231 citations · 874 across the 46 of their papers we have counts for
Showing 2011 · math.PRShow all
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math.PR2011★ 49 cited
Pathwise Construction of Stochastic Integrals
Marcel Nutz
We propose a method to construct the stochastic integral simultaneously under a non-dominated family of probability measures. Path-by-path, and without referring to a probability m…
math.PR2011★ 52 cited
A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations
Marcel Nutz
We study stochastic differential equations (SDEs) whose drift and diffusion coefficients are path-dependent and controlled. We construct a value process on the canonical path space…
math.PR2011★ 3 cited
Weak Approximation of G-Expectations
Yan Dolinsky, Marcel Nutz, H. Mete Soner
We introduce a notion of volatility uncertainty in discrete time and define the corresponding analogue of Peng's G-expectation. In the continuous-time limit, the resulting sublinea…