Arbitrage and Duality in Nondominated Discrete-Time Models B Bouchard, M Nutz Annals of Applied Probability 25 (2), 823-859, 2015 | 259 | 2015 |
Constructing sublinear expectations on path space M Nutz, R van Handel Stochastic Processes and their Applications 123 (8), 3100-3121, 2013 | 154 | 2013 |
Complete Duality for Martingale Optimal Transport on the Line M Beiglböck, M Nutz, N Touzi Annals of Probability 45 (5), 963-987, 2017 | 150 | 2017 |
Pathwise construction of stochastic integrals M Nutz Electronic Communications in Probability 17 (24), 1-7, 2012 | 126 | 2012 |
Superreplication under Volatility Uncertainty for Measurable Claims A Neufeld, M Nutz Electronic Journal of Probability 18 (48), 1-14, 2013 | 114 | 2013 |
Robust fundamental theorem for continuous processes S Biagini, B Bouchard, C Kardaras, M Nutz Mathematical Finance 27 (4), 963-987, 2017 | 102 | 2017 |
Nonlinear Levy Processes and their Characteristics A Neufeld, M Nutz Transactions of the American Mathematical Society 369 (1), 69-95, 2017 | 101 | 2017 |
Superhedging and dynamic risk measures under volatility uncertainty M Nutz, HM Soner SIAM Journal on Control and Optimization 50 (4), 2065-2089, 2012 | 87 | 2012 |
Optimal stopping under adverse nonlinear expectation and related games M Nutz, J Zhang Annals of Applied Probability 25 (5), 2503--2534, 2015 | 84 | 2015 |
Robust Utility Maximization with Levy Processes A Neufeld, M Nutz Mathematical Finance 28 (1), 82-105, 2018 | 82 | 2018 |
Utility maximization under model uncertainty in discrete time M Nutz Mathematical Finance 26 (2), 252-268, 2016 | 76 | 2016 |
Random G-expectations M Nutz Annals of Applied Probability 23 (5), 1755-1777, 2013 | 74 | 2013 |
A mean field game of optimal stopping M Nutz SIAM Journal on Control and Optimization 62 (2), 1206-1221, 2018 | 73 | 2018 |
Weak dynamic programming for generalized state constraints B Bouchard, M Nutz SIAM Journal on Control and Optimization 50 (6), 3344-3373, 2012 | 71 | 2012 |
Measurability of semimartingale characteristics with respect to the probability law A Neufeld, M Nutz Stochastic Processes and their Applications 124 (11), 3819-3845, 2014 | 64 | 2014 |
Entropic Optimal Transport: Convergence of Potentials M Nutz, J Wiesel Probability Theory and Related Fields 184 (1-2), 401-424, 2022 | 63 | 2022 |
Entropic optimal transport: geometry and large deviations E Bernton, P Ghosal, M Nutz Duke Mathematical Journal 171 (16), 3363-3400, 2022 | 55 | 2022 |
Weak approximation of G-expectations Y Dolinsky, M Nutz, HM Soner Stochastic Processes and their Applications 122 (2), 664-675, 2012 | 55 | 2012 |
Introduction to Entropic Optimal Transport M Nutz Lecture Notes, 2021 | 53 | 2021 |
Small-time asymptotics of option prices and first absolute moments J Muhle-Karbe, M Nutz Journal of Applied Probability 48 (4), 1003-1020, 2011 | 53 | 2011 |