Nutz, Marcel
- Entropic Optimal Transport: Convergence of Potentials
2021/04/23 by Nutz, Marcel, Wiesel, Johannes · 9 citations
#49N05 #90C25 #Analysis of PDEs (math.AP) #FOS: Mathematics #Functional Analysis (math.FA) #Optimization and Control (math.OC) #Probability (math.PR)
- Stability of Entropic Optimal Transport and Schrödinger Bridges
2021/06/07 by Promit Ghosal, Marcel Nutz, Ghosal, Promit +3 · 6 citations
Mathematics · Computer Science · #Spectral Theory in Mathematical Physics #Nonlinear Partial Differential Equations #Advanced Mathematical Modeling in Engineering
- Complete Duality for Martingale Optimal Transport on the Line
2015/07/02 by Beiglböck, Mathias, Nutz, Marcel, Touzi, Nizar · 4 citations
#49N05 #60G42 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Probability (math.PR)
- Entropic Optimal Transport: Geometry and Large Deviations
2021/02/08 by Bernton, Espen, Ghosal, Promit, Nutz, Marcel · 4 citations
#49N05 #60F10 #90C25 #FOS: Mathematics #Functional Analysis (math.FA) #Optimization and Control (math.OC) #Probability (math.PR)
- Quadratically Regularized Optimal Transport: Existence and Multiplicity of Potentials
2024/04/10 by Nutz, Marcel · 7 citations
#49N05 #90C25 #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
- 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
- Convergence Rates for Regularized Optimal Transport via Quantization
2022/08/30 by Stephan Eckstein, Marcel Nutz, Eckstein, Stephan +1 · 4 citations
Mathematics · #Geometric Analysis and Curvature Flows #Markov Chains and Monte Carlo Methods #Nonlinear Partial Differential Equations
- 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
- A Mean Field Game of Optimal Stopping
2016/05/30 by Nutz, Marcel · 2 citations
#60G40 #91A13 #91A15 #91A55 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Probability (math.PR)
- Multiperiod Martingale Transport
2017/03/30 by Nutz, Marcel, Stebegg, Florian, Tan, Xiaowei · 2 citations
#49N05 #60G42 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Probability (math.PR)
- 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
- Estimating the Rate-Distortion Function by Wasserstein Gradient Descent
2023/10/29 by Yang, Yibo, Eckstein, Stephan, Nutz, Marcel +1 · 3 citations
#Applications (stat.AP) #FOS: Computer and information sciences #Information Theory (cs.IT) #Machine Learning (cs.LG) #Machine Learning (stat.ML)
- On the Convergence Rate of Sinkhorn's Algorithm
2022/12/12 by Promit Ghosal, Ghosal, Promit, Marcel Nutz +1 · 2 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)
- Superreplication under Volatility Uncertainty for Measurable Claims
2012/08/31 by Neufeld, Ariel, Nutz, Marcel · 1 citation
#91B28 #91B30 #93E20 #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Pricing of Securities (q-fin.PR) #Probability (math.PR)
- Superreplication under Model Uncertainty in Discrete Time
2013/01/15 by Nutz, Marcel · 1 citation
#60G42 #91B28 #93E20 #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Pricing of Securities (q-fin.PR) #Probability (math.PR)
- Consistent Price Systems under Model Uncertainty
2014/08/23 by Bouchard, Bruno, Nutz, Marcel · 1 citation
#49L20 #60G42 #91B28 #93E20 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)
- Sparsity of Quadratically Regularized Optimal Transport: Scalar Case
2024/10/04 by Alberto González-Sanz, González-Sanz, Alberto, Marcel Nutz +1 · 4 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)
- Canonical Supermartingale Couplings
2016/09/09 by Nutz, Marcel, Stebegg, Florian · 1 citation
#49N05 #60G42 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Probability (math.PR)
- 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
- Reward Design in Risk-Taking Contests
2021/02/05 by Nutz, Marcel, Zhang, Yuchong · 1 citation
#91A15 #91A55 #91A65 #FOS: Economics and business #FOS: Mathematics #General Economics (econ.GN) #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC)
- Stability of Schrödinger Potentials and Convergence of Sinkhorn's Algorithm
2022/01/25 by Nutz, Marcel, Wiesel, Johannes · 1 citation
#49N05 #90C25 #Analysis of PDEs (math.AP) #FOS: Mathematics #Functional Analysis (math.FA) #Optimization and Control (math.OC) #Probability (math.PR)
- 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)
- Measurability of Semimartingale Characteristics with Respect to the\n Probability Law
2013/12/05 by Ariel Neufeld, Marcel Nutz, Neufeld, Ariel +1 · 1 citation
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
- Sparse Regularized Optimal Transport without Curse of Dimensionality
2025/05/07 by González-Sanz, Alberto, Eckstein, Stephan, Nutz, Marcel · 3 citations
#62G05 #62G30 #62R10 #FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST)
- Quantitative Convergence of Quadratically Regularized Linear Programs
2024/08/07 by González-Sanz, Alberto, Nutz, Marcel · 1 citation
#49N05 #49N10 #90C25 #Analysis of PDEs (math.AP) #FOS: Mathematics #Optimization and Control (math.OC) #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