142 citations · 240 across the 21 of their papers we have counts for
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On the ergodicity of certain Markov chains in random environments
Balazs Gerencser, Miklos Rasonyi
We study the ergodic behaviour of a discrete-time process which is a Markov chain in a stationary random environment. The laws of are shown to converge to a limiting law…
On the identification of random variables from quantized observations
Miklos Rasonyi
We prove that the scale and shift parameters of a family of probability laws can be identified from quantized values, under appropriate assumptions. As an application, we show the…
Risk-averse asymptotics for reservation prices
Laurence Carassus, Miklos Rasonyi
An investor's risk aversion is assumed to tend to infinity. In a fairly general setting, we present conditions ensuring that the respective utility indifference prices of a given c…
On utility maximization in discrete-time financial market models
Miklos Rasonyi, Lukasz Stettner
We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing e…