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Results: 1-8 |
Results: 8
The Bellman equation for power utility maximization with semimartingales
Authors: Nutz, Marcel
Citation: Nutz, Marcel, The Bellman equation for power utility maximization with semimartingales, Annals of applied probability , 22(1), 2012, pp. 363-406
Arbitrage and duality in nondominated discrete-time models
Authors: Bouchard, Bruno Nutz, Marcel
Citation: Bouchard, Bruno et Nutz, Marcel, Arbitrage and duality in nondominated discrete-time models, Annals of applied probability , 25(2), 2015, pp. 823-859
Stochastic target games with controlled loss
Authors: Bouchard, Bruno Moreau, Ludovic Nutz, Marcel
Citation: Bouchard, Bruno et al., Stochastic target games with controlled loss, Annals of applied probability , 24(3), 2014, pp. 899-934
Random G-expectations
Authors: Nutz, Marcel
Citation: Nutz, Marcel, Random G-expectations, Annals of applied probability , 23(5), 2013, pp. 1755-1777
Optimal stopping under adverse nonlinear expectation and related games
Authors: Nutz, Marcel Zhang, Jianfeng
Citation: Nutz, Marcel et Zhang, Jianfeng, Optimal stopping under adverse nonlinear expectation and related games, Annals of applied probability , 25(5), 2015, pp. 2503-2534
Complete duality for martingale optimal transport on the line
Authors: Beiglböck, Mathias Nutz, Marcel Touzi, Nizar
Citation: Beiglböck, Mathias et al., Complete duality for martingale optimal transport on the line, Annals of probability , 45(5), 2017, pp. 3038-3074
Complete duality for martingale optimal transport on the line
Authors: Beiglböck, Mathias Nutz, Marcel Touzi, Nizar
Citation: Beiglböck, Mathias et al., Complete duality for martingale optimal transport on the line, Annals of probability (Online) , 45(5), 2017, pp. 3038-3074
Canonical supermartingale couplings
Authors: Nutz, Marcel Stebegg, Florian
Citation: Nutz, Marcel et Stebegg, Florian, Canonical supermartingale couplings, Annals of probability (Online) , 46(6), 2018, pp. 3351-3398
Risultati: 1-8 |