Project Details
Markovian dynamics under model uncertainty (C07)
Subject Area
Mathematics
Economic Theory
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
International Connection
Canada
Applicant Institution
Universität Bielefeld
Project Head
Professor Dr. Max Nendel