywords

viscosity solutionstochastic optimal controlpartial differential equationKnightian uncertaintynonlinear expectationset-valued analysisnonlinear Markov processessublinear expectationsemimartingale characteristicsnonlinear semimartingalessublinear semigroup

Mathematics Subject Classification ID

Semigroups of nonlinear operators (47H20) Set-valued and variational analysis (49J53) Optimal stochastic control (93E20) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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