Следене
Marcel Nutz
Marcel Nutz
Department of Statistics, Columbia University
Потвърден имейл адрес: columbia.edu - Начална страница
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Позовавания
Позовавания
Година
Arbitrage and Duality in Nondominated Discrete-Time Models
B Bouchard, M Nutz
Annals of Applied Probability 25 (2), 823-859, 2015
2222015
Constructing sublinear expectations on path space
M Nutz, R van Handel
Stochastic Processes and their Applications 123 (8), 3100-3121, 2013
1332013
Pathwise construction of stochastic integrals
M Nutz
Electronic Communications in Probability 17 (24), 1-7, 2012
1212012
Complete Duality for Martingale Optimal Transport on the Line
M Beiglböck, M Nutz, N Touzi
Annals of Probability 45 (5), 963-987, 2017
1182017
Superreplication under Volatility Uncertainty for Measurable Claims
A Neufeld, M Nutz
Electronic Journal of Probability 18 (48), 1-14, 2013
982013
Robust fundamental theorem for continuous processes
S Biagini, B Bouchard, C Kardaras, M Nutz
Mathematical Finance 27 (4), 963-987, 2017
922017
Nonlinear Levy Processes and their Characteristics
A Neufeld, M Nutz
Transactions of the American Mathematical Society 369 (1), 69-95, 2017
782017
Superhedging and dynamic risk measures under volatility uncertainty
M Nutz, HM Soner
SIAM Journal on Control and Optimization 50 (4), 2065-2089, 2012
782012
Optimal stopping under adverse nonlinear expectation and related games
M Nutz, J Zhang
Annals of Applied Probability 25 (5), 2503--2534, 2015
722015
Weak dynamic programming for generalized state constraints
B Bouchard, M Nutz
SIAM Journal on Control and Optimization 50 (6), 3344-3373, 2012
702012
Utility maximization under model uncertainty in discrete time
M Nutz
Mathematical Finance 26 (2), 252-268, 2016
682016
Robust Utility Maximization with Levy Processes
A Neufeld, M Nutz
Mathematical Finance 28 (1), 82-105, 2018
642018
Random G-expectations
M Nutz
Annals of Applied Probability 23 (5), 1755-1777, 2013
622013
A mean field game of optimal stopping
M Nutz
SIAM Journal on Control and Optimization 62 (2), 1206-1221, 2018
612018
Measurability of semimartingale characteristics with respect to the probability law
A Neufeld, M Nutz
Stochastic Processes and their Applications 124 (11), 3819-3845, 2014
582014
Small-time asymptotics of option prices and first absolute moments
J Muhle-Karbe, M Nutz
Journal of Applied Probability 48 (4), 1003-1020, 2011
492011
Weak approximation of G-expectations
Y Dolinsky, M Nutz, HM Soner
Stochastic Processes and their Applications 122 (2), 664-675, 2012
482012
A quasi-sure approach to the control of non-Markovian stochastic differential equations
M Nutz
Electronic Journal of Probability 17 (23), 1-23, 2012
482012
The opportunity process for optimal consumption and investment with power utility
M Nutz
Mathematics and financial economics 3 (3), 139-159, 2010
392010
Martingale inequalities and deterministic counterparts
M Beiglböck, M Nutz
Electronic Journal of Probability 19, 1-15, 2014
382014
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Статии 1–20