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Chau Ngoc Huy
Chau Ngoc Huy
Verified email at manchester.ac.uk - Homepage
Title
Cited by
Cited by
Year
On stochastic gradient langevin dynamics with dependent data streams: The fully nonconvex case
NH Chau, É Moulines, M Rásonyi, S Sabanis, Y Zhang
SIAM Journal on Mathematics of Data Science 3 (3), 959-986, 2021
462021
On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case
M Barkhagen, NH Chau, É Moulines, M Rásonyi, S Sabanis, Y Zhang
322021
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
HN Chau, A Cosso, C Fontana, O Mostovyi
Journal of Applied Probability 54 (3), 710-719, 2017
272017
Market models with optimal arbitrage
HN Chau, P Tankov
SIAM Journal on Financial Mathematics 6 (1), 66-85, 2015
202015
On fixed gain recursive estimators with discontinuity in the parameters
HN Chau, C Kumar, M Rásonyi, S Sabanis
ESAIM: Probability and Statistics 23, 217-244, 2019
182019
Arbitrage and utility maximization in market models with an insider
NH Chau, W Runggaldier, P Tankov
Mathematics and Financial Economics, 2016
122016
Skorohod's representation theorem and optimal strategies for markets with frictions
HN Chau, M Rásonyi
SIAM Journal on Control and Optimization 55 (6), 3592-3608, 2017
92017
Robust utility maximization in markets with transaction costs
HN Chau, M Rasonyi
Finance and Stochastics 23 (3), 677–696, 2019
82019
The value of informational arbitrage
HN Chau, A Cosso, C Fontana
Finance and Stochastics, 0
8*
Stochastic gradient hamiltonian monte carlo for non-convex learning
HN Chau, M Rasonyi
arXiv preprint arXiv:1903.10328, 2019
62019
Super‐replication with transaction costs under model uncertainty for continuous processes
HN Chau, M Fukasawa, M Rásonyi
Mathematical Finance 32 (4), 1066-1085, 2022
32022
Robust fundamental theorems of asset pricing in discrete time
HN Chau
arXiv preprint arXiv:2007.02553, 2020
22020
On the inversion-free Newton’s method and its applications
H Chau, J Kirkby, D Nguyen, D Nguyen, N Nguyen, T Nguyen
Working paper, 2022
12022
On optimal investment with processes of long or negative memory
HN Chau, M Rásonyi
Stochastic Processes and their Applications 128 (4), 1095-1113, 2018
12018
Поведение инвесторов в конических моделях рынков
ХН Чоу, М Рашоньи
Теория вероятностей и ее применения 65 (2), 420-430, 2020
2020
Behavioral investors in conic market models
HN Chau, M Rásonyi
Theory of Probability & Its Applications 65 (2), 330-337, 2020
2020
and Probability
M BARKHAGEN, NH CHAU, É MOULINES, M RÁSONYI, S SABANIS, ...
The Price of Informational Arbitrage
HN Chau, A Cosso, C Fontana
Book of abstracts, 42, 0
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Articles 1–18