Jonas Blessing
Nonlinear semigroups and limit theorems for convex expectations
Was |
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Wann |
31.12.2020 von 00:00 bis 00:00 |
Wo | Raum 125, Ernst-Zermelo-Straße 1 |
Termin übernehmen |
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Abstract: Motivated by model uncertainty and stochastic control
problems, we develop a systematic theory for convex monotone
semigroups on spaces of continuous functions. The present approach is
self-contained and does, in particular, not rely on the theory of
viscosity solutions. Instead, we provide a comparison principle for
semigroups related to Hamilton-Jacobi-Bellman equations which uniquely
determines the semigroup by its infinitesimal generator evaluated at
smooth functions. While the statement itself resembles the classical
analogue for linear semigroups, the proof requires the introduction of
several novel analytical concepts such as the Lipschitz set and the
$\Gamma$-generator. Furthermore, starting with a generating family
$(I(t))_{t\geq 0}$ of operators, we show that the limit
$S(t)f:=\lim_{n\to\infty}I(\frac{t}{n})^n f$ defines a semigroup
which is uniquely determined by the time derivative $I’(0)f$ for
smooth functions $f$. We identify explicit conditions for the
generating family that are transferred to the semigroup and can easily
be verified in applications. The abstract results are illustrated by
emphasizing the structural link between approximation schemes for
convex monotone semigroups and law of large numbers and central limit
theorem type results for convex expectations. Furthermore, the limit
can be represented as a stochastic control problem.