
Prof. Dr. Michael Kupper
I am a professor for Stochastics and Financial Mathematics at the University of Konstanz.
Click here for my Curriculum vitae.
Most of my preprints can be found on arXiv and google scholar.
Preprints
- Convergence of infinitesimal generators and stability of convex monotone semigroups
with Jonas Blessing and Max Nendel
- Nonlinear semigroups and limit theorems for convex expectations
with Jonas Blessing
- Convex monotone semigroups and their generators with respect to Γ-convergence
with Jonas Blessing, Robert Denk and Max Nendel
- Stochastic order-monotone uncertainty-averse preferences
with Patrick Cheridito, Freddy Delbaen and Samuel Drapeau
Publications
- Weakly maxitive set functions and their possibility distributions
with José Miguel Zapata García
Fuzzy Sets and Systems, 2023+.
- Wasserstein perturbations of Markovian transition semigroups
with Sven Fuhrmann and Max Nendel
Annales de l’Institut Henri Poincare (B), 2022+.
- Viscous Hamilton-Jacobi equations in exponential Orlicz hearts
with Jonas Blessing
Journal de Mathématiques Pures et Appliquées, 163:654-672, 2022.
- Nonlinear semigroups built on generating families and their Lipschitz sets
with Jonas Blessing
Potential Analysis, 2022+.
- Convex monotone semigroups on lattices of continuous functions
with Robert Denk and Max Nendel
Publications of the Research Institute for Mathematical Sciences, 2021+.
- Marginal and dependence uncertainty: bounds, optimal transport and sharpness
with Daniel Bartl, Thibaut Lux and Antonis Papapantoleon
SIAM Journal on Control and Optimization, 60(1):410-434, 2022.
- Limits of random walks with distributionally robust transition probabilities
with Daniel Bartl and Stephan Eckstein
Electronic Communications in Probability, 26:1-13, 2021.
- Duality theory for robust utility maximization
with Daniel Bartl and Ariel Neufeld
Finance and Stochastics, 25(3):469-503, 2021.
- Representation of increasing convex functionals with countably additive measures
with Patrick Cheridito and Ludovic Tangpi
Studia Mathematica, 260(2):121-140, 2021.
- Convex semigroups on Lp-like spaces
with Robert Denk and Max Nendel
Journal of Evolution Equations, 21(2):2491-2521, 2021.
- Large deviations built on max-stability
with José Miguel Zapata García
Bernoulli, 27(2):1001-1027, 2021.
- Martingale transport with homogeneous stock movements
with Stephan Eckstein
Quantitative Finance, 21(2):271-280, 2021.
- Robust risk aggregation with neural networks
with Stephan Eckstein and Mathias Pohl
Mathematical Finance, 30(4):1229-1272, 2020.
- Parameter-dependent stochastic optimal control in finite discrete time
with Asgar Jamneshan and José Miguel Zapata García
Journal of Optimization Theory and Applications, 186:644-666, 2020.
- Stochastic integration and differential equations for typical paths
with Daniel Bartl and Ariel Neufeld
Electronic Journal of Probability, 24(97):1-21, 2019.
- Pathwise superhedging on prediction sets
with Daniel Bartl and Ariel Neufeld
Finance and Stochastics, 24(1):215-248, 2020.
- A semigroup approach to nonlinear Lévy processes
with Robert Denk and Max Nendel
Stochastic Processes and their Applications, 130:1616-1642, 2020.
- Duality for pathwise superhedging in continuous time
with Daniel Bartl, David Prömel and Ludovic Tangpi
Finance and Stochastics, 23(3):697-728, 2019.
- Computation of optimal transport and related hedging problems via penalization and neural networks
with Stephan Eckstein
Applied Mathematics and Optimization, 83(2):639-667, 2021.
- Robust expected utility maximization with medial limits
with Daniel Bartl and Patrick Cheridito
Journal of Mathematical Analysis and Applications, 471(1-2):752-775, 2019.
