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Miklós Rásonyi
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2020 – today
- 2024
- [j21]Attila Lovas
, Miklós Rásonyi
Ergodic aspects of trading with threshold strategies. Ann. Oper. Res. 336(1-2): 691-709 (2024) - [j20]Marcin Pitera
Short Communication: Utility-Based Acceptability Indices. SIAM J. Financial Math. 15(2): 28- (2024) - 2023
- [j19]Attila Lovas, Iosif Lytras, Miklós Rásonyi, Sotirios Sabanis
Taming Neural Networks with TUSLA: Nonconvex Learning via Adaptive Stochastic Gradient Langevin Algorithms. SIAM J. Math. Data Sci. 5(2): 323-345 (2023) - 2022
- [i5]Attila Lovas, Miklós Rásonyi:
Functional Central Limit Theorem and Strong Law of Large Numbers for Stochastic Gradient Langevin Dynamics. CoRR abs/2210.02092 (2022) - 2021
- [j18]Attila Lovas
Ergodic theorems for queuing systems with dependent inter-arrival times. Oper. Res. Lett. 49(5): 682-687 (2021) - [j17]Ngoc Huy Chau, Éric Moulines, Miklós Rásonyi
On Stochastic Gradient Langevin Dynamics with Dependent Data Streams: The Fully Nonconvex Case. SIAM J. Math. Data Sci. 3(3): 959-986 (2021) - 2020
- [j16]Laurence Carassus
Risk-Neutral Pricing for Arbitrage Pricing Theory. J. Optim. Theory Appl. 186(1): 248-263 (2020) - [i4]Attila Lovas, Iosif Lytras, Miklós Rásonyi, Sotirios Sabanis
Taming neural networks with TUSLA: Non-convex learning via adaptive stochastic gradient Langevin algorithms. CoRR abs/2006.14514 (2020)
2010 – 2019
- 2019
- [j15]Paolo Guasoni
Trading Fractional Brownian Motion. SIAM J. Financial Math. 10(3): 769-789 (2019) - [c4]Algo Carè
Parameter-Dependent Poisson Equations: Tools for Stochastic Approximation in a Markovian Framework. CDC 2019: 2259-2264 - [i3]Huy N. Chau, Miklós Rásonyi:
Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Learning in the Big Data Regime. CoRR abs/1903.10328 (2019) - [i2]Algo Carè, Balázs Csanád Csáji, Balázs Gerencsér, László Gerencsér, Miklós Rásonyi:
On the Poisson Equation of Parameter-Dependent Markov Chains. CoRR abs/1906.09464 (2019) - 2018
- [j14]Romain Blanchard, Laurence Carassus
No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach. Math. Methods Oper. Res. 88(2): 241-281 (2018) - 2017
- [j13]Huy N. Chau, Miklós Rásonyi:
Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions. SIAM J. Control. Optim. 55(6): 3592-3608 (2017) - 2016
- [j12]Laurence Carassus
Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models. Math. Oper. Res. 41(1): 146-173 (2016) - 2015
- [j11]Paolo Guasoni
Fragility of arbitrage and bubbles in local martingale diffusion models. Finance Stochastics 19(2): 215-231 (2015) - [j10]Miklós Rásonyi:
Optimal Investment with Nonconcave Utilities in Discrete-Time Markets. SIAM J. Financial Math. 6(1): 517-529 (2015) - 2013
- [j9]András Horváth, Miklós Rásonyi:
Topographic implementation of particle filters on cellular processor arrays. Signal Process. 93(7): 1853-1863 (2013) - 2012
- [j8]Martin Le Doux Mbele Bidima, Miklós Rásonyi:
On long-term arbitrage opportunities in Markovian models of financial markets. Ann. Oper. Res. 200(1): 131-146 (2012) - [j7]Paolo Guasoni
The fundamental theorem of asset pricing under transaction costs. Finance Stochastics 16(4): 741-777 (2012) - [j6]András Horváth, Miklós Rásonyi:
Implementation of cellular genetic algorithms on a CNN chip: Simulations and experimental results. Int. J. Circuit Theory Appl. 40(12): 1321-1332 (2012)
2000 – 2009
- 2009
- [i1]Miklós Rásonyi:
Rehabilitating Fractal Models in Finance. ERCIM News 2009(78) (2009) - 2007
- [j5]Laurence Carassus
Optimal Strategies and Utility-Based Prices Converge When Agents' Preferences Do. Math. Oper. Res. 32(1): 102-117 (2007) - 2006
- [j4]Laurence Carassus
Convergence of Utility Indifference Prices to the Superreplication Price. Math. Methods Oper. Res. 64(1): 145-154 (2006) - 2005
- [c3]László Gerencsér, Miklós Rásonyi, Csaba Szepesvári, Zsuzsanna Vágó:
Log-optimal currency portfolios and control Lyapunov exponents. CDC/ECC 2005: 1764-1769 - 2004
- [c2]László Gerencsér, Miklós Rásonyi, Zsuzsanna Vágó:
Controlled Lyapunov-exponents with applications. CDC 2004: 2550-2554 - 2003
- [j3]Yuri Kabanov, Miklós Rásonyi, Christophe Stricker:
On the closedness of sums of convex cones in L0 and the robust no-arbitrage property. Finance Stochastics 7(3): 403-411 (2003) - [j2]Miklós Rásonyi:
Equivalent martingale measures for large financial markets in discrete time. Math. Methods Oper. Res. 58(3): 401-415 (2003) - [c1]László Gerencsér, Miklós Rásonyi, Zsuzsanna Vágó:
Controlled Lyapunov-exponents in optimization and finance. ECC 2003: 3467-3471 - 2002
- [j1]Yuri Kabanov, Miklós Rásonyi, Christophe Stricker:
No-arbitrage criteria for financial markets with efficient friction. Finance Stochastics 6(3): 371-382 (2002)
Coauthor Index
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