142 citations · 240 across the 21 of their papers we have counts for
5 papers · 1 filter
Sticky processes, local and true martingales
Miklós Rásonyi, Hasanjan Sayit
We prove that for a so-called sticky process there exists an equivalent probability and a -martingale that is arbitrarily close to in norm. For…
Maximizing expected utility in the Arbitrage Pricing Model
Miklos Rasonyi
We consider an infinite dimensional optimization problem motivated by mathematical economics. Within the celebrated "Arbitrage Pricing Model", we use probabilistic and functional a…
Hedging, arbitrage and optimality with superlinear frictions
Paolo Guasoni, Miklós Rásonyi
In a continuous-time model with multiple assets described by càdlàg processes, this paper characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies…
Optimal investment under behavioural criteria in incomplete diffusion market models
Miklós Rásonyi, José Gregorio Rodríguez-Villarreal
The most commonly accepted model for investors' preferences is expected utility theory. More recently, other theories have emerged and pose new challenges to mathematics. The prese…
Elastic Boundary Conditions in the Theory with Second Gradients in the Thermodynamic Potential
A. S. Yurkov
When describing elastic deformations of a body sometimes it is worth to take in account elastic spatial dispersion. If spatial dispersion is weak, as usually happens, then it can b…