- A pointwise bipolar theorem
with Daniel Bartl
Proceedings of the American Mathematical Society, 147(4):1483-1495, 2019.
- A Fenchel-Moreau theorem for L0-valued functions
with Samuel Drapeau and Asgar Jamneshan
Journal of Convex Analysis, 26(2):593-603, 2019.
- Multidimensional Markov FBSDEs with superquadratic growth
with Peng Luo and Ludovic Tangpi
Stochastic Processes and their Applications, 129:902-923, 2019.
- Measures and integrals in conditional set theory
with Asgar Jamneshan and Martin Streckfuß
Set-Valued and Variational Analysis, 26(4):947-927, 2018.
- Multidimensional quadratic BSDEs with separated generators
with Asgar Jamneshan and Peng Luo
Electronic Communications in Probability, 22(58):1-10, 2017.
- Kolmogorov type and general extension results for nonlinear expectations
with Robert Denk and Max Nendel
Banach Journal of Mathematical Analysis, 12:515-540, 2018.
- Duality formulas for robust pricing and hedging in discrete time
with Patrick Cheridito and Ludovic Tangpi
SIAM Journal of Financial Mathematics, 8(1):738-765, 2017.
- An equilibrium model for spot and forward prices of commodities
with Michail Anthropelos and Antonis Papapantoleon
Mathematics of Operations Research. 43:152-180, 2018.
- Conditional Lp-spaces and the duality of modules over f-algebras
with Simone Cerreia-Vioglio, Fabio Maccheroni, Massimo Marinacci and Nicolas Vogelpoth
Journal of Mathematical Analysis and Applications, 444(2):1045-1070, 2016.
- Duality for increasing convex functionals with countably many marginal constraints
with Daniel Bartl, Patrick Cheridito and Ludovic Tangpi
Banach Journal of Mathematical Analysis, 11(1):72–89, 2017.
- The algebra of conditional sets and the concepts of conditional topology and compactness
with Samuel Drapeau, Asgar Jamneshan, and Martin Karliczek
Journal of Mathematical Analysis and Applications, 437(1):561–589, 2016.
- Asymptotically stable dynamic risk assessments
with Karl-Theodor Eisele
Statistics & Risk Modeling, 33(1-2):41-50, 2016.
- Complete duality for quasiconvex and convex set-valued functions
with Samuel Drapeau and Andreas Hamel
Set-Valued and Variational Analysis, 24(2):253-275, 2016.
- Portfolio optimization under nonlinear utility
with Gregor Heyne and Ludovic Tangpi
International Journal of Theoretical and Applied Finance, 19(5):1650029, 2016.
- Minimal supersolutions of convex BSDEs under constraints
with Gregor Heyne, Christoph Mainberger and Ludovic Tangpi
ESAIM: Probability and Statistics, 20:178-195, 2016.
- Minimal supersolutions of BSDEs under volatility uncertainty
with Samuel Drapeau and Gregor Heyne
Stochastic Processes and their Applications, 125(8):2895-2909, 2015.
- Equilibrium pricing in incomplete markets under translation invariant preferences
with Patrick Cheridito, Ulrich Horst and Traian Pirvu
Mathematics of Operations Research, 41(1):174–195, 2016.
- Dual representation of minimal supersolutions of convex BSDEs
with Samuel Drapeau, Emanuela Rosazza Gianin and Ludovic Tangpi
Annales de l’Institut Henri Poincare (B), 52(2):868-887, 2016.
- Conditional analysis on Rd
with Patrick Cheridito and Nicolas Vogelpoth
Set Optimization and Applications - State of the Art, Springer Proceedings in Mathematics & Statistics,151:179-211, 2015.
- A Fourier approach to the computation of CVAR and optimized certainty equivalents
with Samuel Drapeau and Antonis Papapantoleon
The Journal of Risk, 16(6):329, 2014.
