Items where Author is "Chau, Ngoc Huy"

Article

Chau, Ngoc Huy and Fukasawa, Masaaki and Rásonyi, Miklós (2022) Super-replication with transaction costs under model uncertainty for continuous processes. MATHEMATICAL FINANCE: AN INTERNATIONAL JOURNAL OF MATHEMATICS, STATISTICS AND FINANCIAL ECONOMICS, 32 (4). pp. 1066-1085. ISSN 0960-1627

Barkhagen, M. and Chau, Ngoc Huy and Moulines, E. and Rásonyi, Miklós and Sabanis, S. (2021) On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case. BERNOULLI, 27 (1). pp. 1-33. ISSN 1350-7265

Chau, Ngoc Huy and Cosso, A. and Fontana, C. (2020) The value of informational arbitrage. FINANCE AND STOCHASTICS, 24 (2). pp. 277-307. ISSN 0949-2984

Chau, Ngoc Huy and Kumar, Chaman and Rásonyi, Miklós and Sabanis, Sotirios (2019) On fixed gain recursive estimators with discontinuity in the parameters. ESAIM: Probability and Statistics, 23. pp. 217-244. ISSN 1262-3318

Chau, Ngoc Huy and Rásonyi, Miklós (2019) Robust utility maximisation in markets with transaction costs. FINANCE AND STOCHASTICS, 23 (3). pp. 677-696. ISSN 0949-2984

Chau, Ngoc Huy and Runggaldier, W.J. and Tankov, P. (2018) Arbitrage and utility maximization in market models with an insider. MATHEMATICS AND FINANCIAL ECONOMICS, 12 (4). pp. 589-614. ISSN 1862-9679

Chau, Ngoc Huy and Rásonyi, Miklós (2017) On optimal investment with processes of long or negative memory. STOCHASTIC PROCESSES AND THEIR APPLICATIONS. pp. 1-21. ISSN 0304-4149

Chau, Ngoc Huy and Cosso, A. and Fontana, C. and Mostovyi, O. (2017) Optimal investment with intermediate consumption under no unbounded profit with bounded risk. JOURNAL OF APPLIED PROBABILITY, 54 (3). pp. 710-719. ISSN 0021-9002

Chau, Ngoc Huy and Rásonyi, Miklós (2017) Skorohod's representation theorem and optimal strategies for markets with frictions. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 55 (6). pp. 3592-3608. ISSN 0363-0129