Miklós Rásonyi

According to our database, Miklós Rásonyi authored at least 28 papers between 2002 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2023

Taming Neural Networks with TUSLA: Nonconvex Learning via Adaptive Stochastic Gradient Langevin Algorithms.

Attila Lovas, Iosif Lytras, Miklós Rásonyi, Sotirios Sabanis

SIAM J. Math. Data Sci., June, 2023

2022

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

Attila Lovas, Miklós Rásonyi

CoRR, 2022

2021

On Stochastic Gradient Langevin Dynamics with Dependent Data Streams: The Fully Nonconvex Case.

Ngoc Huy Chau, Éric Moulines, Miklós Rásonyi, Sotirios Sabanis, Ying Zhang

SIAM J. Math. Data Sci., 2021

Ergodic theorems for queuing systems with dependent inter-arrival times.

Attila Lovas, Miklós Rásonyi

Oper. Res. Lett., 2021

2020

Risk-Neutral Pricing for Arbitrage Pricing Theory.

Laurence Carassus, Miklós Rásonyi

J. Optim. Theory Appl., 2020

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

Attila Lovas, Iosif Lytras, Miklós Rásonyi, Sotirios Sabanis

CoRR, 2020

2019

Trading Fractional Brownian Motion.

Paolo Guasoni, Zsolt Nika, Miklós Rásonyi

SIAM J. Financial Math., 2019

On the Poisson Equation of Parameter-Dependent Markov Chains.

Algo Carè, Balázs Csanád Csáji, Balázs Gerencsér, László Gerencsér, Miklós Rásonyi

CoRR, 2019

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

Huy N. Chau, Miklós Rásonyi

CoRR, 2019

Parameter-Dependent Poisson Equations: Tools for Stochastic Approximation in a Markovian Framework.

Algo Carè, Balázs Csanád Csáji, Balázs Gerencsér, László Gerencsér, Miklós Rásonyi

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.

Romain Blanchard, Laurence Carassus, Miklós Rásonyi

Math. Methods Oper. Res., 2018

2017

Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions.

Huy N. Chau, Miklós Rásonyi

SIAM J. Control. Optim., 2017

2016

Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models.

Laurence Carassus, Miklós Rásonyi

Math. Oper. Res., 2016

2015

Optimal Investment with Nonconcave Utilities in Discrete-Time Markets.

Miklós Rásonyi

SIAM J. Financial Math., 2015

Fragility of arbitrage and bubbles in local martingale diffusion models.

Paolo Guasoni, Miklós Rásonyi

Finance Stochastics, 2015

2013

Topographic implementation of particle filters on cellular processor arrays.

András Horváth, Miklós Rásonyi

Signal Process., 2013

2012

Implementation of cellular genetic algorithms on a CNN chip: Simulations and experimental results.

András Horváth, Miklós Rásonyi

Int. J. Circuit Theory Appl., 2012

The fundamental theorem of asset pricing under transaction costs.

Paolo Guasoni, Emmanuel Lépinette, Miklós Rásonyi

Finance Stochastics, 2012

On long-term arbitrage opportunities in Markovian models of financial markets.

Martin Le Doux Mbele Bidima, Miklós Rásonyi

Ann. Oper. Res., 2012

2009

Rehabilitating Fractal Models in Finance.

Miklós Rásonyi

ERCIM News, 2009

2007

Optimal Strategies and Utility-Based Prices Converge When Agents' Preferences Do.

Laurence Carassus, Miklós Rásonyi

Math. Oper. Res., 2007

2006

Convergence of Utility Indifference Prices to the Superreplication Price.

Laurence Carassus, Miklós Rásonyi

Math. Methods Oper. Res., 2006

2005

Log-optimal currency portfolios and control Lyapunov exponents.

L. Gerencseer, Miklós Rásonyi, C. S. Szepesvari, Zsuzsanna Vágó

Proceedings of the 44th IEEE IEEE Conference on Decision and Control and 8th European Control Conference Control, 2005

2004

Controlled Lyapunov-exponents with applications.

László Gerencsér, Miklós Rásonyi, Zsuzsanna Vágó

Proceedings of the 43rd IEEE Conference on Decision and Control, 2004

2003

Equivalent martingale measures for large financial markets in discrete time.

Miklós Rásonyi

Math. Methods Oper. Res., 2003

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

Yuri Kabanov, Miklós Rásonyi, Christophe Stricker

Finance Stochastics, 2003

Controlled Lyapunov-exponents in optimization and finance.

László Gerencsér, Miklós Rásonyi, Zsuzsanna Vágó

Proceedings of the 7th European Control Conference, 2003

2002

No-arbitrage criteria for financial markets with efficient friction.

Yuri Kabanov, Miklós Rásonyi, Christophe Stricker

Finance Stochastics, 2002