pith. sign in

Marcel Nutz

Identifiers

  • name variant Marcel Nutz 0.60 · backfill

Papers (40)

  1. Stability of Quadratically Regularized Optimal Transport math.OC · 2026 · author #2
  2. Polyak-Lojasiewicz Inequality for Quadratically Regularized Optimal Transport math.OC · 2026 · author #2
  3. Entropic regularization of Monge's problem math.OC · 2026 · author #1
  4. Linear Convergence of Gradient Descent for Quadratically Regularized Optimal Transport math.OC · 2025 · author #2
  5. Randomization in Optimal Execution Games q-fin.TR · 2025 · author #2
  6. Optimal Execution among $N$ Traders with Transient Price Impact q-fin.TR · 2025 · author #2
  7. Convergence to the Mean Field Game Limit: A Case Study math.OC · 2018 · author #1
  8. A Mean Field Competition math.OC · 2017 · author #1
  9. Multiperiod Martingale Transport math.PR · 2017 · author #1
  10. A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing q-fin.MF · 2016 · author #2
  11. Bounds for VIX Futures given S&P 500 Smiles q-fin.PR · 2016 · author #3
  12. Canonical Supermartingale Couplings math.PR · 2016 · author #1
  13. A Mean Field Game of Optimal Stopping math.OC · 2016 · author #1
  14. Complete Duality for Martingale Optimal Transport on the Line math.PR · 2015 · author #2
  15. Robust Utility Maximization with L\'evy Processes q-fin.MF · 2015 · author #2
  16. Robust Fundamental Theorem for Continuous Processes q-fin.MF · 2014 · author #4
  17. Consistent Price Systems under Model Uncertainty q-fin.MF · 2014 · author #2
  18. Robust Superhedging with Jumps and Diffusion q-fin.MF · 2014 · author #1
  19. Nonlinear L\'evy Processes and their Characteristics math.PR · 2014 · author #2
  20. Martingale Inequalities and Deterministic Counterparts math.PR · 2014 · author #2
  21. Measurability of Semimartingale Characteristics with Respect to the Probability Law math.PR · 2013 · author #2
  22. Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions math.PR · 2013 · author #3
  23. Utility Maximization under Model Uncertainty in Discrete Time q-fin.PM · 2013 · author #1
  24. Arbitrage and duality in nondominated discrete-time models q-fin.GN · 2013 · author #2
  25. Superreplication under Model Uncertainty in Discrete Time q-fin.PR · 2013 · author #1
  26. Optimal stopping under adverse nonlinear expectation and related games math.OC · 2012 · author #1
  27. Superreplication under Volatility Uncertainty for Measurable Claims q-fin.PR · 2012 · author #2
  28. Stochastic target games with controlled loss math.OC · 2012 · author #3
  29. Constructing Sublinear Expectations on Path Space math.PR · 2012 · author #1
  30. Pathwise Construction of Stochastic Integrals math.PR · 2011 · author #1
  31. A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations math.PR · 2011 · author #1
  32. Weak Dynamic Programming for Generalized State Constraints math.OC · 2011 · author #2
  33. Weak Approximation of G-Expectations math.PR · 2011 · author #2
  34. Superhedging and Dynamic Risk Measures under Volatility Uncertainty q-fin.RM · 2010 · author #1
  35. Random G-expectations math.PR · 2010 · author #1
  36. Small-Time Asymptotics of Option Prices and First Absolute Moments q-fin.PR · 2010 · author #2
  37. Risk Aversion Asymptotics for Power Utility Maximization q-fin.PM · 2010 · author #1
  38. Power Utility Maximization in Constrained Exponential L\'evy Models q-fin.PM · 2009 · author #1
  39. The Bellman equation for power utility maximization with semimartingales q-fin.PM · 2009 · author #1
  40. The Opportunity Process for Optimal Consumption and Investment with Power Utility q-fin.PM · 2009 · author #1

Mentions

  • 1410.4962 #4 · backfill · confidence 0.70 Marcel Nutz
  • 1408.5510 #2 · backfill · confidence 0.70 Marcel Nutz
  • 1407.1674 #1 · backfill · confidence 0.70 Marcel Nutz
  • 1401.7253 #2 · backfill · confidence 0.70 Marcel Nutz
  • 1401.4698 #2 · backfill · confidence 0.70 Marcel Nutz
  • 1312.1624 #2 · backfill · confidence 0.70 Marcel Nutz
  • 2605.27883 #2 · arxiv_oai · confidence 0.70 Marcel Nutz
  • 1307.5606 #3 · backfill · confidence 0.70 Marcel Nutz
  • 1307.3597 #1 · backfill · confidence 0.70 Marcel Nutz
  • 2605.27175 #2 · arxiv_oai · confidence 0.70 Marcel Nutz
  • 1305.6008 #2 · backfill · confidence 0.70 Marcel Nutz
  • 1301.3227 #1 · backfill · confidence 0.70 Marcel Nutz
  • 1212.2140 #1 · backfill · confidence 0.70 Marcel Nutz
  • 1208.6486 #2 · backfill · confidence 0.70 Marcel Nutz
  • 1206.6325 #3 · backfill · confidence 0.70 Marcel Nutz
  • 1205.2415 #1 · backfill · confidence 0.70 Marcel Nutz
  • 1108.2981 #1 · backfill · confidence 0.70 Marcel Nutz
  • 1106.3273 #1 · backfill · confidence 0.70 Marcel Nutz
  • 1105.0745 #2 · backfill · confidence 0.70 Marcel Nutz
  • 2509.08547 #2 · arxiv_oai · confidence 0.70 Marcel Nutz
  • 1103.0575 #2 · backfill · confidence 0.70 Marcel Nutz
  • 2503.08833 #2 · arxiv_oai · confidence 0.70 Marcel Nutz
  • 2501.09638 #2 · arxiv_oai · confidence 0.70 Marcel Nutz
  • 1011.2958 #1 · backfill · confidence 0.70 Marcel Nutz
  • 1009.2168 #1 · backfill · confidence 0.70 Marcel Nutz
  • 1006.2294 #2 · backfill · confidence 0.70 Marcel Nutz
  • 1003.3582 #1 · backfill · confidence 0.70 Marcel Nutz
  • 0912.1885 #1 · backfill · confidence 0.70 Marcel Nutz
  • 0912.1883 #1 · backfill · confidence 0.70 Marcel Nutz
  • 0912.1879 #1 · backfill · confidence 0.70 Marcel Nutz

Frequent Coauthors