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Marcel Nutz
Marcel Nutz
Department of Statistics, Columbia University
在 columbia.edu 的电子邮件经过验证 - 首页
标题
引用次数
引用次数
年份
Arbitrage and Duality in Nondominated Discrete-Time Models
B Bouchard, M Nutz
Annals of Applied Probability 25 (2), 823-859, 2015
2592015
Constructing sublinear expectations on path space
M Nutz, R van Handel
Stochastic Processes and their Applications 123 (8), 3100-3121, 2013
1542013
Complete Duality for Martingale Optimal Transport on the Line
M Beiglböck, M Nutz, N Touzi
Annals of Probability 45 (5), 963-987, 2017
1502017
Pathwise construction of stochastic integrals
M Nutz
Electronic Communications in Probability 17 (24), 1-7, 2012
1262012
Superreplication under Volatility Uncertainty for Measurable Claims
A Neufeld, M Nutz
Electronic Journal of Probability 18 (48), 1-14, 2013
1142013
Robust fundamental theorem for continuous processes
S Biagini, B Bouchard, C Kardaras, M Nutz
Mathematical Finance 27 (4), 963-987, 2017
1022017
Nonlinear Levy Processes and their Characteristics
A Neufeld, M Nutz
Transactions of the American Mathematical Society 369 (1), 69-95, 2017
1012017
Superhedging and dynamic risk measures under volatility uncertainty
M Nutz, HM Soner
SIAM Journal on Control and Optimization 50 (4), 2065-2089, 2012
872012
Optimal stopping under adverse nonlinear expectation and related games
M Nutz, J Zhang
Annals of Applied Probability 25 (5), 2503--2534, 2015
842015
Robust Utility Maximization with Levy Processes
A Neufeld, M Nutz
Mathematical Finance 28 (1), 82-105, 2018
822018
Utility maximization under model uncertainty in discrete time
M Nutz
Mathematical Finance 26 (2), 252-268, 2016
762016
Random G-expectations
M Nutz
Annals of Applied Probability 23 (5), 1755-1777, 2013
742013
A mean field game of optimal stopping
M Nutz
SIAM Journal on Control and Optimization 62 (2), 1206-1221, 2018
732018
Weak dynamic programming for generalized state constraints
B Bouchard, M Nutz
SIAM Journal on Control and Optimization 50 (6), 3344-3373, 2012
712012
Measurability of semimartingale characteristics with respect to the probability law
A Neufeld, M Nutz
Stochastic Processes and their Applications 124 (11), 3819-3845, 2014
642014
Entropic Optimal Transport: Convergence of Potentials
M Nutz, J Wiesel
Probability Theory and Related Fields 184 (1-2), 401-424, 2022
632022
Entropic optimal transport: geometry and large deviations
E Bernton, P Ghosal, M Nutz
Duke Mathematical Journal 171 (16), 3363-3400, 2022
552022
Weak approximation of G-expectations
Y Dolinsky, M Nutz, HM Soner
Stochastic Processes and their Applications 122 (2), 664-675, 2012
552012
Introduction to Entropic Optimal Transport
M Nutz
Lecture Notes, 2021
532021
Small-time asymptotics of option prices and first absolute moments
J Muhle-Karbe, M Nutz
Journal of Applied Probability 48 (4), 1003-1020, 2011
532011
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