Marcel Nutz

Orcid: 0000-0003-2936-2315

According to our database1, Marcel Nutz authored at least 16 papers between 2009 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Dataset
Other 

Links

Online presence:

On csauthors.net:

Bibliography

2024
Convergence Rates for Regularized Optimal Transport via Quantization.
Math. Oper. Res., 2024

2023
Mean Field Contest with Singularity.
Math. Oper. Res., May, 2023

Estimating the Rate-Distortion Function by Wasserstein Gradient Descent.
Proceedings of the Advances in Neural Information Processing Systems 36: Annual Conference on Neural Information Processing Systems 2023, 2023

2022
Quantitative Stability of Regularized Optimal Transport and Convergence of Sinkhorn's Algorithm.
SIAM J. Math. Anal., 2022

Reward Design in Risk-Taking Contests.
SIAM J. Financial Math., 2022

2019
A Mean Field Competition.
Math. Oper. Res., 2019

2018
A Mean Field Game of Optimal Stopping.
SIAM J. Control. Optim., 2018

A risk-neutral equilibrium leading to uncertain volatility pricing.
Finance Stochastics, 2018

2017
Bounds for VIX futures given S&P 500 smiles.
Finance Stochastics, 2017

2016
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions.
Math. Oper. Res., 2016

Consistent price systems under model uncertainty.
Finance Stochastics, 2016

2014
Superreplication under model uncertainty in discrete time.
Finance Stochastics, 2014

2012
Superhedging and Dynamic Risk Measures under Volatility Uncertainty.
SIAM J. Control. Optim., 2012

Weak Dynamic Programming for Generalized State Constraints.
SIAM J. Control. Optim., 2012

2011
A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations
CoRR, 2011

2009
The Bellman equation for power utility maximization with semimartingales.
CoRR, 2009


  Loading...