Markovian dynamics under model uncertainty (C07#)

模型不确定性下的马尔可夫动力学（C07

• 批准号: 496781333
• 金额: --
• 依托单位: Center for Mathematical Economics
• 依托单位国家: 德国
• 项目类别: Collaborative Research Centres
• 资助国家: 德国
• 项目状态: 未结题
• 来源: https://gepris.dfg.de/gepris/projekt/496781333?language=en
• 关键词: Markovian; dynamics; under; model; uncertainty

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.

该项目旨在研究动态环境中的模型不确定性。在理论方面，我们的目标是开发新的解决方案的概念，适用于广泛的汉密尔顿-雅可比-贝尔曼方程出现在稳健的金融和最优决策问题下的不确定性。进一步的主题包括拓扑假设的弱化，以解决无限维的情况下，非参数不确定性的治疗，并在经济和金融应用模型不确定性的动力系统的数值方法的发展。