Markovian dynamics under model uncertainty (C07)

• Subject Area: Mathematics ; Economic Theory
• Term: since 2022
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 317210226

The project aims to investigate model uncertainty in dynamic settings. On the theoretical side, we aim to develop new solution concepts that are applicable to a wide range of Hamilton-Jacobi-Bellman equations appearing in robust finance and optimal decision problems under uncertainty. Further topics include the weakening of topological assumptions in order to tackle infinite-dimensional situations, the treatment of nonparametric uncertainty, and the development of numerical methods for dynamical systems under model uncertainty in economic and financial applications.

• DFG Programme: Collaborative Research Centres
• Subproject of: SFB 1283: Taming uncertainty and profiting from randomness and low regularity in analysis, stochastics and their applications
• Applicant Institution: Universität Bielefeld
• Project Head: Professor Dr. Max Nendel