231 citations · 874 across the 46 of their papers we have counts for
4 papers · 1 filter
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…
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…
Weak Dynamic Programming for Generalized State Constraints
Bruno Bouchard, Marcel Nutz
We provide a dynamic programming principle for stochastic optimal control problems with expectation constraints. A weak formulation, using test functions and a probabilistic relaxa…
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…