- Brouwer fixed point theorem in (L0)d
with Samuel Drapeau, Martin Karliczek and Martin Streckfuß
Fixed Point Theory and Applications, 2013:301, 2013.
- Continuous equilibrium in affine and information-based capital asset pricing models with Ulrich Horst and Andrea Macrina and Christoph Mainberger
Annals of Finance, 9(4), 2013.
- Minimal supersolutions of BSDEs with lower semicontinuous generators
with Gregor Heyne and Christoph Mainberger
Annales de l'Institut Henri Poincare (B), 50(2), 2014.
- Risk preferences and their robust representation
with Samuel Drapeau
Mathematics of Operations Research, 38(1):28-62, 2013.
- Minimal supersolutions of convex BSDEs
with Samuel Drapeau and Gregor Heyne
Annals of Probability, 41(6):3697-4427, 2013.
- Approaches to conditional risk
with Damir Filipovic and Nicolas Vogelpoth
SIAM Journal of Financial Mathematics, 3(1):402-432, 2012.
- Weak closedness of monotone sets of lotteries and robust representation of risk preferences
with Patrick Cheridito and Samuel Drapeau
Risk Measures and Attitudes, European Actuarial Academy (EAA) Series, Springer, 2013.
- Dual representation of monotone convex functions on L0
with Gregor Svindland
Proceedings of the American Mathematical Society, 139(11):4073-4086, 2011.
- A von Neumann-Morgenstern representation result without weak continuity assumption
with Freddy Delbaen and Samuel Drapeau
Journal of Mathematical Economics, 47:401-408, 2011.
- A note on robust representations of law-invariant quasiconvex functions
with Samuel Drapeau and Ranja Reda
Advances in Mathematical Economics, 15:27-39, 2011.
- Representation results for law invariant time consistent functions
with Walter Schachermayer
Mathematics and Financial Economics, 2(3):189-210, 2009.
- Separation and duality in locally L0-convex modules
with Damir Filipovic and Nicolas Vogelpoth
Journal of Functional Analysis, 256:3996-4029, 2009.
- Recursivity of indifference prices and translation-invariant preferences
with Patrick Cheridito
Mathematics and Financial Economics, 2(3), 2009.
- Composition of time-consistent dynamic monetary risk measures in discrete time
with Patrick Cheridito
International Journal of Theoretical and Applied Finance, 14(1):137-162, 2011.
- On a class of law invariant convex risk measures
with Gilles Angelsberg, Freddy Delbaen, Ivo Kaelin, Joachim Naef
Finance and Stochastics, 15(2):343-363, 2011.
- Equilibrium prices for monetary utility functions
with Damir Filipovic
International Journal of Theoretical and Applied Finance, 11:325-343, 2008.
- Optimal capital and risk transfers for group diversification
with Damir Filipovic
Mathematical Finance, 8(1), 2008.
- On the group level Swiss solvency test
with Damir Filipovic
Bulletin of the Swiss Association of Actuaries, 1:97-115, 2007.
- Monotone and cash-invariant convex functions and hulls
with Damir Filipovic
Insurance: Mathematics and Economics, 41:1-16, 2007.
- Dynamic monetary risk measures for bounded discrete-time processes
with Patrick Cheridito and Freddy Delbaen
Electronic Journal of Probability, 11, 2006.
- Coherent and convex monetary risk measures for unbounded cadlag processes
with Patrick Cheridito and Freddy Delbaen
Finance and Stochastics, 9(3), 2005.
- Coherent and convex risk measures for bounded cadlag processes
with Patrick Cheridito and Freddy Delbaen
Stochastic Processes and their Applications, 112(1):1-22, 2004.
Working Papers
- Stability of closed convex hulls and minimal supersolutions of convex BSDEs
with Henner Gerdes and Gregor Heyne
- Complete L0-normed modules and automatic continuity of monotone convex functions
with Nicolas Vogelpoth
- Divergence utilities
with Alexander Cherny