Marcel Nutz

Available identifiers

zbMath Open nutz.marcelMaRDI QIDQ261916

List of research outcomes

Publication	Date of Publication	Type
Mean Field Contest with Singularity	2024-02-23	Paper
Limits of semistatic trading strategies	2023-09-28	Paper
On the Guyon-Lekeufack Volatility Model	2023-07-03	Paper
Stability of Schrödinger potentials and convergence of Sinkhorn's algorithm	2023-05-10	Paper
Martingale Schrödinger bridges and optimal semistatic portfolios	2022-12-28	Paper
On the Convergence Rate of Sinkhorn's Algorithm	2022-12-12	Paper
Entropic optimal transport: geometry and large deviations	2022-12-08	Paper
Quantitative Stability of Regularized Optimal Transport and Convergence of Sinkhorn's Algorithm	2022-11-18	Paper
Entropic optimal transport: convergence of potentials	2022-10-24	Paper
Martingale Transports and Monge Maps	2022-09-28	Paper
Stability of entropic optimal transport and Schrödinger bridges	2022-08-20	Paper
Climate change adaptation under heterogeneous beliefs	2022-07-15	Paper
The directional optimal transport	2022-05-06	Paper
Fine properties of the optimal Skorokhod embedding problem	2022-03-29	Paper
Reward Design in Risk-Taking Contests	2022-02-15	Paper
Asset pricing with heterogeneous beliefs and illiquidity	2021-03-23	Paper
Conditional optimal stopping: a time-inconsistent optimization	2021-03-18	Paper
Convergence to the mean field game limit: a case study	2020-05-13	Paper
A Mean Field Competition	2020-04-30	Paper
Multiperiod martingale transport	2020-02-24	Paper
Canonical supermartingale couplings	2018-11-08	Paper
ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES	2018-04-13	Paper
A risk-neutral equilibrium leading to uncertain volatility pricing	2018-04-06	Paper
A Mean Field Game of Optimal Stopping	2018-04-05	Paper
Complete duality for martingale optimal transport on the line	2017-11-24	Paper
ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES	2017-10-24	Paper
Bounds for VIX futures given S{\&}P 500 smiles	2017-07-21	Paper
Nonlinear Lévy processes and their characteristics	2016-10-18	Paper
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions	2016-04-15	Paper
UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME	2016-04-14	Paper
Consistent price systems under model uncertainty	2016-03-29	Paper
Optimal stopping under adverse nonlinear expectation and related games	2015-10-20	Paper
Robust superhedging with jumps and diffusion	2015-10-12	Paper
Arbitrage and duality in nondominated discrete-time models	2015-04-27	Paper
Superreplication under model uncertainty in discrete time	2015-02-06	Paper
Martingale inequalities and deterministic counterparts	2015-02-03	Paper
Measurability of semimartingale characteristics with respect to the probability law	2014-09-04	Paper
Stochastic target games with controlled loss	2014-06-13	Paper
Constructing sublinear expectations on path space	2014-04-28	Paper
Superreplication under volatility uncertainty for measurable claims	2014-01-17	Paper
Random \(G\)-expectations	2013-10-25	Paper
POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS	2013-05-14	Paper
Weak Dynamic Programming for Generalized State Constraints	2013-03-19	Paper
The opportunity process for optimal consumption and investment with power utility	2013-01-20	Paper
Superhedging and Dynamic Risk Measures under Volatility Uncertainty	2012-11-29	Paper
A quasi-sure approach to the control of non-Markovian stochastic differential equations	2012-06-22	Paper
Pathwise construction of stochastic integrals	2012-06-22	Paper
Risk aversion asymptotics for power utility maximization	2012-04-26	Paper
The Bellman equation for power utility maximization with semimartingales	2012-04-20	Paper
Weak approximation of \(G\)-expectations	2012-03-05	Paper
Small-Time Asymptotics of Option Prices and First Absolute Moments	2012-01-04	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Marcel Nutz