Marcel Nutz

20 papers A* 1Journal 19
YearRankTypeTitle / Venue / Authors
2025 J jnl
Monotonicity in Quadratically Regularized Linear Programs.
SIAM J. Optim.
Alberto González-Sanz, Marcel Nutz, Andrés Riveros Valdevenito
2025 J jnl
Quadratically Regularized Optimal Transport: Existence and Multiplicity of Potentials.
SIAM J. Math. Anal.
Marcel Nutz
2024 J jnl
Convergence Rates for Regularized Optimal Transport via Quantization.
Math. Oper. Res.
Stephan Eckstein, Marcel Nutz
2023 A* conf
Estimating the Rate-Distortion Function by Wasserstein Gradient Descent.
NeurIPS
Yibo Yang, Stephan Eckstein, Marcel Nutz, Stephan Mandt
2023 J jnl
Estimating the Rate-Distortion Function by Wasserstein Gradient Descent.
CoRR
Yibo Yang, Stephan Eckstein, Marcel Nutz, Stephan Mandt
2023 J jnl
Mean Field Contest with Singularity.
Math. Oper. Res.
Marcel Nutz, Yuchong Zhang
2022 J jnl
Quantitative Stability of Regularized Optimal Transport and Convergence of Sinkhorn's Algorithm.
SIAM J. Math. Anal.
Stephan Eckstein, Marcel Nutz
2022 J jnl
Reward Design in Risk-Taking Contests.
SIAM J. Financial Math.
Marcel Nutz, Yuchong Zhang
2019 J jnl
A Mean Field Competition.
Math. Oper. Res.
Marcel Nutz, Yuchong Zhang
2018 J jnl
A Mean Field Game of Optimal Stopping.
SIAM J. Control. Optim.
Marcel Nutz
2018 J jnl
A risk-neutral equilibrium leading to uncertain volatility pricing.
Finance Stochastics
Johannes Muhle-Karbe, Marcel Nutz
2017 J jnl
Bounds for VIX futures given S&P 500 smiles.
Finance Stochastics
Julien Guyon, Romain Menegaux, Marcel Nutz
2016 J jnl
Consistent price systems under model uncertainty.
Finance Stochastics
Bruno Bouchard, Marcel Nutz
2016 J jnl
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions.
Math. Oper. Res.
Bruno Bouchard, Marcel Nutz
2014 J jnl
Superreplication under model uncertainty in discrete time.
Finance Stochastics
Marcel Nutz
2012 J jnl
Superhedging and Dynamic Risk Measures under Volatility Uncertainty.
SIAM J. Control. Optim.
Marcel Nutz, H. Mete Soner
2012 J jnl
Weak Dynamic Programming for Generalized State Constraints.
SIAM J. Control. Optim.
Bruno Bouchard, Marcel Nutz
2011 J jnl
A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations
CoRR
Marcel Nutz
2011 J jnl
Weak Dynamic Programming for Generalized State Constraints
CoRR
Bruno Bouchard, Marcel Nutz
2009 J jnl
The Bellman equation for power utility maximization with semimartingales.
CoRR
Marcel Nutz