C7: Markovian dynamics under model uncertainty

Description:

The project aims to investigate model uncertainty in dynamic settings, and to develop new solution concepts for 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 deal with infinite-dimensional state spaces of the considered processes, the treatment of nonparametric uncertainty, and the development of numerical methods for dynamical systems under model uncertainty in economic and financial applications.