Miklós Rásonyi

Orcid: 0000-0002-3105-4752

According to our database1, Miklós Rásonyi authored at least 30 papers between 2002 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

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Bibliography

2024
Ergodic aspects of trading with threshold strategies.
Ann. Oper. Res., May, 2024

Short Communication: Utility-Based Acceptability Indices.
SIAM J. Financial Math., 2024

2023
Taming Neural Networks with TUSLA: Nonconvex Learning via Adaptive Stochastic Gradient Langevin Algorithms.
SIAM J. Math. Data Sci., June, 2023

2022
Functional Central Limit Theorem and Strong Law of Large Numbers for Stochastic Gradient Langevin Dynamics.
CoRR, 2022

2021
On Stochastic Gradient Langevin Dynamics with Dependent Data Streams: The Fully Nonconvex Case.
SIAM J. Math. Data Sci., 2021

Ergodic theorems for queuing systems with dependent inter-arrival times.
Oper. Res. Lett., 2021

2020
Risk-Neutral Pricing for Arbitrage Pricing Theory.
J. Optim. Theory Appl., 2020

Taming neural networks with TUSLA: Non-convex learning via adaptive stochastic gradient Langevin algorithms.
CoRR, 2020

2019
Trading Fractional Brownian Motion.
SIAM J. Financial Math., 2019

On the Poisson Equation of Parameter-Dependent Markov Chains.
CoRR, 2019

Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Learning in the Big Data Regime.
CoRR, 2019

Parameter-Dependent Poisson Equations: Tools for Stochastic Approximation in a Markovian Framework.
Proceedings of the 58th IEEE Conference on Decision and Control, 2019

2018
No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach.
Math. Methods Oper. Res., 2018

2017
Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions.
SIAM J. Control. Optim., 2017

2016
Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models.
Math. Oper. Res., 2016

2015
Optimal Investment with Nonconcave Utilities in Discrete-Time Markets.
SIAM J. Financial Math., 2015

Fragility of arbitrage and bubbles in local martingale diffusion models.
Finance Stochastics, 2015

2013
Topographic implementation of particle filters on cellular processor arrays.
Signal Process., 2013

2012
Implementation of cellular genetic algorithms on a CNN chip: Simulations and experimental results.
Int. J. Circuit Theory Appl., 2012

The fundamental theorem of asset pricing under transaction costs.
Finance Stochastics, 2012

On long-term arbitrage opportunities in Markovian models of financial markets.
Ann. Oper. Res., 2012

2009
Rehabilitating Fractal Models in Finance.
ERCIM News, 2009

2007
Optimal Strategies and Utility-Based Prices Converge When Agents' Preferences Do.
Math. Oper. Res., 2007

2006
Convergence of Utility Indifference Prices to the Superreplication Price.
Math. Methods Oper. Res., 2006

2005
Log-optimal currency portfolios and control Lyapunov exponents.
Proceedings of the 44th IEEE IEEE Conference on Decision and Control and 8th European Control Conference Control, 2005

2004
Controlled Lyapunov-exponents with applications.
Proceedings of the 43rd IEEE Conference on Decision and Control, 2004

2003
Equivalent martingale measures for large financial markets in discrete time.
Math. Methods Oper. Res., 2003

On the closedness of sums of convex cones in <i>L</i><sup>0</sup> and the robust no-arbitrage property.
Finance Stochastics, 2003

Controlled Lyapunov-exponents in optimization and finance.
Proceedings of the 7th European Control Conference, 2003

2002
No-arbitrage criteria for financial markets with efficient friction.
Finance Stochastics, 2002


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