Michael Kupper

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

• 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 R^d 
  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