Marcel Nutz
- Stability of Entropic Optimal Transport and Schrödinger Bridges
2021/06/07 by Promit Ghosal, Marcel Nutz, Ghosal, Promit +3 · 7 citations
Mathematics · Computer Science · #Spectral Theory in Mathematical Physics #Nonlinear Partial Differential Equations #Advanced Mathematical Modeling in Engineering
- Convergence Rates for Regularized Optimal Transport via Quantization
2022/08/30 by Stephan Eckstein, Marcel Nutz, Eckstein, Stephan +1 · 5 citations
Mathematics · #Geometric Analysis and Curvature Flows #Markov Chains and Monte Carlo Methods #Nonlinear Partial Differential Equations
- Utility Maximization under Model Uncertainty in Discrete Time
2013/07/13 by Marcel Nutz, Nutz, Marcel · 2 citations
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #49L20 #91B28 #93E20 #FOS: Economics and business #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications
- Quantitative Stability of Regularized Optimal Transport and Convergence of Sinkhorn's Algorithm
2021/10/13 by Stephan Eckstein, Eckstein, Stephan, Marcel Nutz +1 · 3 citations
Computer Science · Mathematics · Medicine · #49N05 #90C25 #Advanced Neuroimaging Techniques and Applications #Analysis of PDEs (math.AP) #FOS: Mathematics #Geometric Analysis and Curvature Flows #Optimization and Control (math.OC) #Probability (math.PR) #Topological and Geometric Data Analysis
- On the Convergence Rate of Sinkhorn's Algorithm
2022/12/12 by Promit Ghosal, Ghosal, Promit, Marcel Nutz +1 · 3 citations
Computer Science · Mathematics · Physics and Astronomy · #49N05 #90C25 #Advanced Mathematical Modeling in Engineering #Advanced Thermodynamics and Statistical Mechanics #Analysis of PDEs (math.AP) #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Optimization and Control (math.OC) #Probability (math.PR)
- Measurability of Semimartingale Characteristics with Respect to the\n Probability Law
2013/12/05 by Ariel Neufeld, Marcel Nutz, Neufeld, Ariel +1 · 2 citations
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #60G44 #93E20 #Credit Risk and Financial Regulations #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications
- On the Martingale Schrödinger Bridge between Two Distributions
2024/01/10 by Marcel Nutz, Johannes Wiesel, Nutz, Marcel +1 · 3 citations
Mathematics · Physics and Astronomy · #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Quantum Mechanics and Non-Hermitian Physics #Spectral Theory in Mathematical Physics
- A Mean Field Competition
2017/08/03 by Marcel Nutz, Nutz, Marcel, Yuchong Zhang +1 · 1 voice · 1 citation
#math.OC #econ.GN #math.PR
- Sparsity of Quadratically Regularized Optimal Transport: Scalar Case
2024/10/04 by Alberto González-Sanz, González-Sanz, Alberto, Marcel Nutz +1 · 5 citations
Computer Science · Mathematics · #49N05 #49N10 #90C25 #Advanced Mathematical Modeling in Engineering #Contact Mechanics and Variational Inequalities #FOS: Mathematics #Nonlinear Partial Differential Equations #Optimization and Control (math.OC)
- On the Guyon-Lekeufack Volatility Model
2023/07/03 by Marcel Nutz, Andrés Riveros Valdevenito, Nutz, Marcel +1 · 2 citations
Economics, Econometrics and Finance · #60H10 #91G20 #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications
- The Directional Optimal Transport
2020/02/20 by Marcel Nutz, Nutz, Marcel, Ruodu Wang +1 · 1 citation
Mathematics · #49N05 #62G10 #93E20 #FOS: Mathematics #Geometric and Algebraic Topology #Markov Chains and Monte Carlo Methods #Optimization and Control (math.OC) #Probability (math.PR) #Statistics Theory (math.ST) #Stochastic processes and statistical mechanics
- Monotonicity in Quadratically Regularized Linear Programs
2024/08/15 by Alberto González-Sanz, González-Sanz, Alberto, Marcel Nutz +3 · 2 citations
Computer Science · Engineering · Mathematics · #49N05 #49N10 #90C25 #Advanced Optimization Algorithms Research #Combinatorics (math.CO) #FOS: Mathematics #Optimization and Control (math.OC) #Optimization and Mathematical Programming #Optimization and Variational Analysis #Probability (math.PR)
- Quantitative Convergence of Quadratically Regularized Linear Programs
2024/08/07 by Alberto González-Sanz, Marcel Nutz, González-Sanz, Alberto +1 · 1 citation
Computer Science · Mathematics · #49N05 #49N10 #90C25 #Advanced Optimization Algorithms Research #Analysis of PDEs (math.AP) #FOS: Mathematics #Matrix Theory and Algorithms #Optimization and Control (math.OC) #Optimization and Variational Analysis #Probability (math.PR)
- Weak Approximation of G-Expectations
2011/03/02 by Yan Dolinsky, Dolinsky, Yan, Marcel Nutz +3 · 1 citation
Economics, Econometrics and Finance · #60F05 #60G44 #91B25 #91B30 #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications
- Sharp Asymptotics for Regularized Optimal Transport
2026/07/20 by Carlos Cardoso-Perelló, Alberto González-Sanz, Marcel Nutz
#math.AP #math.OC #math.PR