English

Limits of random walks with distributionally robust transition probabilities

Probability 2021-04-28 v2 Optimization and Control Mathematical Finance

Abstract

We consider a nonlinear random walk which, in each time step, is free to choose its own transition probability within a neighborhood (w.r.t. Wasserstein distance) of the transition probability of a fixed L\'evy process. In analogy to the classical framework we show that, when passing from discrete to continuous time via a scaling limit, this nonlinear random walk gives rise to a nonlinear semigroup. We explicitly compute the generator of this semigroup and corresponding PDE as a perturbation of the generator of the initial L\'evy process.

Keywords

Cite

@article{arxiv.2007.08815,
  title  = {Limits of random walks with distributionally robust transition probabilities},
  author = {Daniel Bartl and Stephan Eckstein and Michael Kupper},
  journal= {arXiv preprint arXiv:2007.08815},
  year   = {2021}
}

Comments

14 pages, forthcoming in ECP

R2 v1 2026-06-23T17:11:23.514Z