Limits of random walks with distributionally robust transition probabilities

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 Lévy 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 Lévy process.