In this paper, we study convex risk measures with weak optimal transport penalties. In a first
step, we show that these risk measures allow for an explicit representation via a nonlinear …

We study semigroups of convex monotone operators on spaces of continuous functions and
their behaviour with respect to Γ-convergence. In contrast to the linear theory, the domain of …

In this paper, we explore a static setting for the assessment of risk in the context of
mathematical finance and actuarial science that takes into account model uncertainty in the …

In a dynamic framework, we identify a new concept associated with the risk of assessing the
financial exposure by a measure that is not adequate to the actual time horizon of the …

Based on the convergence of their infinitesimal generators in the mixed topology, we
provide a stability result for strongly continuous convex monotone semigroups on spaces of …

We investigate model risk distributionally robust sensitivities for functionals on the
Wasserstein space when the underlying model is constrained to the martingale class and/or …

Based on the Chernoff approximation, we provide a general approximation result for convex
monotone semigroups which are continuous wrt the mixed topology on suitable spaces of …

This article establishes explicit non-asymptotic ergodic bounds in the renormalized
Wasserstein–Kantorovich–Rubinstein (WKR) distance for a viscous energy shell lattice …

We examine nonlinear Kolmogorov partial differential equations (PDEs). Here the nonlinear
part of the PDE comes from its Hamiltonian where one maximizes over all possible drift and …

We examine the sensitivity at the origin of the distributional robust optimization problem in
the context of a model generated by a mean field stochastic differential equation. We adapt …