Market Models with Optimal Arbitrage. - Huy N. Chau; Peter Tankov (SIAM J. Financial Math., 2015)

Optimal investment with intermediate consumption under no unbounded profit with bounded risk. - Huy N. Chau; Andrea Cosso; Claudio Fontana; Oleksii Mostovyi (J. Appl. Probab., 2017)

Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions. - Huy N. Chau; Miklós Rásonyi (SIAM J. Control. Optim., 2017)

Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Learning in the Big Data Regime. - Huy N. Chau; Miklós Rásonyi (CoRR, 2019)

On Robust Fundamental Theorems of Asset Pricing in Discrete Time. - Huy N. Chau (SIAM J. Financial Math., 2024)